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.
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How Much Accuracy Is Enough?
Pursuing higher accuracy in an investment strategy is not always enough to make the strategy good over the long run. Skew is also important to consider.
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Three Applications of Trend Equity
The pros and cons associated with three potential implementation ideas for trend equity: defensive equity, a tactical pivot, and a liquid alternative.
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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.
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Trend: Convexity & Premium
We decompose trend into returns from an option payoff and trading impact, demonstrating that the historical convexity and premium have different sources.
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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.
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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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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.
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Attack of the Clone: Lessons from Replicating Long/Short Equity
We attempt to replicate the Credit Suisse Long/Short Liquid Index and thereby identify the commonn sources of performance in long/short equity strategies.
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A Carry-Trend-Hedge Approach to Duration Timing
In this research note we discuss three simple signals – term spread, momentum, and prior equity returns – for timing exposure to 10-year U.S. Treasuries.
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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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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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A Factor-Based Approach to Disruptor-Based Sectors
Sector disruptors are new products that can be hard to allocate to. The proven history of factors (momentum, etc.) can be a guide.
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Mean Reversion and Bond ETF Returns
The fixed coupon and maturity of bonds act live gravity, causing mean reversion in returns. Short-term underperformance might suggest a positive forecast.
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Momentum’s Magic Number
The performance of momentum strategies appears to peak when the formation period plus the holding period sum to between 12 and 18 months.
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The Raw Materials for Active Management
Explaining why active management performs a certain way in an environment is tough. Predicting this difference is even harder. Diversification is key.
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Inferring the Statistics of Buffett’s Alpha
What investors should take away from Buffett’s alpha is that discipline was crucial for realizing the long-term outperformance.
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Factor Fimbulwinter
We explore the evidence that would be required for us to dismiss established anomalies. We find that we would likely have to live through several careers.
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A Season for Sectors
Seasonality has proven to be a significant anomaly in a variety of markets. We test whether seasonality applies with sector-based investing and find that not only has the premium been economically significant, but is un-explained by traditional anomalies.
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