Liquidity Cascades: The Coordinated Risk of Uncoordinated Market Participants
This paper is unlike any research we’ve shared in the
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Heads I Win, Tails I Hedge
We explore the application of tactical signals to a rolling put strategy, seeking to minimize long-term costs while still providing meaningful protection.
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Option-Based Trend Following
Option strategies can be used to isolate and quantify the cost of whipsaw in trend following strategies, which can help set expectations on whipsaw.
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Tail Hedging
In this research note we demonstrate that holding to expiration is not a required feature of a successful tail hedging program.
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Straddles and Trend Following
A strategy with straddles can be similar to a trend followings strategy and it can highlight the trade off between insurance premiums and deductibles.
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A L-U-V-Wy Recovery
We simulate different market paths to trace out V-, U-, W-, and L-shaped market recoveries. Given these paths, we test different trend following strategies.
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One Hedge to Rule Them All
There is no perfect hedge for equity market drops. Rather finding a hedge that pays when you need it and costs little when you don't is the goal.
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What the Trend
Why have simple trend models exhibited such significant dispersion in the recent market rout? We go back to basics to set expectations.
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Diversification with Portable Beta
Looking at the passive and active components of a portable beta strategy can shed insight on how they perform individually and interact with each other.
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Payoff Diversification
We explore the 'how' of our what-how-when framework of diversification and demonstrate the idea of "payoff diversification" with rebalancing and momentum.
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Can Managed Futures Offset Equity Losses?
Managed futures strategies have historically provided meaningful positive returns during left-tail equity events, but will the strategy work next time?
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Fighting U.S. FOMO
U.S. investors may feel FOMO after strong years in the market, and battling this feeling is important for the health of their portfolio.
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Re-specifying the Fama French 3-Factor Model
The standard definition of the value factor may not fully capture the abstract concept of value. Blending many metrics into one factor can be beneficial.
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Diversification: More Than “What”
A video presentation discussing the multi-dimensional nature of diversification and how trend equity strategies can diversify "how" and "when."
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Harvesting the Bond Risk Premium
The term premium for bonds is difficult to caputre without de-risking a portfolio. Using levered ETPs can help maintain equity exposure while adding bonds.
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Ensemble Multi-Asset Momentum
We explore the a representative multi-asset momentum model that is similar to many bank-based indexes and implement an ensemble to improve consistency.
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Dynamic Spending in Retirement Monte Carlo
Accounting for potential dynamic spending in retirement in the planning process can paint a better picture of retirement success and failure.
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The Path-Dependent Nature of Perfect Withdrawal Rates
The perfect withdrawal rate in a retirement portfolio contains more risk than meets the eye. The order of returns is extremely important.
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Trend Following in Cash Balance Plans
We explore the application of trend following, and the potential consistency improvements it can introduce, within the framework of a cash balance plan.
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The Monsters of Investing: Fast and Slow Failure
Investors must navigate between the risks of failing fast and slow. Knowing which is most likely to prey on you can inform portfolio design.
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