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Working Paper
Risk Parity Is Not Short Volatility (Not That There's Anything Wrong with Short Volatility)
August 21, 2019
Are risk parity strategies hiding an implicit short volatility? To find out, we simulated stylized versions of three asset-class (equity, fixed income, and commodities) risk parity and short volatility strategies, and we compared the trading behavior and returns of each.
Journal Article
Asset Allocation in a Low Yield Environment
August 21, 2017
In 2016, bond yields dropped to unprecedented low levels in major developed markets. Even in a low rate environment, we think it’s important to diversify across many return sources.
White Paper
Do DGFs Diversify?
June 30, 2017
Aggressive diversification across a broad range of intuitive, empirically-tested return sources may benefit investors seeking returns that has the added potential of being diversifying to the rest of their portfolios.
White Paper
Portfolio Rebalancing: Common Misconceptions
February 1, 2017
We address misunderstandings about the role and implications of rebalancing, particularly in the context of actively-managed portfolios.
Working Paper
Risk Everywhere: Modeling and Managing Volatility
January 26, 2016
This paper finds similarities in realized volatility patterns across assets and asset classes, based on a high-frequency dataset for more than 50 commodities, currencies, equity indices and fixed income instruments spanning more than two decades.
White Paper
Dog Bites Man: In August, Equity Selling in Risk Parity Was a Tiny Fraction of Market Volume
September 21, 2015
Commentators like to believe all price changes are about investors moving capital. But prices can move without trading, or with very little trading, if investors’ assessments of fundamentals or their eagerness to take risk, changes.