Hedge Hunting: Wrangling the VIX
Can ETF instruments like VXX and XIV be combined to get the benefits of spot VIX exposure without all the negative roll yield of futures?
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2 Ways to Lower Portfolio Drawdown
Portfolio drawdown can be reduced by allocating to strategies with lower drawdown, but low drawdown strategies are not the only way to manage downside risk.
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But Let’s Assume We’re Wrong
This weekly commentary is available as a PDF here. Commentary Summary
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Volatility: Good, Bad, or Indifferent?
Special Announcement We’ll be hosting our usual monthly strategy review
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Buying the dip or catching a falling knife?
With Global X FTSE Greece 20 ETF $GREK down nearly
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Checking your portfolio more frequently ensures you see more losses
A PDF version of this commentary can be downloaded here. Special
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Questioning your most dangerous assumptions: is your glide path too risky?
Glide paths are built from historical return assumptions: but do past returns from U.S. stocks paint too rosy a picture?
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The Search for Crisis Alpha: Weathering the Storm Using Relative Momentum
2nd place paper in the 2015 NAAIM Wagner Award competition exploring the use of relative momentum on U.S. Treasury investments to increase crisis alpha
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Can you avoid rising rates with high carry assets?
First: the takeaways Expected return for an asset class is
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Risk Budgeting (with Spreadsheet)
Risk budgeting is the process of allocating portfolio weights to target a specific risk profile. We have included a spreadsheet that simplifies this process
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Risk Attribution in a Portfolio
Return attribution in a portfolio is common, but risk attribution is less well-known. It is important to know both sources of return and risk.
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