April 23, 2019
We present a framework for understanding the drivers of trend-following returns and show that recent performance challenges are primarily due to muted moves across global markets rather than a change in trend following’s ability to translate market trends into profits.
Macroeconomics
June 14, 2019
This week we give you a recap of the major moves in macro markets so far this year. In order to make it more topical, we compare each of these markets to NBA playoff teams. We find that much of the teams’ performance can be explained by market beta.
Tax Aware
June 13, 2019
We evaluate the tax benefit of dividend avoidance for quantitative multi-style strategies and find that dividend avoidance generally reduces implementation efficiency, thus lowering expected pre-tax returns.
Asset Allocation
June 7, 2019
We challenge an assertion in Warren Buffett's latest annual letter and emphasize the need for diversification for pensions and endowments.
Machine Learning
June 7, 2019
The early evidence hints that machine learning tools can potentially improve investment portfolios. Application of machine learning techniques is a natural evolution for investment research, and one that will continue to be explored.
Macroeconomics
June 7, 2019
The trade war has continued to be on the top of investors’ minds. This week we look at tariffs as an economic shock. It may very well be the most electrifying wrap-up sent by a quant firm this week on the topic of trade.
May 31, 2019
This week, we look at the elections in Europe and remind everyone about some of the people who were left behind by the common currency: the foreign exchange traders in bygone European currencies. They were the ones who conquered the world with their markets in liras, francs, marks and drachma. Twenty years ago, it all ended with the euro. Do the elections mean that trouble is brewing? Will these traders return to their past glory?
Factor/Style Investing
May 28, 2019
We examine the track record of Spanish investor Francisco Garcia Parames, leading Portfolio Manager of Bestinver Asset Management, and find that a large part of his success is attributable to patient exposure to well-rewarded factor premia.
Factor/Style Investing
May 28, 2019
We examine the track records of two renowned U.K. fund managers: Neil Woodford and Terry Smith and find that a large part of their long-term success is due to patient exposure to well-rewarded factor premia.
Macroeconomics
May 24, 2019
Short-rate pricing has been confusing. We've gotten a lot of questions about why markets have been so aggressive in pricing rate cuts when the economy is doing well, and there haven't been any clear signals that the Fed will ease policy. We look at how investors may misinterpret short-rate pricing and provide some history to put it in context. Unlike last week's, this piece is written entirely in Modern English.
ESG Investing
May 22, 2019
We propose and implement a procedure to dynamically hedge climate change risk and discuss multiple directions for future research on financial approaches to managing climate risk.
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