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.
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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.
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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.
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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.
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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.
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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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Measuring Process Diversification in Trend Following
In this research commentary we seek to measure the potential diversification benefits of introducing new ways of measuring trends.
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The New Glide Path
Investors have traditionally utilized a stock/bond glide path in order to control for sequence risk. Where does trend following fit in?
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