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 …

Same Same But Different

Same Same But Different

The goal of this article is to illustrate how seemingly inconsequential changes to the trading mechanics of a strategy, which have little impact on the long-term expected performance, can have a material impact on results in the short-term.