White Paper
May 16, 2023
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Jordan Brooks
We certainly find ourselves in uncertain times – but how uncertain are they? We show macro uncertainty is currently high versus history. We also address whether elevated macro uncertainty is likely to persist, or if we should instead expect a return to the low uncertainty environment. Lastly, we address the implications for investors, both in terms of possible returns to traditional assets, and as to what alternatives might prosper or decline in such an environment.
Quick Takes
Q1 2023
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Portfolio Solutions Group
What is alternative trend following? We summarize what a trend following approach is, how it can be applied to alternative markets, and why alternative trend following approaches have historically outperformed during difficult periods for traditional asset classes.
White Paper
November 16, 2022
Trend following is having a banner 2022 amidst a year of turmoil for traditional portfolios, but investors exploring an allocation to trend-following may be wondering if they are “late to the trade,” while also anchoring their expectations to the lean 2010s. We show that both the macroeconomic picture and empirical evidence suggest that strong performance for trend-following may persist, making it a potentially valuable source of diversifying returns during a challenging time for the rest of investors’ portfolios.
Journal Article
November 1, 2017
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Brian K. Hurst
Yao Hua Ooi
Lasse H. Pedersen
We simulate a trend-following strategy back to 1880 and investigate whether strong performance over a few decades was a statistical fluke, or a more robust phenomenon that may hold true over a wide range of economic conditions.
White Paper
November 1, 2010
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Brian K. Hurst
Yao Hua Ooi
Lasse H. Pedersen
Many investors have shied away from managed futures, perhaps due to a lack of understanding of how and why they work. This paper shows how such a strategy can be implemented. We then discuss their performance and diversification benefits historically
White Paper
August 10, 2017
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Jordan Brooks
"Macro momentum has the potential to deliver strong positive returns with low correlation to traditional asset classes across macroeconomic and market environments. It may also provide diversification benefits in bear equity markets and rising yield environments. "
Journal Article
February 1, 2013
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Brian K. Hurst
Yao Hua Ooi
Lasse H. Pedersen
Commodity trading advisors (CTAs) managed approximately $320 billion as of the end of the first quarter of 2012, running “managed futures” funds that invest long or short in futures contracts on a variety of commodities, such as metals, grains, cotton and other physical goods, as well as futures and forwards on equity indices, Treasury bonds and currencies.
Journal Article
April 23, 2020
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Nicholas McQuinn
Ashwin Thapar
Daniel Villalon
Investors have a natural urge to protect their portfolios from sudden crashes, even though bad outcomes that unfold over longer periods are more detrimental to reaching long-term goals. We show risk-mitigating and diversifying strategies have added value more consistently than options-based hedging over the more important, longer drawdowns.
White Paper
July 1, 2011
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Lars N. Nielsen
Daniel Villalon
Adam Berger
The financial crisis of 2008 made investors painfully aware of tail risk. We present several approaches, when used in combination, may be effective in reducing tail risk.