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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.
ReSolve’s Riffs on Cryptocurrencies – Digital Gold or Millennial Bubble
This is “ReSolve’s Riffs” – live on Youtube every Friday afternoon to debate current and most relevant themes in the world of investing. Among hot and contentious topics in investing, cryptocurrencies certainly rank top of the list – including their designation as a form of currency.
A hedge fund manager and a sports bettor walk into a bar…When Sports Betting comes to Wall Street
Our guest for this conversation is Steve Merril of ProSportsInfo.com. Steve has been a professional sports handicapper and betting analyst for over 24 years and can be seen and heard every week on numerous radio and TV shows across the United States.
Breaking The Market
Today’s guest produces the Breakingthemarket blog, which exploded onto the scene in spring of last year, spewing shrapnel at traditional beliefs about investment objectives and portfolio construction.
Andrew Miller: Rennaissance Advisor
This week we interview Andrew Miller, CIO of Miller Financial Management. Andrew’s passion is at the intersection of investment management and financial planning, and he has extremely novel perspectives on both domains. We trace Andrew’s background in structured credit and alternatives and map this experience to his current framework for thinking about diversification and sources of risk and return.
ReSolve’s Riffs on Leverage over Beverages: The Risk/Reward of Vol Targeting
Most pension plans and other institutional investors with long-term liabilities are faced with an enormous mismatch between the return assumptions in their actuarial models and the combination of sky-high equity valuations and rock-bottom bond yields. Some have chosen to address their funding gaps by adding leverage to their portfolios.
ReSolve Riffs on Gold vs Treasury as Disaster Protection
This is “ReSolve’s Riffs” – live on Youtube every Friday afternoon to debate the most relevant investment topics of the day. The recent pandemic-led selloff has once again highlighted the importance of having ballast in portfolios to deal with extreme equity volatility – and ultimately protect investors from disastrous outcomes.
Cat of Nine Tails: How Mutiny Fund Harnesses Ensembles to Hedge Many Tails at Once
Jason Buck is a founding partner of Mutiny Fund, an asset management firm with a vision to make high quality tail hedging solutions available to a wider community of investors. Their fund aggregates managers with different tail-hedge styles, including options strategies, VIX relative value, and short-term trend traders to manage tails of all shapes and sizes.
Risk Parity Is the Answer: What Was the Question?
Adam and Pierre focus their discussion on diversification as a combination of “diversity” and “balance”. Diversity is about holding investments that are designed to thrive in very different market environments, and for different reasons. Balance has the objective of ensuring that investments are all able to express their unique personalities.
Investing in the Upside Down: Logica’s Michael Green Describes Why Passive Flows Corrupt Market Structure and How to Profit
In this wide-ranging discussion Logica’s Mike Green describes a mosaic of ways to “seek out a straddle”, and reveals new data and analysis to help flesh-out his thesis on the growing importance of systematic passive flows to U.S. stocks.
ReSolve’s Riffs – On Value Investing
This is “ReSolve’s Riffs” – live on Youtube every Friday afternoon to debate the most relevant investment topics of the day. We were joined this week by our friends Wes Gray (Alpha Architect) and Tobias Carlisle (Acquirers Funds) to discuss value investing, its prolonged winter and how it has fared in the current environment.
ReSolve’s Riffs on Crouching Bull, Hidden Bear: Second Chance for Investors?
This is “ReSolve’s Riffs” – live on Youtube every Friday afternoon to debate the most relevant investment topics of the day. On our second episode, we invited our good friend Corey Hoffstein (Newfound Research) to analyze the roller-coaster experienced by equity investors in the past 3 months.
ReSolve’s Riffs on The Great Tail Protection Debate
Join us for our inaugural episode of the “ReSolve Riffs” series where the team will go live on Youtube every Friday at 3pm over cocktails to discuss topics that are in the immediate zeitgeist of the investment world. In this episode we cover the very heated tail protection debate.
Portfolio Optimization for Efficient Stock Portfolios:
Applications and Directions
We compared risk-efficient portfolios with cap-weighted and equal-weighted portfolios of liquid large-cap stocks from 1960 through 2019. We also take steps to limit turnover and tax consequences by trading overlapping monthly portfolios with annual holding periods.
Risk Parity in the Time of COVID
Consistent with misapprehensions expressed during other recent market crises, there has been a chorus of alarmist speculation about the actions and state of risk-parity strategies during the current crash. We felt it would be helpful to revisit the concept of risk parity and take a snapshot of how a typical global risk parity strategy might have been expected to behave this year.
Tactical Strategies and The Anatomy of A Bear Market
The last few weeks have been some of the toughest in recent memory for investors, as we have observed an intense global market selloff that began in late February and continued into early March of 2020 (as of the writing of this report).
From Fragility to Robustness: The Value of Ensembles
A Case Study in Robust Equity Momentum
We explore the mirror concepts of fragility & robustness using a slimmed-down version of the Newfound/ReSolve Robust Equity Momentum Index.
Global Equity Momentum: A Craftsman’s Perspective – Executive Summary
Quantitative investment researchers often seek uniquely optimal parameterizations of their strategies amongst a broad “robust” region of parameter choices. However, this ignores a critically important feature of investing – Diversification. By diversifying across many equally legitimate parameter choices – an ensemble – investors may …
Over Two Centuries of Global Factor Premiums
Paper Summary
Hot off the press, a new paper by Guido Baltussen, Laurens Swinkels and Pim van Vliet at Dutch quant powerhouse, Robeco, covers global multi-asset factor premiums over an unprecedented sample of 217 years. We thought the topics and findings were important and timely...
Portfolio Optimization and the Sharpe Multiplier:
A Case Study on Managed Futures
We’ve spent a great deal of time in past articles discussing the merits of portfolio optimization. In this article we will examine the merits and challenges of portfolio optimization in the context of one of the most challenging investment universes: managed futures.
Portfolio Optimization: Simple versus Optimal Methods
Our whitepaper “The Optimization Machine: A General Framework for Portfolio Choice” presented a logical framework for thinking about portfolio optimization given specific assumptions regarding expected relationships between risk and return. We explored the fundamental roots of common portfolio …
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