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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Explainer: Minsky Moment

We’ve come across a large and increasing amount of articles recently referring to something called a Minksy moment.  As the term makes its gradual journey from academia, to the blogosphere, to the financial press, to your door, we thought it would be useful to explain exactly what a Minsky moment is.

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Factors: An Essential Part of Any Nutritious Portfolio

We recently posted a piece on factor investing (here) so we were thrilled to have an opportunity to see Dr. Andrew Ang and Don Raymond discuss factor investing at a seminar in Toronto last week. Dr. Ang is Ann F. Kaplan Professor of Business and Chair of the Finance and Economics Division at Columbia Business School, while Dr. Raymond is Adjunct Professor of Finance and past Chair of the International Centre for Pension Management at University of Toronto’s Rotman School of Business.

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Sigma Sensationalism Syndrome

The article explores the substantially large outflow of money form high-yield bond funds in the first week of August. For clarity, in our practice we don’t pay attention to indicators like these since we’ve yet to see compelling evidence that they provide any reliable insights into future expected returns. Nonetheless, we always enjoy taking a look at interesting numbers, especially when they’re used to characterize incredible events.

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Ratio of Value to Fear

In investment management we often use information gleaned from ratios to try and establish (within the limits of probability) where we are in a given market cycle. Most of the time these ratios are financial in nature, comparing price to some other metric that, over long periods of time, should normalize around an average value.

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86 Years of Lies

Recently, Equius Partners published an interesting piece, which was picked up by The Big Picture.  I’ve posted it in it’s entirety below, but for the moment, we have a few issues that I need to get off our chest.

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What the Heck is a “Stock Picker’s Market?”

Just a quick thought today: We often come across articles talking about how this is/isn’t a “stock picker’s market.”

Some articles begin with the idea that a stock picker’s market is one in which the internal correlation amongst the S&P 500 stocks is low.  This low correlation creates the opportunity for astute investors to choose stocks with a chance to materially outperform the index.

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Logical Fallacy Series: Strawman

We recently decided, on the basis of coming across these things all the time, to write a series of blog posts about logical fallacies.  Our hope is to give you the tools to recognize flawed arguments more quickly, before they lead to poor decisions.

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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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