Crisis Alpha

How Trend Following Strategies Shape Return Distributions

By |2020-06-29T10:34:49-04:00June 29th, 2020|Crisis Alpha, Research Insights, Trend Following, Basilico and Johnsen, Academic Research Insight|

Some Observations on Trend Following: A Binomial Perspective David M. ModestWorking Paper, QLS Partners LPA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

Ways to Measure Extreme Downside Risk

By |2020-04-27T10:54:04-04:00April 27th, 2020|Crisis Alpha, Research Insights, Basilico and Johnsen, Academic Research Insight|

Richard D.F. Harris , Linh H. Nguyen and Evarist Stoja Journal of International Financial Markets, Institutions, and Money, 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

Is There a Tail Risk Premium in Stocks?

By |2020-04-15T08:36:40-04:00April 16th, 2020|Crisis Alpha, Research Insights, Factor Investing, Larry Swedroe|

It has been well documented both that stock returns have much fatter tails than a normal distribution would generate, and that tail events occur much more frequently than a normal curve would predict.editor's note: This [...]

Volatility, Risk Management, and Market Chaos: Research that Might Help

By |2020-04-06T12:57:26-04:00April 6th, 2020|Crisis Alpha, Research Insights, Factor Investing, Trend Following, Basilico and Johnsen|

Given the recent market decline, we thought it would be helpful to review some of our blog posts from the past that may be relevant to the current crisis atmosphere.  These posts focus on research [...]

Crisis Proof Your Portfolio: part 1/2

By |2019-08-20T11:00:42-04:00August 20th, 2019|Quality Investing, Crisis Alpha, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, and Otto Van Hemert The Journal of Portfolio Management A [...]

Pathetic Protection via Protective Puts

By |2019-07-12T13:14:02-04:00July 15th, 2019|Crisis Alpha, Factor Investing, Basilico and Johnsen, Academic Research Insight, Managed Futures Research|

Pathetic Protection: the Elusive Benefits of Protective Puts Roni Israelov Journal of Alternative Investments, Winter 2019 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

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