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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.
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 …
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.
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.
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...
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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