This week, we share our 2019 letter to investors.
Within, we cover:
- Firm updates;
- Strategy performance; and
- Primary drivers of performance.
We hope you enjoy the read and, as always, welcome your feedback. (PDF)
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What We're Reading
→ TURNING POINTS: "Turning points are the Achilles' heel of time-series momentum portfolios. Slow signals fail to react quickly to changes in trend while fast signals are often false alarms. We examine theoretically and empirically how momentum portfolios of various intermediate speeds, formed by blending slow and fast strategies, cope with turning points.'" Momentum Turning Points