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 ..

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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…

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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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March Madness Portfolio Challenge: Final Four Ranks

Mar 29, 2016

Well, stick a fork in it: our March Madness Portfolio Challenge is done, before the Final Four games even tip off!  Laura B ran away with it, and nobody else can catch up, no matter what happens from here on out.  Everyone else is just fighting for the table scraps. So, enjoy the rest of the …

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March Madness Portfolio Challenge: Elite 8 Leaderboard

Mar 26, 2016

Today, we just have a quick update on our March Madness Portfolio Challenge rankings.  Long story short: Laura B. still has a commanding grip on the field.  Her remaining teams are: Virginia (20%), Oklahoma (20%), Oregon (20%) and ‘Nova (20%), which …

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March Madness Portfolio Challenge: Round 2 Leaderboard

Mar 22, 2016

So, Round 2 is in the books, and my beloved Wisconsin Badgers are once again through to the Sweet 16. Oh, alright.  I guess I’ll update everyone on the leaderboard since all the second round games have passed.  But before I get to that, let’s quickly …

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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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