The article below illustrates how capital efficiency, taxes, and fees impact portfolio choices given what we feel to be reasonable assumptions. However, we recognize that you may have different views on these variables.
To be crystal clear, our discussion will NOT focus on trying to identify which signals or parameters, or combinations of signals and parameters, are better or worse than others. While most quants – being tinkerers at heart – waste most of their time fine-tuning the parameters of …
So far, we’ve discussed the importance of investment universe selection and price momentum in designing a robust asset allocation methodology. If you haven’t read those articles, we would strongly encourage you to do so before proceeding with this one. We lay most of the …
The balance of this series will present ways to harness the momentum effect across global asset classes. The strategies we present will be long-only because such approaches harness two major sources of return: the long-term premia derived from exposure to risky assets …
In 2012 we published a whitepaper entitled “Adaptive Asset Allocation: A Primer” in which we built upon the simple, robust momentum framework proposed by Mebane Faber in his 2009 study “Relative Strength Strategies for Investing.” Our approach
Interestingly, while naively optimistic stock investors were caught flat footed, global government bond markets had been signaling that a British exit was a real possibility for most of the year. To wit, government bonds in Japan, Germany, and the United States …
ReSolve Asset Management Blog is a investment research forum, opinion pieces, and educational material from the team at ReSolve Asset Management. Our views are driven by evidence based finance, with a special focus on asset allocation, factors and smart beta, retirement and endowment strategies, and quantitative methods.