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  • ReSolve Riffs with Rob Carver on Smart Portfolios and the Evolution of Systematic Trading
    A systematic response to dynamic scenarios, removing one’s emotions from the equation, has been the standard approach in the military for millennia. In the world of investing, rules-based methodologies remain a contentious topic, even though a majority of the most successful asset managers are quants. Rob Carver (Independent Systematic Researcher and Author) knew early on […]

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  • Missing the forest for the trees: Asset allocation over security selection.

    By far the greatest source of personal consternation as a professional in markets is investors’ obsession with finding the best stocks, or the best stock pickers. The fact that investors pursue this objective at all undermines all meaningful arguments about efficient markets. After all, why on earth would the well informed, rational…

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  • 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 conclusions in the presence of asset correlations. In this article we will offer a primer on a useful tool for portfolio evaluation, Principal Component Analysis (PCA), and illustrate how PCA can help quantify the number of independent bets in a…

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  • Experts Aren’t Helpful, and Other Useful Lessons From “DIY Financial Advisor”

    We draw a significant amount of inspiration for the material we cover on this blog from the publications of our financial brethren. Unfortunately, given the non-stop firehouse of information that increasingly characterizes the digital age, it’s nearly impossible to

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  • Tactical Alpha: Theory & Practice (Pt. I) – Fundamental Law of Active Management

    For the overwhelming majority of investors, portfolios are broadly organized into strategic silos of stocks and bonds, such as the ubiquitous 60/40 balanced portfolio. By design, the strategic proportions of stocks and bonds in the portfolio change very little over time. However, within each silo investors take active

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  • Apples and Oranges: A Random Portfolio Case Study

    This article was motivated by a provocative discussion with a thoughtful RIA. Let’s call him Harry. Harry expressed some disappointment with the performance of Global Tactical Asset Allocation (GTAA) strategies over the past few years relative to some popular tactical U.S. sector rotation funds. Harry’s definition of GTAA is any strategy that regularly alters its allocation across a …

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  • Empirical Finance: Meeting Fiduciary Standards Through Skepticism, Not Cynicism

    Michael Edesses is out with a scathing article lambasting the field of empirical finance. He draws inspiration from Harvey, Liu and Zhu’s (HLZ) recent article, entitled “…and the Cross Section of Expected Returns”, but extends HLZ’s conclusions to an absurd limit. In this article, we discuss why we embrace the framework of healthy skepticism described by HLZ, but in the…

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GestaltU is a forum for research, opinion pieces, and educational material from the team at ReSolve Asset Management. Our views are driven by evidence based finance, with a special focus on asset allocation; factors and smart beta; retirement and endowment strategies, and; quantitative methods.