Risk Management

Liquidity Cascades: The Coordinated Risk of Uncoordinated Market Participants

This paper is unlike any research we’ve shared in the

We explore the application of tactical signals to a rolling put strategy, seeking to minimize long-term costs while still providing meaningful protection.

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.

Tail Hedging

In this research note we demonstrate that holding to expiration is not a required feature of a successful tail hedging program.

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.

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.

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.

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.

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.

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.