Our whitepaper “The Optimization Machine: A General Framework for Portfolio Choice” presented a logical framework for thinking about portfolio optimization given specific assumptions regarding expected relationships between risk and return. We explored the fundamental roots of common portfolio …
The goal of this article is to illustrate how seemingly inconsequential changes to the trading mechanics of a strategy, which have little impact on the long-term expected performance, can have a material impact on results in the short-term.
It is widely accepted among investment professionals that, while portfolio optimization has compelling theoretical merit, it is not useful in practice. Practitioners are concerned that optimization is an “error maximizing” ¹ process fraught with insurmountable estimation issues.
Toronto, Ontario - July 4, 2018 ReSolve Asset Management Inc. (“ReSolve”) is pleased to announce that it has agreed to acquire Acorn Global Investments Inc. (“Acorn”), an alternative investment manager specializing in managed futures and macro strategies. Acorn has...
The true benefit of trend following is only realized when investors take advantage of the extreme liquidity and diversity of global futures markets to trade a wide range of markets across all major asset categories. Our analysis shows that an investor would have achieved more than double the risk-adjusted performance of a median equity trend strategy by trading a diversified strategy across many diverse markets.
Last week we were jazzed to have Dr. Kathryn Kaminski deliver a comprehensive presentation on Managed Futures Trend Following: The Ultimate Diversifier, where she covered the role of convergent and divergent strategies, and introduced other important themes like:
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Capital Efficiency Trumps Fees in the Search for Portfolio Diversifiers
Build your own report! The evaluation of alternative investments introduces an extra dimension that investors don’t need to think about with traditional equity funds. It’s the concept of capital efficiency. We prepared a report to illustrate how capital efficiency,...
The article below illustrates how capital efficiency, taxes, and fees impact portfolio choices given what we feel to be reasonable assumptions. However, we recognize that you may have different views on these variables.