Quant Mashup - Invest Resolve
How to Replicate Trend Following Managed Futures [Invest Resolve]
Trend-following managed futures strategies offer a compelling opportunity for investors to diversify their portfolios beyond traditional stocks and bonds. By capitalizing on persistent trends across a wide range of liquid futures markets – from commodities to currencies to equity and bond
- 1 month ago, 20 Aug 2024, 10:10pm -
Portable alpha for all: Return stacked strategies for diversification without sacrifice [Invest Resolve]
Diversification is the cornerstone of investing. This principle, fundamentally understood as not concentrating all resources into a single investment, inherently seeks to minimise risk while potentially smoothing out returns over the long term. By spreading investments across uncorrelated assets,
- 5 months ago, 25 Apr 2024, 10:02pm -
Maximizing the Rebalancing Premium [Invest Resolve]
This short article investigates the rebalancing premium that investors may expect from risk parity portfolios¹. It is offered as an appendix to the paper, “Risk Parity: Methods and Measures of Success”. We define rebalancing premium as the difference between the compound return on a portfolio,
- 3 years ago, 3 Dec 2020, 07:58pm -
ReSolve Riffs on Gold vs Treasury as Disaster Protection [Invest Resolve]
This is “ReSolve’s Riffs” – live on Youtube every Friday afternoon to debate the most relevant investment topics of the day. The recent pandemic-led selloff has once again highlighted the importance of having ballast in portfolios to deal with extreme equity volatility – and ultimately
- 4 years ago, 17 Jun 2020, 11:29am -
The Pandemic Portfolio - Risk Parity, Convexity, and Multi-Asset Factors in Extreme Markets [Invest Resolve]
How long will the recession last? How deep will it be? What are the long-term implications for the economy, markets, and society? The global pandemic has ushered in a period of extreme uncertainty and investors are left with too many unanswered questions and afraid for their portfolios. Where do we
- 4 years ago, 23 Apr 2020, 10:34am -
Portfolio Optimization for Efficient Stock Portfolios [Invest Resolve]
It’s time to rethink “passive” stock investing. While capitalization weighted U.S. stock indices have delivered good performance over the past decade and the long-term, many investors don’t realize that they can achieve similar returns with much less risk by employing risk-efficient
- 4 years ago, 3 Apr 2020, 09:39am -
Risk Parity in the Time of COVID [Invest Resolve]
Consistent with misapprehensions expressed during other recent market crises, there has been a chorus of alarmist speculation about the actions and state of risk-parity strategies during the current crash. We felt it would be helpful to revisit the concept of risk parity and take a snapshot of how a
- 4 years ago, 17 Mar 2020, 01:01pm -
Tactical Strategies and The Anatomy of A Bear Market [Invest Resolve]
The last few weeks have been some of the toughest in recent memory for investors, as we have observed an intense global market selloff that began in late February and continued into early March of 2020 (as of the writing of this report). Equity markets have experienced the steepest losses since
- 4 years ago, 16 Mar 2020, 09:03pm -
From Fragility to Robustness: The Value of Ensembles [Invest Resolve]
Google dictionary defines the word robust thusly: sturdy in construction able to withstand or overcome adverse conditions … and offers the following definitions for the word fragile: easily broken or damaged flimsy or insubstantial; easily destroyed not strong or sturdy; delicate and vulnerable
- 4 years ago, 28 Dec 2019, 12:22am -
Gregory Zuckerman: The Man Who Solved the Man Who Solved the Market [Invest Resolve]
For the quant community, it was arguably the most awaited book of 2019. Finally a peek behind the curtains into the most successful hedge fund manager in history. The +66% average (gross) returns that Jim Simons and his army of data scientists produced over the last 17 years in their Medallion fund
- 4 years ago, 23 Dec 2019, 12:50pm -
Global Equity Momentum: A Craftsman's Perspective - Executive Summary [Invest ReSolve]
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
- 5 years ago, 3 Apr 2019, 12:50pm -
Over Two Centuries of Global Factor Premiums [Invest ReSolve]
Hot off the press, a new paper by Guido Baltussen, Laurens Swinkels and Pim van Vliet at Dutch quant powerhouse, Robeco, covers global multi-asset factor premiums over an unprecedented sample of 217 years. We thought the topics and findings were important and timely enough to warrant a summary. The
- 5 years ago, 4 Feb 2019, 01:30am -
ReSolve 12 Days of Christmas [Invest ReSolve]
This holiday season, ReSolve is offering a gift in podcast-form: a 12-episode mini-series, where we will explore, from first principles, timeless investment wisdom that will help you maximize your long-term success. From universe selection to portfolio construction, our aim is to offer you a
- 5 years ago, 21 Dec 2018, 09:31pm -
Portfolio Optimization and the Sharpe Multiplier [Invest ReSolve]
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. Futures exhibit several
- 6 years ago, 25 Sep 2018, 09:00am -
Portfolio Optimization: Simple versus Optimal Methods [Invest ReSolve]
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
- 6 years ago, 17 Sep 2018, 10:53am -
Diversification - What most novice investors miss about trend following [Invest ReSolve]
In his 1998 second edition of “Stocks for the Long Run1”, Jeremy Siegel added a chapter called “Technical Analysis and Investing with the Trend”, where he explored simple trend rules to time the U.S. stock market. In the chapter, Dr. Siegel revealed that the simple trend following strategy
