Managed Futures Research

//Managed Futures Research

Go Skew Yourself with Managed Futures

By | 2017-08-18T17:04:39+00:00 January 10th, 2017|Trend Following, $wdti, Research Insights, Guest Posts, Managed Futures Research|

Skewness is a statistical measure of how returns behave in the tails of a probability distribution.  Wikipedia has a more robust definition of skewness with some good visuals here. If an investment (e.g., stocks) has negative [...]

Time Series Momentum, Volatility Scaling, and Crisis Alpha

By | 2017-08-18T16:54:59+00:00 December 22nd, 2016|Managed Futures Research|

If you couldn't tell from our recent monster commodity futures post, we've been thinking a lot about futures recently. The futures research area is relatively "fresh," and a lot more exciting than hacking through equity stock selection [...]

Time Series Momentum and Volatility Scaling

By | 2017-08-18T16:54:59+00:00 August 31st, 2016|Momentum Investing Research, Tactical Asset Allocation Research, Managed Futures Research|

There is a new paper published in the Journal of Financial Markets that digs a bit deeper into the Moskowitz, Ooi, and Pedersen "Time Series Momentum" paper (some background here). The paper is behind a [...]

Managed Futures: Understanding a Misunderstood Diversification Tool.

By | 2017-08-18T17:01:10+00:00 August 24th, 2016|$fut, Tactical Asset Allocation Research, Managed Futures Research|

In my two previous blog posts (here and here), I analyze the performance of bonds during really bad months for US stocks (“Crisis Alpha” months), and I analyze the performance of US stocks during really bad [...]

Commodity Investing 101: Basic Insights Most Advisors Don’t Know

By | 2017-08-18T17:07:58+00:00 October 7th, 2015|Tactical Asset Allocation Research, Managed Futures Research, $dbc, $xle|

Unlike equity and bond investing, investing in commodities is a less familiar undertaking for many. Commodities behave differently than stocks and bonds, pose different risks, and can be taxed differently. And let's be blunt: few retail [...]

Can Investors Achieve Commodity Exposure via Equities?

By | 2017-08-18T17:08:27+00:00 September 17th, 2015|Tactical Asset Allocation Research, Managed Futures Research|

This past year we examined the possibility of replicating commodity exposure via equities. The project was spurred by an insightful research report from MSCI, which showed some impressive results. Other research outfits have proposed similar concepts. The [...]

Tax-Efficient Investment Strategies: How Should We Invest in Treasury Bonds?

By | 2017-08-18T16:55:57+00:00 April 6th, 2015|Research Insights, Tactical Asset Allocation Research, $SPY, $IEF, Managed Futures Research|

We investigate various methods to express a 10-Year Treasury Bond allocation. The primary issue with Treasury Bonds is their lack of tax-efficiency. T-bond income (and CPI adjustments in the case of TIPS) are taxed as [...]