We recently put together a video explaining our Newfound/ReSolve Robust Equity Momentum Index. Check it out!
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This week's research note is a brief one, but we think covers a very important topic.
In our framework of holistic diversification, we believe investors should consider not only what they invest in, but how and when they make those decisions.
This week, we explore how-based diversification using two simple examples: a strategically rebalanced portfolio and a naive momentum portfolio.
We find that by combining two complementary payoffs, we can actually reduce a portfolio's sensitivity to co-movement in underlying assets. (PDF)
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On the Road
✈️ ORD: I'll be in the Chicago area from February 26th - 28th.
✈️ PHL: I'm going to be at the Democratize Quant conference and the greater Philadelphia area from March 17th - 20th.
If you'd like to get together, let me know (just reply to this email).
What We're Reading
→ THE STRUCTURE OF ARP: "We investigate the nature and risk characteristics of commonly known investable ARP strategies using investment bank strategy data. While most of the strategies have low full sample betas to both equity and commodity markets, several strategies exhibit statistically significant positive betas to bond markets." A Framework for Risk Premia Investing: Anywhere to Hide?