Fragility Case Study: Dual Momentum GEM
We demonstrate how simple differences in dual momentum implementations can lead to annual performance differences up to thousands of basis points.
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Video Digest: Process & Manager Diversification
A video digest of our most recent weekly research commentaries on the potential benefits of diversifying across managers or process within a portfolio.
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Is Multi-Manager Diversification Worth It?
In this commentary we explore whether manager diversification can have risk reduction benefits like those found with asset diversification.
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Dart-Throwing Monkeys and Process Diversification
A brief note that explores the impact of process diversification on terminal wealth dispersion, a key metric in portfolio planning.
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What do portfolios and teacups have in common?
Volatility is one way to manage risk. How sensitive a portfolio is to small changes in inputs – a measure of its fragility – is another important measure.
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Maximizing Diversification
Maximum diversification is possible in portfolio construction, but its benefits are often ephemeral and out of line with investor objectives.
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Directionally Right and Precisely Wrong
Portfolio construction decisions tell us about more than just our objective: they tell us about our beliefs. But what if we're not 100% certain?
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The Yield is Gravity
Yield remains the dominant force of returns over time for many fixed-income portfolios; price volatility and default risk are necessary to earn a premium.
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Measuring the Benefit of Diversification
A systematic approach for evaluating diversification leads to actionable, unbiased results based on a portfolio's objectives.
Read more.Video Digest: When Simplicity Met Fragility
A video digest of our most recent weekly research commentary on the balancing act between robustness and fragility created by simplicity.
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When Simplicity Met Fragility
Simplicity can be surprisingly robust, but too much simplicity can be surprisingly fragile. We explore the limits of simplicity in trend equity strategies.
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Managing Equity Risk When Rates Rise
Managing equity risk when rates rise may be difficult for investors whose risk management plan relies exclusively on asset class diversification.
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Measuring Risk Tolerance
Risk tolerance is a tricky metric to measure. Riskalyze tries to intuitively quantify this, but be careful not to oversimplify this complex portfolio input.
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Decomposing Trend Equity
We decompose trend equity into a strategic allocation and an active trading strategy in effort to create better transparency around portfolio behavior.
Read more.Video Digest: A Trend Equity Primer
A video digest of our most recent weekly research commentary on how trend equity strategies may help hedge left-tail risk in traditional portfolios.
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A Trend Equity Primer
An introduction to trend equity, a strategy that seeks to benefit from the long-term, expected equity risk premium and the convex payoff of trend following.
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The Misleading Lessons of History
Market history can be a potentially misleading guide to the future. Adding more noise to the past returns may create more signal for the future.
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Timing Equity Returns Using Monetary Policy
We explore the relationship between equity returns and contractionary/expansionary monetary policy regimes using a simple simulation-based framework.
Read more.Video Digest: The State of Risk Management
We walk through our state of risk management research and show how diversification can prevent short-term underperformance and manage sequence risk.
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The State of Risk Management
We evaluate the state of risk management by exploring the historical performance of eight different risk-managed strategies over the last 20 years.
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