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
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Portfolio construction
Global 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 …
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.
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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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