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White Paper
Building a Better Commodities Portfolio
July 1, 2012
Rather than relying on passive indexes like the S&P GSCI and the Dow Jones-UBS Commodity Index, investors can potentially build a better commodities portfolio by balancing risk across sectors and targeting a steady level of volatility through time.
White Paper
Trend Following and Rising Rates
May 12, 2015
Can trend followers benefit from the impact of rising yields on asset class returns? We explore a simple trend-following strategy during rising rates and find that the strategy may benefit investors when markets experience gradual, persistent changes
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.
White Paper
Understanding Managed Futures
November 1, 2010
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
Can Risk Parity Outperform If Yields Rise?
July 1, 2013
Risk parity investing is not, as some critics say, simply “leveraging bonds.” The evidence suggests that a risk parity portfolio may improve long-term risk-adjusted returns relative to traditional, equity-centric portfolios.
White Paper
Understanding Risk Parity
October 1, 2010
This paper describes a simple risk parity strategy and compares its performance to the typical 60/40 portfolio over nearly 40 years of historical data.
Journal Article
Trends Everywhere
May 15, 2019
We provide new out-of-sample evidence on trend-following investing by studying its performance for 82 securities not previously examined and 16 long-short equity factors.