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Portfolio Optimization for Efficient Stock Portfolios:
Applications and Directions
We compared risk-efficient portfolios with cap-weighted and equal-weighted portfolios of liquid large-cap stocks from 1960 through 2019. We also take steps to limit turnover and tax consequences by trading overlapping monthly portfolios with annual holding periods.
ReSolve’s Riffs on The Great Tail Protection Debate
Join us for our inaugural episode of the “ReSolve Riffs” series where the team will go live on Youtube every Friday at 3pm over cocktails to discuss topics that are in the immediate zeitgeist of the investment world. In this episode we cover the very heated tail protection debate.
The Pandemic Portfolio – Risk Parity, Convexity, and Multi-Asset Factors in Extreme Markets
In this episode, the ReSolve team begins with an examination of some of the macroeconomic narratives that may drive capital markets for the coming months and years. But since these future paths are all plausible – and some quite compelling – we then provide a framework to deal with such a wide range of possible outcomes.
Alternative Thinking: Both Sides of the Investment Coin
ReSolve’s transition was perhaps smoother than for most asset managers, as our COO Jason Russell reports on CAASA’s Alternative Thinking: Both Sides of the Investment Coin podcast.
Asset Allocation, AI, and the Alpha Process with ReSolve Asset Management
When asked how their partnership began, Adam, Mike and Rodrigo will typically recall a Christmas party almost a decade ago, followed by: “In a room full of horses, you can easily spot who the zebras are.”
Ben Hunt – The Narrative Machine
Gestalt University’s latest guest has emerged as one of these trusted sources. His Epsilon Theory portal is one of the most respected and widely read information outlets in financial media. A prolific writer with a background in applied statistics and game theory, his acute understanding of history and behavioral analysis have equipped him with the right tools to shed light onto the real forces that guide The Narrative Machine. He is, of course, Dr Ben Hunt.
Corey Hoffstein – Strategy Construction: Why Simple is Fragile
For this fascinating conversation we bring none other than Corey Hoffstein of Newfound Research. Corey has lived by the “risk cannot be destroyed, only transformed” dictum, which has guided the core of his investment philosophy across three axes of diversification – sources of risk, process and time.
Chris Schindler – The Alternative to Alternative Risk Premia
We discuss the recent explosion in index-investing (“there’s no such thing as passive in this world”), Alternative Risk Premia (and why returns have suffered so much in recent years) and Chris’ new project: a truly uncorrelated alternative to ARP.
Gregory Zuckerman – The Man Who Solved the Man Who Solved the Market
Our 30-minute conversation with Zuckerman tracks a different course from his recent interviews, focusing on how the journey to write this book has changed his understanding of the asset management industry and how his relationship with some of the characters has evolved.
Mike Hirthler – Invert, Always Invert
A long-time student of behavioral finance and market psychology, he has been an avid promoter of financial education for all ages and embraced a multi-disciplinary approach to problem-solving. Enjoy this great conversation with Jacobi Capital’s founder Mike Hirthler.
This Craftsmanship Perspective Is About Identifying The Difference Between Complex Versus Robust
In this Meb Faber Podcast episode, Meb starts the conversation with a walk through Rodrigo Gordillo’s, Co-Founder, Managing Partner & Portfolio Manager of ReSolve Asset Management, background and his experience growing up in Peru.
Machine Learning in Markets: Silver Bullet? Or Pandora’s “Black” Box?
In this episode Adam Butler and Rodrigo Gordillo host ReSolve’s Head of Quantitative Research, Andrew Butler to discuss how ReSolve employs tools from the field of machine learning to produce meaningful and practical improvements in investment outcomes.
Adam Butler – Adaptive Assets, The Philosophy of Robust Quant
In this episode of The Acquirer’s Podcast, Tobias Carlisle chats with Adam Butler, CIO of ReSolve Asset Management. In this podcast Adam provided some great insights.
Same Same But Different
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.
Portfolio Optimization:
A General Framework for Portfolio Choice
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.
Press Release: ReSolve to acquire Acorn Global Investments
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...
Diversification – What Most Novice Investors Miss About Trend Following
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.
Dr. Kathryn Kaminsky:
Managed Futures Trend Following Q&A
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:
Create Your Own Bespoke Report!
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,...
Capital Efficiency Trumps Fees
in the Search for Portfolio Diversifiers
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.
ReSolve 2017 Year-End Report
Adaptive Asset Allocation mandates targeting a volatility closer to the long-term profile of global equities (16%-20%) produced almost double the return of U.S. stocks, with some mandates achieving over 40% return.
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