2014

Baseball Umpires are Biased…and You Are, Too.

We recently came across an article that was written about baseball umpires.  It turns out that baseball umpires are biased…and you are, too.  We love the intersection of sports, investing and general statistics, and this was no exception.  Here are some examples:

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Monopoly for the Modern Era

have a 2-year old living in my house, and as a quant/nerd/economist, I’m always looking for unique ways to educate my wee lad on how the world really works. Games have always played an important social role in my family, and Monopoly has held a prominent role even in the pantheon of games.

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Forget active vs. passive. It’s all about factors

We just love a good debate, and there seems to be quite a heated debate at the moment about the relative utility of passive versus active investing. Perhaps this debate is as timeless as investment management itself, but a flurry of recent studies may have finally armed passive advocates with enough ammunition to settle the argument once and for all.

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Fallacies of the Fed Model

The Journal of the Society of Actuaries held a contest for articles on investment myths, and we are honored to have had our article on ‘Fallacies of the Fed Model’ chosen for publication in this prestigious journal. We want to thank our co-authors, David Cantor and Kunal Rajani of PriceWaterhouseCoopers, for proposing this collaboration, and for their critical insights and analytical contributions.

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A Global Passive Benchmark with ETFs and Factor Tilts

In a recent article published in Financial Analysts Journal, Charles Ellis makes an excellent case for the death of active management. Ellis asserts that the efficiency of a market is a function of the number and quality of active, informed investors at work in the market at any time. As more investor

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Setting Expectations for Monthly Trading Systems

Systematic researchers overwhelmingly use monthly holding periods to test strategies. This is probably driven by the availability of long-term monthly total return data for a wide variety of indexes, where daily data is more scarce. This is fine to a point, but investors may not be aware of just how sensitive results might be to day-of-the-month effects which may not persist out of sample.

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Valuation Based Equity Market Forecasts: Q2 2014

We endorse the decisive evidence that markets and economies are complex, dynamic systems which are not reducible to linear cause-effect analysis over short or intermediate time frames. However, the future is likely to rhyme with the past.

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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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