Diversification


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: Simple versus Optimal Methods

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 …

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.