CSSA


 

Risk Management and Dynamic Beta Podast [0.08]

Posted on Aug. 4, 2017, 3:52 p.m. by CSSA @ [source]

I had the honor of speaking with Mebane Faber of Cambria Investment Management recently where I discussed the topic of risk management and also applying a dynamic beta approach on his widely popular podcast “The Mebane Faber Show”.

Here is the link to the podcast.

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Welcome QuantX! [0.20]

Posted on Jan. 27, 2017, 7:23 p.m. by CSSA @ [source]

I am very proud to announce that readers can finally have access to products based on many of the quantitative ideas used in the blogosphere and published in academic research. Yesterday we launched five new ETFs through the QuantX Brand (linked to Blue Sky Asset Management).

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Tracking the Performance of Tactical Strategies [0.23]

Posted on Sept. 8, 2016, 10:03 p.m. by CSSA @ [source]

The backtests for these strategies use a very detailed and comprehensive method that is both conservative and realistic.

Disclosure: The author(s) principally responsible for the preparation of this material are expressing their own opinions and viewpoints, which are subject to change without notice and may differ from the view or opinions of others at BSAM or its affiliates.

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Book Review: Adaptive Asset Allocation [0.10]

Posted on Feb. 29, 2016, 5:34 p.m. by CSSA @ [source]

I recently read “Adaptive Asset Allocation” ( link to the book) by Butler, Philbrick and Gordillo of ReSolve Asset Management. The book is the culmination of research developed over the years by the ReSolve team towards the next generation approach of dynamic asset allocation.

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Volatility Futures and S&P500 Performance [0.00]

Posted on Feb. 23, 2016, 5:12 p.m. by CSSA @ [source]

 

Investors Should Tread Lightly [0.08]

Posted on Sept. 5, 2015, 3:08 a.m. by CSSA @ [source]

A tactical approach based on momentum would require that investors reduce their risk recently as volatility rose and trends deteriorated. Like the last five episodes of “Breaking Bad”, investors can expect a wild ride with many different twists and turns.

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The Observation Model is the Best Defense [0.12]

Posted on July 16, 2015, 11:06 p.m. by CSSA @ [source]

Sometimes the decisions we make in everyday life are good case studies for making effective investing decisions. During our trip we planned to hike to Oia – which has the nicest views on the island.

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The Greek Domino Effect [0.33]

Posted on July 3, 2015, 11:04 p.m. by CSSA @ [source]

Check out our latest post on Greece and how to trade it here. We believe that a quantitative approach is the best way to trade macro events.

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Think MPT Doesn’t Work? Clearing Up Some Misconceptions [0.17]

Posted on June 25, 2015, 7:27 a.m. by CSSA @ [source]

Think MPT Doesn’t Work?

A note to readers: I have posted some interesting material the last few weeks on Blue Sky Asset Management (BSAM) that may be of interest.

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Real Momentum: A Longer-Term Backtest [0.10]

Posted on May 9, 2015, 7:18 a.m. by CSSA @ [source]

In the last post I introduced the concept of “real momentum” which is a trend following signal based on real returns. Without assuming a return on cash here are the results compared to a traditional absolute/time-series momentum strategy that uses a risk-free rate or proxy such as short-term treasurys (SHY).

asset data ief inflation momentum negative P500 returns shy strategy tip Treasury

 

This method has been used by trend-followers for decades in some form or another. But I also realized that investors do not earn nominal returns- they earn real returns net of inflation.

asset bond excess free free rate inflation negative rate returns tip Treasury

 

Parsimony [0.20]

Posted on April 27, 2015, 7:45 a.m. by CSSA @ [source]

Note: James Picerno of The Capital Spectator recently did an interesting piece evaluating the Self-Similarity Metric and provides some R code which is valuable for many of our readers. It also complements the philosophical theory of Occam’s Razor which states that the simplest explanation with the fewest assumptions is often closest to the truth.

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