Defying the Bear’s Grasp: The Emotional Journey of Achieving Managed Futures Prosperity

In this blog post, we will explore the historical trends and performance of managed futures strategies using the Tech Crisis of 2000 to March 13, 2003 as a case study, and why it may be relevant for the current macro environment. We will also delve deeper into the emotional challenges that investors face during these periods.

Peering Around Corners: How to Replicate Trend Following Managed Futures

Our latest research paper explores the construction of a replication strategy that captures the broad exposures to equities, fixed income, commodities, and currencies that are present in the Société Générale Trend Index, while also identifying the underlying strategies employed by trend-following managed futures funds. 

From All-Weather to All-Terrain Investing for the Stormy Decade Ahead

The endowment portfolio characterized by 60 percent in stocks and 40 percent in bonds has thrived over the past four decades, but sustained high inflation has the potential to lower returns and increase volatility in the years ahead. This has prompted an interest in All-Weather portfolios, which combine stocks and bonds with assets like commodities that may respond more favourably to inflation.

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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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