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ReSolve 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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