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.cambria discussed faber honor investment management Mebane podcast recently speaking
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).asset brand building etf launched linked management provide QuantX sky
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.factors indices investment investors market oriented performance performers predictable strategies
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.adaptive asset allocation book key management model neatly portfolio system trading
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.bull caution correction economic environment market perspective purely qualitative warrants
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
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.choice complex difference elegance model parsimonious principle results system trading