Pathetic Protection via Protective Puts

By |July 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 [...]

Seven Centuries of Commodity Reversals

By |March 8th, 2019|Research Insights, Factor Investing, Managed Futures Research|

Seven Centuries of Commodity Reversals Adam Zaremba, Robert Bianchi, and Matuesz Mikutowski A version of this paper can be found here. What are the research questions? As the asset pricing research on the "very long-run" has [...]

Don’t be Afraid of Commodity Futures: Understand Them.

By |May 10th, 2018|Research Insights, Managed Futures Research|

An often-overlooked corner of the investing world is the futures market.  Maybe it’s the fear of taking delivery of 1,000 barrels of oil, the mechanics of daily cash settlement, or new terminology and lingo (e.g., [...]

Time Series Momentum (aka Trend-Following): A Good Time for a Refresh

By |February 8th, 2018|Research Insights, Trend Following, Momentum Investing Research, Managed Futures Research|

Similar to some better-known factors like size and value, time-series momentum is a factor which has historically demonstrated above-average excess returns. Time-series momentum, also called trend momentum or trend-following, is measured by a portfolio which [...]

Do Trend-following Managed Futures Increase Safe Withdrawal Rates?

By |November 8th, 2017|Research Insights, Trend Following, Managed Futures Research|

Andrew Miller, a regulator contributor to the blog, is passionate about the intersection of academic finance research and financial planning. We obviously love the academic finance research stuff, but our financial planning advice lacks serious [...]

Go Skew Yourself with Managed Futures

By |January 10th, 2017|Research Insights, Trend Following, 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 |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 |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 |August 24th, 2016|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 |October 7th, 2015|Tactical Asset Allocation Research, Managed Futures Research|

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 |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 |April 6th, 2015|Research Insights, Tactical Asset Allocation Research, 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 [...]

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