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.

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.

Risk Parity in the Time of COVID

Consistent with misapprehensions expressed during other recent market crises, there has been a chorus of alarmist speculation about the actions and state of risk-parity strategies during the current crash. We felt it would be helpful to revisit the concept of risk parity and take a snapshot of how a typical global risk parity strategy might have been expected to behave this year.

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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.

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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.

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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.

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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.

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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.

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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.

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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...

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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.

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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:

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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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