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.
Read more.
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.
Read more.
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.
Read more.
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.
Read more.
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.
Read more.
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.
Read more.
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?
Read more.
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.
Read more.
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.
Read more.
Diversification: More Than “What”
A video presentation discussing the multi-dimensional nature of diversification and how trend equity strategies can diversify "how" and "when."
Read more.
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.
Read more.
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.
Read more.
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.
Read more.
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.
Read more.
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.
Read more.
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.
Read more.
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.
Read more.