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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SNB, CHF and Our Colleague…

The Swiss Franc (CHF) was the talk of the financial world last week. We feel compelled to write something about it, but our response will be measured because we know someone directly affected by the situation. You see, we have this colleague…

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Finding a Competitive Edge, Part 1

In Saturday’s playoff game he rolled out a new strategy designed to confuse the Baltimore Ravens’ defense.  The details get tricky, but basically the NFL rules require that 7 players on offense must line up on the line of scrimmage. 

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Dow 20,000: Is 2015 the Year?

It’s that time of year again. Yup, that jolly, happy time of year when the soothsayers of Wall Street start trumpeting their views on what’s going to happen in 2015, and how to position portfolios to profit. 

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A Century of Generalized Momentum

We enjoy collaborating on new research projects simply because nobody has a monopoly on interesting ideas.  Where our expertise in asset allocation, tactical strategies and portfolio optimization methods might prove useful, we are always open to discussing new and ongoing research.

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Measuring Tactical Alpha, Part 2

When we left off in Part 1, we promised to examine how select Global Tactical Asset Allocation products stack up against the Global Market Portfolio from the perspective of several performance measures – particularly Sharpe ratio, alpha and information ratio.

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Measuring Tactical Alpha, Part 1

Grinold linked investment alpha and Information Ratio to the breadth of independent active bets in an investment universe with his Fundamental Law of Active Management. Breadth is often misinterpreted as the number of eligible securities in a manager’s investment universe, but this ignores the impact of correlation.

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The Ever-Depressing SPIVA: 2014 Mid-Year

The Mid-year S&P Dow Jones Indices SPIVA Canada Scorecard is out, and it’s everything that we’ve come to expect from the discretionary stock-picking world. But this time was unique even by our standards in that, for the first time in memory, not a single Canadian Dividend & Income equity fund outperformed it’s benchmark over the last 5 years.

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Why Monkeys Hate Losing Grapes and You Hate Losing Money

In a famous experiment popularized by the the 2009 book SuperFreakonomics, Dr. Keith Chen conditioned Capuchin monkeys to understand the utility of money to purchase treats. It was compelling enough that the monkeys showed demand elasticity – they bought less of certain treats when prices rose and more of other treats when they fell – but the real breakthrough was when the researchers introduced two gambling games.

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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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