Investor Education

Treasury Bonds: Buy and Hold or Trend Follow?

By |August 10th, 2022|Research Insights, Trend Following, Introduction Course, Tactical Asset Allocation Research|

If one had to invest in buy and hold treasury bonds or trend-followed treasury bonds, it is likely that most investors would prefer the trend-followed bond investment. However, in a broader portfolio context, the analysis suggests that how one 'eats' their bond exposure is largely irrelevant and the portfolio's long-term outcome will be driven by equity market dynamics. Bonds systematically lower an equity-centric portfolio's returns, but they also lower the risk profile of the overall portfolio.

Trend Following Says Commodities…But Nothing Else!

By |August 3rd, 2022|Research Insights, Trend Following, Introduction Course, Tactical Asset Allocation Research|

The analysis above highlights that we are in a rare regime when commodities are the only long asset with a positive trend. The last time this happened we entered a long period of high inflation and poor real returns. Will this happen again? Who knows. But we do know that post-1973 we entered a world where, for several decades (at least up to around 2007), both bonds and commodities were an important component of a diversified portfolio. The recent past has arguably made investors complacent in their reliance on a stock/bond portfolio as an end-all-be-all solution. When history tells us that incorporating commodities into a portfolio probably makes sense from a diversification standpoint.

Trend-Following Filters – Part 5

By |February 15th, 2022|Research Insights, Trend Following, Trend-Following Course, Guest Posts|

There are two general types of Kalman filter models: steady-state and adaptive. A steady-state filter assumes that the statistics of the process under consideration are constant over time, resulting in fixed, time-invariant filter gains. The gains of an adaptive filter, on the other hand, are able to adjust to processes that have time-varying dynamics, such as financial time series which typically display volatility and non-stationarity.