Risk Management

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.

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.

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?

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.

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.

Diversification: More Than “What”

A video presentation discussing the multi-dimensional nature of diversification and how trend equity strategies can diversify "how" and "when."

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.

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.

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

We explore the application of trend following, and the potential consistency improvements it can introduce, within the framework of a cash balance plan.

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.