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Journal Article

Enhanced Portfolio Optimization

Winner of the 2021 Graham and Dodd Top Award

March 2, 2020 - Lasse H. Pedersen Abhilash Babu Ari Levine

We show how to identify the portfolios that cause problems in standard mean-variance optimization (MVO) and develop an enhanced portfolio optimization (EPO) method that addresses the problems. Applying EPO on several realistic datasets, we find significant gains relative to standard benchmarks.

Journal Article

Trends Everywhere

May 15, 2019 - Abhilash Babu Ari Levine Yao Hua Ooi Lasse H. Pedersen Erik Stamelos

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.

Journal Article

You Can't Always Trend When You Want

April 23, 2019 - Abhilash Babu Ari Levine Yao Hua Ooi Sarah Schroeder Erik Stamelos

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.

Journal Article

Commodities for the Long Run

October 20, 2016 - Ari Levine Yao Hua Ooi Matthew P. Richardson Caroline Sasseville

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 - Ari Levine Lasse H. Pedersen

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.

White Paper

Building a Better Commodities Portfolio (2012)

July 1, 2012 - Bradley Kay Ari Levine Yao Hua Ooi Lasse H. Pedersen

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.