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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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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Don’t Invest in What You Know

It’s common market wisdom that non-professional investors should “invest in what you know.” This makes intuitive sense, since we obviously have an informational edge in sectors that we work in. Furthermore, it’s scary and requires extra effort to investigate areas of the market in which we have no experience.

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How to Waste a Ton of Time on Unimportant Decisions, Part 2

Wasting time is the bane of our existence.  We’re not talking about laziness or procrastination; that’s a completely different thing.  What we’re talking about is Fredkin’s Paradox and the human condition that requires decisions be “informed” even in circumstances where:

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How to Waste a Ton of Time on Unimportant Decisions, Part 1

I spent an hour this week trying to decide whether to start Brian Quick or Jay Cutler in my fantasy football league. If you don’t know who those players are, that’s fine because it doesn’t matter. What matters is that Quick was projected to score 12.38 points and Cutler was projected to score 12.41 points.

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Square Root of 2

Since the days of the Babylonians it’s been known that square root of 2 – which I’ll shorthand as SQR(2) from here on out – has a lot of numbers in the decimal places.  And even if they didn’t know specifically that it was irrational, with their available mathematical knowledge, they came up with …

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Repeated Games & Airline TV

Pricing models are something that have long fascinated us.  So compelling is the topic that it’s a well known form of entertainment amongst economists to try and decipher how businesses set prices.  This is especially fun when there’s a good reason to think that there might be something unintuitive and more interesting than simple supply and demand.

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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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