Tactical Alpha in Theory and Practice (Part II): Principal Component Analysis
In Part I of this series, we explored Grinold’s Fundamental Law of Active Management, and why the theory leads to misguided…
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Forget active vs. passive. It’s all about factors.
In Behavioural Finance, Correlation, Diversification, Factors, Miscellaneous, Risk Parity, Tactical Alpha, Value onWe just love a good debate, and there seems to be quite a heated debate at the moment about the…
Cluster Shrinkage
At GestaltU we see ourselves as incrementalists. We aren’t so much prone to true quantum leaps in thinking, but we…
Adaptive Risk Parity for a Better ‘Balanced Fund’
In Adaptive Asset Allocation, Correlation, Institutional, Retail, Risk Parity, Systematic Investing, Volatility onRebalancing Revisited Back in November of 2011 we published our first article introducing the concept of volatility sizing for asset…
Volatility Harvesting and the Importance Of Rebalancing
We have now written about the importance of observing historical volatility when making rebalancing decisions (see here, here and here)…
