Risk Management

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.

Ensemble Multi-Asset Momentum

We use a multi-asset momentum framework to explore the potential benefits of ensemble construction in diversifying process and rebalance risk.

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.

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.

Trend Following in Cash Balance Plans

Cash balance plans can accelerate retirement savings beyond 401ks and IRAs. But how they are invested depends heavily on the return guarantee and employees.

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.

G̷̖̱̓́̀litch

The convexity of trend may be more crisis beta than crisis alpha, where the nature of the crisis is defined by the speed of the trend following system.

No Pain, No Premium

We explore the risk-based framework that gives risk to our philosophy of "no pain, no premium" and its implications for diversification.

Tightening the Uncertain Payout of Trend-Following

Long/flat trend-following strategies look like call options with uncertainty. Combining multiple trend models can reduce this uncertainty in the payout.

Drawdowns and Portfolio Longevity

We find that a long or prolonged drawdowns early in an investor’s retirement can dramatically increase the probability of failure.

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.

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.

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.

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.

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.

Maximizing Diversification

Maximum diversification is possible in portfolio construction, but its benefits are often ephemeral and out of line with investor objectives.

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?

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.