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Skis and Bikes: The Untold Story of Diversification
In most parts of Canada we have very distinct seasons. Some months of the year are temperate and relatively dry, while other months are cold and snowy. As a result, most Canadian towns of any size have stores that sell skis and bikes. Of course, they don’t inventory both skis and bikes at …
Keep ReadingReSolve Buffett Bet Portfolio Based on Risk Parity and Factors
In 2008 Warren Buffett proposed a public bet that actively managed investment products, plagued by high fees, would not live up to the goal of beating a passive investment in the Vanguard S&P 500 ETF over the subsequent decade. Only one person had the intellectual conviction to represent the …
Keep ReadingPart 2: Evidence Based Investing is Dead Long Live Evidence Based Investing!
Edesess’ case against evidence-based investing rests on three general assertions. There is a very real issue with using a static t-statistic threshold when the number of independent tests becomes very large. Financial research is often conducted with a universe of securities that includes a large number of …
Keep ReadingEvidence Based Investing is Dead. Long Live Evidence Based Investing! Part 1
Michael’s case against evidence based investing rests on three general assertions. First, there is a very real issue with using a static t-statistic threshold when the number of independent tests becomes very large. Second, financial research is often conducted on a universe of securities that includes a large number of …
Keep ReadingDynamic Asset Allocation for Practitioners Part 4: Momentum Weighting
To be crystal clear, our discussion will NOT focus on trying to identify which signals or parameters, or combinations of signals and parameters, are better or worse than others. While most quants – being tinkerers at heart – waste most of their time fine-tuning the parameters of …
Keep ReadingDynamic Asset Allocation for Practitioners, Part 3: Risk-Adjusted Momentum
So far, we’ve discussed the importance of investment universe selection and price momentum in designing a robust asset allocation methodology. If you haven’t read those articles, we would strongly encourage you to do so before proceeding with this one. We lay most of the …
Keep ReadingDynamic Asset Allocation for Practitioners, Part 2: The Many Faces of Price Momentum
The balance of this series will present ways to harness the momentum effect across global asset classes. The strategies we present will be long-only because such approaches harness two major sources of return: the long-term premia derived from exposure to risky assets …
Keep ReadingDynamic Asset Allocation for Practitioners, Part 1: Universe Selection
In this series, we deep dive into the fundamentals of Adaptive Asset Allocation. Provide an intuitive baseline for Global Tactical Asset Allocation strategies in general.
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