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.

Tactical Strategies and The Anatomy of A Bear Market

The last few weeks have been some of the toughest in recent memory for investors, as we have observed an intense global market selloff that began in late February and continued into early March of 2020 (as of the writing of this report).

From Fragility to Robustness: The Value of Ensembles A Case Study in Robust Equity Momentum

We explore the mirror concepts of fragility & robustness using a slimmed-down version of the Newfound/ReSolve Robust Equity Momentum Index.

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Global Equity Momentum: A Craftsman’s Perspective – Executive Summary

Quantitative investment researchers often seek uniquely optimal parameterizations of their strategies amongst a broad “robust” region of parameter choices. However, this ignores a critically important feature of investing – Diversification. By diversifying across many equally legitimate parameter choices – an ensemble – investors may …

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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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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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2017 Year-End Review

Don’t be fooled. Strong investment results are a function of proven process + relentless discipline + favorable conditions. Sometimes the best process followed with vigilant discipline delivers disappointing results. In other years these qualities are enhanced by...

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2017 Year-End Review

Don’t be fooled. Strong investment results are a function of proven process + relentless discipline + favorable conditions. Sometimes the best process followed with vigilant discipline delivers disappointing results. In other years these qualities are enhanced by...

read more