Critical Research
“Research is to see what everybody else has seen, and to think what nobody else has thought.”
Albert Szent-Gyorgyi
Featured Content
From All-Weather to All-Terrain Investing for the Stormy Decade Ahead
This article explores how the addition of specific liquid alternative strategies produces an “All-Terrain” portfolio with the potential for improved long-term performance across a wider range of market environments.
Discover the Skewness Premium in Managed Futures
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Managed Futures Trend Replication Data
This data set provides daily returns for the Net Replication strategy discussed in the paper “Peering Around Corners: How to Replicate Trend Following Managed Futures”.
Managed Futures Carry: A Practitioner’s Guide
Carry is an often overlooked driver of returns across equities, bonds, commodities and currencies. By taking a deep dive into over 30 years of carry strategy data, we uncover …
ReSolve Masterclass Series
Articles
Novel Price Estimator Guaranteed to Produce Non-Negative Prices
The following report was produced by our research team and we felt it was worth sharing for discussion and comment. The recent price action in crude oil prompted us to spend a little effort thinking about how to manage around negative prices. The motivation for this...
A Global Passive Benchmark with ETFs and Factor Tilts
"One way to test our thinking would be to ask the question in reverse: If your index manager reliably delivered the full market return with no more than market risk for a fee of just 5 bps, would you be willing to switch to active performance managers who charge...
Valuation Based Equity Market Forecasts – Q2 2014
Any analysis that relies on the past to offer guidance about the future makes the strong assumption that the future will in fact resemble the past. We have no guarantee that this will be the case. Many optimistic analysts assert that the invention of central banking,...
Factor Investing
Articles
A Century of Generalized Momentum
We enjoy collaborating on new research projects simply because nobody has a monopoly on interesting ideas. Where our expertise in asset allocation, tactical strategies and portfolio optimization methods might prove useful, we are always open to discussing new and...
Forget active vs. passive. It’s all about factors
We just love a good debate, and there seems to be quite a heated debate at the moment about the relative utility of passive versus active investing. Perhaps this debate is as timeless as investment management itself, but a flurry of recent studies may have finally...
The Whole is Greater than the Sum of the Parts
One of the most mind-blowing implications of portfolio theory is that a well conceived portfolio has the potential to be much better, in terms of risk adjusted performance, than what we might expect from the sum of the individual portfolio holdings. This is more...
Track Records are Rubbish (or Why Managers are Factors in Drag)
As usual, you are the butt of the joke. Everywhere you turn, you are bombarded with 1, 3, and 5 year track records for investment products. The investment management industry knows that you are influenced by percent symbols preceded by large numbers, so they market...
Asset Allocation
Articles
Dynamic Asset Allocation For Practitioners
Dynamic Asset Allocation for Practitioners Part 5: Robust Risk Parity
In our article on Structural Diversification we explored the idea of holding a universe of assets which, when assembled in thoughtful proportion, might be expected to protect investors against the four major market regimes that they might encounter over the long term....
Dynamic Asset Allocation for Practitioners Part 4: Momentum Weighting
In the first three articles of our Dynamic Asset Allocation for Practitioners series (article 1, article 2, article 3), we focused on the first half of the total process. We specified a universe of global asset classes and sorted it on relative strength with 21...
Dynamic Asset Allocation for Practitioners, Part 3: Risk-Adjusted Momentum
[latexpage] Risk is in the Eye of the Beholder 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...
Dynamic Asset Allocation for Practitioners, Part 2: The Many Faces of Price Momentum
In our last post, we covered the importance of a well-designed investment universe as a precondition for thoughtful diversification. In this second article on Dynamic Asset Allocation for Practitioners we will explore several methods for measuring price momentum to...
Dynamic Asset Allocation for Practitioners, Part 1: Universe Selection
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 20010 study "Relative Strength Strategies for Investing." Our approach utilized a portfolio...
Permanent portfolio
The Permanent Portfolio Turns Japanese
Our last few articles (here and here) dealt with the Permanent Portfolio, a widely embraced static asset allocation concept proposed by Harry Browne in 1982. To review, the simple Permanent Portfolio consists of equal weight allocations to cash (T-bills), Treasuries,...
Permanent Portfolio Shakedown Part II
In Part I of the Permanent Portfolio Shakedown we investigated the history of the approach, tracing it back to Harry Browne in 1982. The company he helped to found, The Permanent Portfolio Family of Funds, has been running their version of the strategy in a mutual...
Permanent Portfolio Shakedown Part 1
The Permanent Portfolio is an asset allocation concept first introduced by Harry Browne in 1982. The Permanent Portfolio Family of Funds website has this to say about the strategy, which they have been running in mutual fund format for about 20 years. Established in...
Retirement
Articles
Planning for Adverse Scenarios
Planning for Adverse Scenarios: Retirement Edition
[latexpage] Note: This article is a different twist on our original 'Planning for Adverse Scenarios: Savings Edition' article. The purpose of this edition is to address the same themes in the context of a retirement situation rather than a savings situation. Let’s...
Planning for Adverse Scenarios: Savings Edition
Let’s face it, it's uncomfortable to acknowledge the fact that fate dominates many of the most meaningful outcomes in life. Take marriage for example. Raise your hand if you had planned in advance to meet the person you ended up marrying on the exact day you met them....
Path Dependency in Financial Planning
Path Dependency in Financial Planning: Retirement Edition
"And now the sequence of events in no particular order" - Dan Rather Imagine for a moment sitting at the kitchen table, steaming coffee in hand. The sun is streaming in the windows, bacon is popping in the pan, and Rover drops the paper at your feet. A brilliant...
Path Dependency in Financial Planning: Savings Edition
"And now the sequence of events in no particular order" - Dan Rather Imagine for a moment sitting at the kitchen table, steaming coffee in hand. The sun is streaming in the windows, bacon is popping in the pan, and Rover drops the paper at your feet. A...