Maximizing the Rebalancing Premium: Why Risk Parity portfolios are much greater than the sum of their parts

We examine the distribution of rebalancing premiums for a simple risk parity implementation (a version of the Permanent Portfolio) consisting of US stocks, gold and bonds from 1982 through May 2020. We then proceed to analyze historical and expected future rebalancing premia for a variety of global risk parity strategies ..

Are We Living in a Post-Factor World?

In some ways new investment concepts are like any new technology. The progenitors of any early technology typically earn extraordinary profits until competition heats up. Eventually competition drives down profit margins and the technology becomes commoditized. But investment technology has a special quality that arises from…

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.

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The Definitive Book on Factor Based Investing

Smart beta. Empirical finance. Evidence-based investing. These terms have migrated from the periphery of the investment ecosystem just ten years ago to become the investment world’s most popular memes today. Why?

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Stop Paying for Active Management Beta

For evidence, look no further than sales of bottled water in the first world. Our ancestors spent hundreds of billions of dollars developing the infrastructure to deliver potable water to every home, yet we spend billions each year to purchase bottled versions of …

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Risk Parity and The Four Faces of Risk

The goal of this article is to summarize the complex dynamics that drive asset returns. You’ll discover that asset returns are impacted by four sources of risk. Two of these risks affect all assets in the same way, and therefore are undiversifiable. The other two risks …

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The Life of a Thanksgiving Turkey: An Investment Fable

So who are the turkeys in the current market? Consider that for the past 7 years, the world’s central banks have fed investors with a steady diet of nearly unlimited support for risky assets like global stocks, bonds, and real estate.  Markets have been buffeted time and …

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Can Robo-Advisors Evolve? Introducing Robo 2.0

We have launched the ReSolve Online Advisor , which goes well beyond what is available in traditional investment products to target the highest ratio of excess return to risk, at any reasonable return or risk objective. Check it out now, or read on to …

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About Us

ReSolve Asset Management Blog is an investment research forum, opinion pieces, and educational material from the team at ReSolve Asset Management. Our views are driven by evidence based finance, with a special focus on asset allocation, factors and smart beta, retirement and endowment strategies, and quantitative methods.

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