Adaptive Asset Allocation

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 …

Keep Reading

Measuring Tactical Alpha, Part 2

When we left off in Part 1, we promised to examine how select Global Tactical Asset Allocation products stack up against the Global Market Portfolio from the perspective of several performance measures – particularly Sharpe ratio, alpha and information ratio.

Keep Reading

Measuring Tactical Alpha, Part 1

Grinold linked investment alpha and Information Ratio to the breadth of independent active bets in an investment universe with his Fundamental Law of Active Management. Breadth is often misinterpreted as the number of eligible securities in a manager’s investment universe, but this ignores the impact of correlation.

Keep Reading

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.

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