- Filter By.
-
Topic (${ Topics.length })
-
-
Type (${ ContentTypes.length })
-
Contributor (${ Contributors.length })
- Relevance
- Newest
- Oldest
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.
Journal Article
Commodities for the Long Run
October 20, 2016
This paper analyzes a novel data set of commodity futures prices between 1877-2015, allowing us to show that returns do vary significantly across business cycles but can add value to a diversified portfolio from an asset allocation perspective.
Journal Article
Which Trend Is Your Friend?
March 17, 2016
The academic literature and real-world investors have put forth a whole host of strategies that on the surface appear unique but that are all related to trend-following at a high level.
Working Paper
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.
White Paper
You Can't Always Trend When You Want
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.