- 6 years ago, 26 Apr 2018, 11:18am -
Capital Efficiency Trumps Fees in the Search for Portfolio Diversifiers [Invest Resolve]
Returns to the simplest domestic capitalization weighted indexes have dominated virtually all active strategies over the nine years since the Global Financial Crisis. It’s not hard to understand why many investors have opted to eschew active strategies altogether, and instead have migrated en
- 6 years ago, 5 Apr 2018, 12:34pm -
Skis and Bikes: The Untold Story of Diversification with Risk Parity [Invest Resolve]
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 the same
- 6 years ago, 5 Dec 2017, 09:51am -
ReSolve's Buffett Bet Portfolio Based on Risk Parity and Factors [Invest Resolve]
Note: This is not an official bet. We’re not interested in documenting all the potential details that would be involved, and we don’t have $1million to wager. Moreover, licensed firms are not allowed to make public fund recommendations, so the details of an official bet would have to be private
- 6 years ago, 25 Oct 2017, 11:20am -
Part 2: Evidence Based Investing is Dead. Long Live Evidence Based Investing! [Invest Resolve]
Note: this is Part two of a two-part article series. Please see article one here. Michael Edesess’ article, The Trend that is Ruining Finance Research, makes the case that financial research is flawed. In this two-part article series, weexamine the points that Edesess raised in some detail. His
- 7 years ago, 26 Sep 2017, 11:37am -
Evidence Based Investing is Dead. Long Live Evidence Based Investing! Part 1 [Invest Resolve]
Michael Edesses’ article, “The Trend that is Ruining Finance Research” makes the case that financial research is flawed. In this two-part article series, we will examine the points that Michael raises in some detail. We find his arguments have some merit. Importantly however, his article fails
- 7 years ago, 20 Sep 2017, 11:11am -
Dynamic Asset Allocation for Practitioners Part 4: Momentum Weighting [Invest Resolve]
In the first three articles of our Dynamic Asset Allocation for Practitioners series (article 1, article 2, article 3), we focused on the first half of the total process. We specified a universe of global asset classes and sorted it on relative strength with 21 different raw and risk-adjusted
- 7 years ago, 12 Sep 2017, 01:23pm -
Dynamic Asset Allocation for Practitioners, Part 3: Risk-Adjusted Momentum [Invest Resolve]
So far, we’ve discussed the importance of investment universe selection and price momentum in designing a robust asset allocation methodology. If you haven’t read those articles, we would strongly encourage you to do so before proceeding with this one. We lay most of the explanatory and
- 7 years ago, 29 Jun 2017, 05:31am -
Dynamic Asset Allocation for Practitioners, Part 2: The Many Faces of Price Momentum [Invest Resolve]
In our last post, we covered the importance of a well-designed investment universe as a precondition for thoughtful diversification. In this second article on Dynamic Asset Allocation for Practitioners we will explore several methods for measuring price momentum to compare and contrast their utility
- 7 years ago, 20 Jun 2017, 08:52am -
Dynamic Asset Allocation for Practitioners, Part 1: Universe Selection [Invest Resolve]
In 2012 we published a whitepaper entitled “Adaptive Asset Allocation: A Primer” in which we built upon the simple, robust momentum framework proposed by Mebane Faber in his 2009 study “Relative Strength Strategies for Investing.” Our approach utilized a portfolio optimization overlay to
- 7 years ago, 7 Jun 2017, 11:42am -
The Case for Tactical Alpha, Part 3: The Greatest Trick Wall Street Ever Pulled [Invest Resolve]
The investment industry has investors convinced that the only path to better performance is through stock selection. As a result, most investors approach the challenges of portfolio construction exactly backward and miss out on the most important opportunities to produce differentiated performance.
- 7 years ago, 23 May 2017, 12:37pm -
The Case for Tactical Alpha, Part 2: The Fundamental Flaw of Grinold’s Fundamental Law [Invest Resolve]
We suspect you’re skeptical, and that’s a good thing. In fact, the more skeptical you are, the more you need to download our full 26-page paper “Tactical Alpha: A Quantitative Case for Active Asset Allocation.” In it, we discuss research from such luminaries as Brinson, Ibboston and Kaplan,
- 7 years ago, 16 May 2017, 10:40am -
Prospect Theory, Bias, and Chalk: Our 2017 March Madness Wrap [Invest Resolve]
Congrats to the First Place Loser Let’s start off in the obvious place: Mike Philbrick, the poor-man’s Gronkowski, went wire-to-wire in last place. That makes us happy, and so first and foremost, we come to bury him. It’s entirely his fault. We know because the scoring rules were such that,
- 7 years ago, 4 Apr 2017, 07:15pm -
PSA: Your NCAA March Madness Rules are Garbage. Do This Instead. [Invest Resolve]
On the heels of last year’s fun and successful March Madness Bracket Challenge (“WHERE SKILL PREVAILS!”), we are happy to invite any and all to 2017’s version. Feel free to read the post for this year’s rules, but bear in mind this year’s pool is limited to 250 entrants, so don’t wait:
- 7 years ago, 8 Mar 2017, 01:30am -
Using Time-Series Momentum to Intentionally Miss the Best Months. Yes, Really. [Invest Resolve]
The buy-and-hold crowd, including many mutual fund companies and a large cross-section of vocal pundits, like to talk about how missing the N best days/months in the market causes a serious impairment to long-term investor returns. What they fail to mention is that, because stock market volatility
- 7 years ago, 3 Mar 2017, 12:44pm -