Rebalance Timing Luck: The (Dumb) Luck of Smart Beta
We are proud to announce the release of our newest
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Heads I Win, Tails I Hedge
We explore the application of tactical signals to a rolling put strategy, seeking to minimize long-term costs while still providing meaningful protection.
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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.
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Defensive Equity with Machine Learning
This post is available as a PDF download here. Summary
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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.
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Tranching, Trend, and Mean Reversion
While tranching can simply be a way to de-emphasize the impact of a specific rebalancing date choice, it may also introduce momentum effects in a portfolio.
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“Well, you… No, you gotta do more than that.”
In this note, we explore tranched versus non-tranched trend implementaitons and find that tranchig has been superior for many assets over the last 30 years.
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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.
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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 naïve 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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