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.

Skis and Bikes:The Untold Story of Diversification

Skis and Bikes:
The Untold Story of Diversification

In most parts of Canada we have very distinct seasons. Some months of the year are temperate and relatively dry, while other months are cold and snowy. As a result, most Canadian towns of any size have stores that sell skis and bikes. Of course, they don’t inventory both skis and bikes at …