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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Risk Parity isn’t the Problem, it’s the Solution

Bank of America Merrill Lynch recently released a research note suggesting that Risk Parity investment strategies currently represent a substantial source of systematic risk in global markets.  The note was picked up breathlessly by several media outlets and posted under …

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Brexit: A Case Study in Diversification and Downside Protection

The ‘Leave’ outcome was mostly unexpected, as polls run earlier in the week had shown the ‘Remain’ camp to be confidently in control. As a result, stock markets around the world reacted predictably to heightened uncertainty and potential hidden risks on bank balance sheets …

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Our Podcast Interview with “Money Tree”

On the heels of our publishing Adaptive Asset Allocation, over the past couple months, we were invited to join a number of excellent financial podcasts.  We love these types of opportunities, and they differ from traditional media interviews in that we actually …

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NVCC Bonds: How Much Risk Would You Take for an 8% Yield?

Banks make money by taking your deposits and loaning against them.  In fact, the law allows for banks to loan out a surprising amount of capital against your deposit, up to 90-95%, keeping only a 5-10% capital cushion. If we assume that banks do this many …

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Our Money Life Podcast Interview with Chuck Jaffe

On the heels of our publishing Adaptive Asset Allocation, over the past couple weeks, we were invited to join a number of excellent financial podcasts.  We love these types of opportunities, and they differ from traditional media interviews in that we actually have …

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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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