Maximizing the Rebalancing Premium: Why Risk Parity portfolios are much greater than the sum of their parts

We examine the distribution of rebalancing premiums for a simple risk parity implementation (a version of the Permanent Portfolio) consisting of US stocks, gold and bonds from 1982 through May 2020. We then proceed to analyze historical and expected future rebalancing premia for a variety of global risk parity strategies ..

Are We Living in a Post-Factor World?

In some ways new investment concepts are like any new technology. The progenitors of any early technology typically earn extraordinary profits until competition heats up. Eventually competition drives down profit margins and the technology becomes commoditized. But investment technology has a special quality that arises from…

Novel Price Estimator Guaranteed to Produce Non-Negative Prices

The following report was produced by our research team and we felt it was worth sharing for discussion and comment. The recent price action in crude oil prompted us to spend a little effort thinking about how to manage around negative prices.

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Register for our Completely Unique March Madness Challenge

That said, as with all March Madness pools, there will be a certain amount of people who submit chalk brackets.  And while there exists no specific rule against these submissions, it’s a generally accepted principle that such submissions are the exclusive purview of cranks …

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We Published a Shiny, New Book on Adaptive Asset Allocation!

With that fully in mind, today we bring you a crazy Shymalanian twist: you need to read our recently published book Adaptive Asset Allocation: Dynamic Global Portfolios to Profit in Good Times – and Bad.  Yes, it’s 40,000 words of investment philosophy, research and insights…

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YUP, Diversification Still Works

Did you read our 2015 Annual Letter, entitled “Navigating Active Asset Allocation When Diversification Fails?” If not, you should because some of the things that are happening in the markets right now are eerily in line with the topics addressed therein …

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It is the season for Bold Prediction

Why are we giggling like a small child in a candy store? Because at least one of these groups is guaranteed to be embarrassingly wrong, and there’s a pretty good chance that both groups will end the year scrambling for excuses as to why their crystal ball was, well, cloudy.

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Our Big Lesson From “The Big Short”

In 2012 we published a whitepaper entitled “Adaptive Asset Allocation: A Primer” in which we built upon the simple, robust momentum framework proposed by Mebane Faber in his 2009 study “Relative Strength Strategies for Investing.” Our approach utilized a …

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Tactical Alpha in Theory and Practice (Part II): Principal Component Analysis

In Part I of this series, we explored Grinold’s Fundamental Law of Active Management, and why the theory leads to misguided conclusions in the presence of asset correlations. In this article we will offer a primer on a useful tool for portfolio evaluation, Principal Component Analysis (PCA), and illustrate how PCA can help quantify the number of independent bets in a portfolio of correlated assets.

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About Us

ReSolve Asset Management Blog is an investment research forum, opinion pieces, and educational material from the team at ReSolve Asset Management. Our views are driven by evidence based finance, with a special focus on asset allocation, factors and smart beta, retirement and endowment strategies, and quantitative methods.

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