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Over Two Centuries of Global Factor Premiums Paper Summary
Portfolio Optimization and the Sharpe Multiplier: A Case Study on Managed Futures
We’ve spent a great deal of time in past articles discussing the merits of portfolio optimization. In this article we will examine the merits and challenges of portfolio optimization in the context of one of the most challenging investment universes: managed futures.
Keep ReadingPortfolio Optimization: Simple versus Optimal Methods
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 …
Keep ReadingSame 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.
Keep ReadingPortfolio 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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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.
Keep ReadingDr. 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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