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.

Get our latest research insights, exclusive content and event invitations delivered straight to your inbox.
Follow us on Twitter.

Valuation Based Equity Market Forecasts: Q2 2014

We endorse the decisive evidence that markets and economies are complex, dynamic systems which are not reducible to linear cause-effect analysis over short or intermediate time frames. However, the future is likely to rhyme with the past.

Keep Reading

World Cup Outcomes Are Mostly Random: So Who Cares?

This post will be short and sweet as it’s largely an addendum to our previous post NFL Parity, Sample Size and Manager Selection.  It was motivated primarily by an interesting analysis by Tom Murphy, a physics professor at the University of California – San Diego. We greatly admire Dr. Murphy and highly recommend his blog.

Keep Reading

Article in Taxes & Wealth Management

The Miller Thompson / Reuters monthly Taxes and Wealth Management newsletter carried an article we authored on the relationship between portfolio volatility and retirement planning.

Keep Reading

Do You Spinu? A Novel Equal Risk Contribution Method for Risk Parity

Risk Parity seems to have (temporarily?) lost its place near the top of the institutional asset allocation wish list, no doubt because it proved vulnerable to policy shocks during last year’s central bank equivocation. Nevertheless we continue to believe the concept is valuable if thoughtfully applied.

Keep Reading

Cluster Shrinkage

In this article, we would like to integrate the cluster concepts we introduced in our article on Robust Risk Parity with some ideas proposed and explored by Varadi and Kapler in the last few months

Keep Reading

The Evolution of Optimal Lookback Horizon

Many asset class rotational systems are optimized on lookback horizon (to our observation, most use 120 days), so we thought it would be interesting to investigate the evolution of optimal lookback horizon through time. This allows us to put ourselves in the position of an analyst at different points in history and try to speculate on the choices he might have made given the information at his disposal then.

Keep Reading

Why Skill Never Prevails in Your NCAA March Madness Office Pool

As quants and sports fans we often find ourselves analyzing statistics from the sports world. And seeing as college basketball dominates the sports landscape for the next few weeks, it’s no surprise we are inspired to write about the NCAA Men’s Basketball Tournament, aka March Madness.

Keep Reading

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.

Get the Book

ReSolve Masterclass
Series

Gestalt University Podcasts

ReSolve's Riffs

Every Friday

Live on