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.
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March 2020 Update
As markets digest the potential economic impact of COVID-19, we want to share some thoughts on market volatility and our tactical models.
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Why Trend Models Diverge
We demonstrate that many common trend models are mathematically linked, but show how their differences can lead to meaningfully different signals.
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Domestic Fixed Income Factor Implementations
We apply momentum, value, and carry signals to the domestic fixed income universe and offer a method of applying these signals in long-only portfolios.
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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.
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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?
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Should I Stay or Should I Growth Now?
Value's recent under-performance has many managers saying that the style looks cheap. We explore the value-of-value through the lens of multiple metrics.
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Pursuing Factor Purity
In this research note, we implement a regression-based and optimized-based approach to achieving pure factor portfolios and report the results achieved.
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Timing Trend Model Specification with Momentum
In this piece, we briefly explore whether model specification choices can be timed using momentum within the context of a naΓ―ve trend strategy.
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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.
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The Limit of Factor Timing
Factor timing doesn't require extreme accuracy, but finiding a model that has that accuracy may be difficult. Diversifying is often the best approach.
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Global Growth-Trend Timing
In this research note, we continue to evaluate the concept of growth-trend timing: utilizing country economic signals to time trend-following.
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Factor Orphans
We develop and backtest a factor orphan strategy: the basket of stocks not held by any factor strategy at a given time.
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Risk-Adjusted Momentum: A Momentum and Low-Volatility Barbell?
We explore whether risk-adjusting momentum scores introduces a meaningful and structural tilt towards low-volatility equities.
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Yield Curve Trades with Trend and Momentum
We build stylized portfolios to capture Level, Slope, and Curvature changes in the yield curve and then apply trend and momentum signals to the portfolios.
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Macro Timing with Trend Following
Timing when to invest in trend following strategies is hard, but evidence shows it may be done based on the stage of the economic cycle.
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Trend Following Active Returns
In this research note, we ask whether trend-following techniques can be applied to the active returns of long-only style portfolios.
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Factors and the Glide Path
We derive a multi-asset and equity style-based glide path based upon an investor’s age and net-worth relative to their desired spending level.
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