2014

World Cup Outcomes Are Mostly Random: So Who Cares?

This post will be short and sweet as it’s largely an addendum to our previous post NFL Parity, Sample Size and Manager Selection.  It was motivated primarily by an interesting analysis by Tom Murphy, a physics professor at the University of California – San Diego. We greatly admire Dr. Murphy and highly recommend his blog.

Keep Reading

Article in Taxes & Wealth Management

The Miller Thompson / Reuters monthly Taxes and Wealth Management newsletter carried an article we authored on the relationship between portfolio volatility and retirement planning.

Keep Reading

Do You Spinu? A Novel Equal Risk Contribution Method for Risk Parity

Risk Parity seems to have (temporarily?) lost its place near the top of the institutional asset allocation wish list, no doubt because it proved vulnerable to policy shocks during last year’s central bank equivocation. Nevertheless we continue to believe the concept is valuable if thoughtfully applied.

Keep Reading

Cluster Shrinkage

In this article, we would like to integrate the cluster concepts we introduced in our article on Robust Risk Parity with some ideas proposed and explored by Varadi and Kapler in the last few months

Keep Reading

The Evolution of Optimal Lookback Horizon

Many asset class rotational systems are optimized on lookback horizon (to our observation, most use 120 days), so we thought it would be interesting to investigate the evolution of optimal lookback horizon through time. This allows us to put ourselves in the position of an analyst at different points in history and try to speculate on the choices he might have made given the information at his disposal then.

Keep Reading

Why Skill Never Prevails in Your NCAA March Madness Office Pool

As quants and sports fans we often find ourselves analyzing statistics from the sports world. And seeing as college basketball dominates the sports landscape for the next few weeks, it’s no surprise we are inspired to write about the NCAA Men’s Basketball Tournament, aka March Madness.

Keep Reading

The Black Box: Eyewitness Testimony and Investment Models

Multiple discovery suggests that the most valuable, achievable advances in a field are often being examined simultaneously – yet independently – by many people at the same time.  It stands to reason that on these occasions, leaps in logic can often occur at the same time by independent parties.

Keep Reading

NFL Parity, Sample Size and Manager Selection

We’ve been discussing issues around statistical significance – most notably, what makes a tested model’s results significant and therefore likely to perform in a consistent fashion when implemented in real time. In our last article we discussed what constitutes robustness in the context of testing a trading model.

Keep Reading

Towards a Simpler Palate

The current article series deals with the concept of performance decay, which occurs when the performance of a systematic trading strategy is materially worse in application than it appeared during testing. We dealt with the concept of arbitrage in our last post, drawing a parallel with the phenomenon of ‘multiple discovery’ in science.

Keep Reading

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.

Get the Book

ReSolve Masterclass
Series

Gestalt University Podcasts

ReSolve's Riffs

Every Friday

Live on