Adaptive Asset Allocation


Global Equity Momentum: A Craftsman’s Perspective – Executive Summary

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 …

Portfolio Optimization:A General Framework for Portfolio Choice

Portfolio Optimization:
A General Framework for Portfolio Choice

It is widely accepted among investment professionals that, while portfolio optimization has compelling theoretical merit, it is not useful in practice. Practitioners are concerned that optimization is an “error maximizing” ¹ process fraught with insurmountable estimation issues.

Diversification – What Most Novice Investors Miss About Trend Following

Diversification – What Most Novice Investors Miss About Trend Following

The true benefit of trend following is only realized when investors take advantage of the extreme liquidity and diversity of global futures markets to trade a wide range of markets across all major asset categories. Our analysis shows that an investor would have achieved more than double the risk-adjusted performance of a median equity trend strategy by trading a diversified strategy across many diverse markets.

Dynamic Asset Allocation for Practitioners Part 4: Momentum Weighting

Dynamic Asset Allocation for Practitioners Part 4:
Momentum Weighting

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 …