In some ways new investment concepts are like any new technology. The progenitors of any early technology typically earn extraordinary profits until competition heats up. Eventually competition drives down profit margins and the technology becomes commoditized. But investment technology has a special quality that arises from…
Keep ReadingUncategorized
Novel Price Estimator Guaranteed to Produce Non-Negative Prices
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 ReadingFrom 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 ReadingPortfolio Optimization and the Sharpe Multiplier: A Case Study on Managed Futures
We’ve spent a great deal of time in past articles discussing the merits of portfolio optimization. In this article we will examine the merits and challenges of portfolio optimization in the context of one of the most challenging investment universes: managed futures.
Keep ReadingPortfolio Optimization: Simple versus Optimal Methods
Our whitepaper “The Optimization Machine: A General Framework for Portfolio Choice” presented a logical framework for thinking about portfolio optimization given specific assumptions regarding expected relationships between risk and return. We explored the fundamental roots of common portfolio …
Keep ReadingTactical Alpha: Theory & Practice (Pt. I) Fundamental Law of Active Management
While some investors make active decisions on their own, many investors delegate their active bets by hiring active stock and bond investment managers via the purchase of funds or Separately Managed Account (SMA) mandates.
Keep ReadingGet the Book
ReSolve Masterclass
Series
Gestalt University Podcasts
ReSolve's Riffs
Every Friday
Live on
