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 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.

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The Black Box: Eyewitness Testimony and Investment Models

Multiple discovery suggests that the most valuable, achievable advances in a field are often being examined simultaneously – yet independently – by many people at the same time.  It stands to reason that on these occasions, leaps in logic can often occur at the same time by independent parties.

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NFL Parity, Sample Size and Manager Selection

We’ve been discussing issues around statistical significance – most notably, what makes a tested model’s results significant and therefore likely to perform in a consistent fashion when implemented in real time. In our last article we discussed what constitutes robustness in the context of testing a trading model.

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Towards a Simpler Palate

The current article series deals with the concept of performance decay, which occurs when the performance of a systematic trading strategy is materially worse in application than it appeared during testing. We dealt with the concept of arbitrage in our last post, drawing a parallel with the phenomenon of ‘multiple discovery’ in science.

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Sources of Performance Decay

Above all, the greatest fear in empirical finance is that the out of sample results for a strategy under investigation will be materially weaker than the results derived from testing. There is absolutely no doubt that a meaningful portion of observed out-of-sample performance decay is the result of arbitrage; that is, others discovering and concurrently exploiting the same anomaly.

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Valuation Based Equity Market Forecast – December 2013 Update

We first published a valuation based market forecast in September of 2010. At that time we used only the Shiller PE data to generate our forecast, and our analysis suggested investors should expect under 5% per year after inflation over the subsequent 10 year horizon. Over the 40 months since we have introduced..

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A fool thinks himself to be wise

As a team whose principals have spent thousands of hours accumulating academic credentials and experience in a fairly narrow field of expertise – public markets – we are endlessly fascinated with peoples’ optimism about their ability to succeed independently in this hyper-competitive domain.

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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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