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.
Keep ReadingAsset Allocation
From Fragility to Robustness: The Value of Ensembles – A Case Study in Robust Equity Momentum
We explore the mirror concepts of fragility & robustness using a slimmed-down version of the Newfound/ReSolve Robust Equity Momentum Index.
Keep ReadingGlobal Equity Momentum: A Craftsman’s Perspective – Executive Summary
Quantitative investment researchers often seek uniquely optimal parameterizations of their strategies amongst a broad “robust” region of parameter choices. However, this ignores a critically important feature of investing – Diversification. By diversifying across many equally legitimate parameter choices – an ensemble – investors may …
Keep ReadingOver Two Centuries of Global Factor Premiums Paper Summary
Same Same But Different
The goal of this article is to illustrate how seemingly inconsequential changes to the trading mechanics of a strategy, which have little impact on the long-term expected performance, can have a material impact on results in the short-term.
Keep ReadingCapital Efficiency Trumps Fees in the Search for Portfolio Diversifiers
The article below illustrates how capital efficiency, taxes, and fees impact portfolio choices given what we feel to be reasonable assumptions. However, we recognize that you may have different views on these variables.
Keep ReadingSkis and Bikes: The Untold Story of Diversification
In most parts of Canada we have very distinct seasons. Some months of the year are temperate and relatively dry, while other months are cold and snowy. As a result, most Canadian towns of any size have stores that sell skis and bikes. Of course, they don’t inventory both skis and bikes at …
Keep ReadingDynamic Asset Allocation for Practitioners Part 4: Momentum Weighting
To be crystal clear, our discussion will NOT focus on trying to identify which signals or parameters, or combinations of signals and parameters, are better or worse than others. While most quants – being tinkerers at heart – waste most of their time fine-tuning the parameters of …
Keep ReadingCE Webinar Blitz: Is Risk Parity a Ticking Timebomb? Do Valuations Even Matter Anymore?
Learn how to Position Your Clients – and Your Practice – to Dominate in the Tumultuous Years Ahead. Market dissonance (and a shrinking CE credit window) means that now is a great time to prepare portfolios for an uncertain future. And as it happens, two of the…
Keep Reading2-Minute Portfolio or Global Diversification? An Evidence Based Analysis
Yesterday we received a thoughtful inquiry from a client, whose spouse has been following the so-called “2-Minute Portfolio” publicized by vocal advisor critic Rob Carrick at Canada’s The Globe and Mail newspaper. The client was being challenged by his spouse about his …
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