We explore the mirror concepts of fragility & robustness using a slimmed-down version of the Newfound/ReSolve Robust Equity Momentum Index.
From Fragility to Robustness: The Value of Ensembles – A Case Study in Robust Equity Momentum
read more
Asset Allocation
Over Two Centuries of Global Factor Premiums Paper Summary
The paper “Global Factor Premiums” analyzes well known return anomalies by employing long-term data not previously considered in the literature. They replicate seminal studies with a uniform methodology and introduce robust statistical tests that are resilient to p-hacking.
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.
Capital 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.
Skis 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 …
2-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 …
Asset Allocation is Not for the Faint of Heart (Long Live Diversification)
We have posted a lot of research on fairly complex asset allocation topics, but I think many readers would be surprised to learn that I am actually highly skeptical about historical market statistics. I don’t think that we can draw any meaningfully precise …
3 Reasons to Ignore Dow 20,000 and Focus on Better Portfolio Outcomes
It is simple to achieve better portfolio outcomes by going global, thinking differently about diversification, and targeting optimal portfolio balance.
The Definitive Book on Factor Based Investing
Smart beta. Empirical finance. Evidence-based investing. These terms have migrated from the periphery of the investment ecosystem just ten years ago to become the investment world’s most popular memes today. Why?
Rising Rates, Valuation, and Bias: Round 2 with the Meb Faber Podcast
Recently, ReSolve’s fearless leaders – Mike Philbrick, Adam Butler and Rodrigo Gordillo – were invited to join Meb Faber on his new podcast. Meb was kind enough to geek out with us for almost an hour about a wide variety of topics. In this second of two posts …
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
