Risk Ignition with Trend Following
Trend following strategies may represent a beneficial diversifier for conservative portfolios going forward, potentially allowing investors to more fully participate with equity market growth without necessarily fully exposing themselves to equity market risk.
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Diversifying the What, How, and When of Trend Following
Naïve and simple long/flat trend following approaches have demonstrated considerable consistency and success in U.S. equities. We explore how investors can think about introducing greater diversification across the three axes of what, how, and when in effort to build a more robust tactical solution.
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Protect & Participate: Managing Drawdowns with Trend Following
For investors looking to diversify how they manage risk, we believe the trend following represents a high transparent, and historically effective, alternative.
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Two Centuries of Momentum
As a systematized strategy, momentum sits upon nearly a quarter century of positive academic evidence and a century of successful empirical results.
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Thinking in Long/Short Portfolios
While few investors explicitly hold long/short portfolios, every active portfolio can be thought of as the benchmark plus a long/short representing the active bets. We use this framework to distinguish the quantity versus quality of active exposures.
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Timing Bonds with Value, Momentum, and Carry
With low current rates and higher durations, the stage may be set for systematic, factor-based approaches to timing bonds – like value, momentum, and carry – to add significant value to passive buy-and-hold.
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Factor Investing & The Bets You Didn’t Mean to Make
Factor-based investment strategies seek to manage risk with diversification; completely unconstrained, however, they can be overwhelmed by unintended bets.
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Value 2.0
Traditional value strategies may be fundamentally flawed in their construction. Value 2.0 indices fix some of these problems, but not all.
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Are Market Implied Probabilities Useful?
Market-implied probabilities may apply for "typical households", but actual probabilities are more relevant to the unique goals and situations of investors.
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A Case Against Overweighting International Equity
Are relative valuations a good enough reason to overweight international equity exposure compared to U.S. equity exposure?
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The Frustrating Law of Active Management
We introduce the Frustrating Law of Active Management: For a strategy to outperform in the long run, it has to underperform in the short run.
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A Gentle Guide to Global Tactical Asset Allocation
An introduction to global tactical asset allocation ("GTAA") using systematic styles like value, momentum, carry, defensive and trend.
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Duration Timing with Style Premia
Can value, momentum, carry, and an explicit measure of the bond risk premium be used as methods for timing duration in a fixed income portfolio?
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Factors & Financial Planning
Factors are often discussed as a means to potential enhance portfolio return; but how should factors be combined when portfolio goals are considered?
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Do Factors Market Time?
Traditional academic equity factors exhibit time-varying beta exposure. Does this varying exposure imply returns from "market timing"?
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Can We Improve Sector Rotation?
Momentum-based sector rotation is a popular investment strategies. Can we introduce advancements in momentum investing to improve it?
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Navigating Municipal Bonds With Factors
We build a systematic municipal bond portfolio. The portfolio uses four factors (low volatility, momentum, value, carry) across six municipal bond sectors.
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Factor Investing in Multi-Asset Portfolios
Factor investing is not limited it equities; it is a multi-asset concept. We present a case study of how we seek factors in our own multi-asset portfolios.
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Why quants don’t pick stocks
Why don't quants pick stocks? Quants prefer to look for broad characteristics where they can diversify away idiosyncratic risk.
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A Simulation-Based Rebuttal to Research Affiliates
Research Affiliates has published new research showing managers fail to capture theoretical factor returns. But is it their research method flawed?
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