In the late stages of long bull markets, a popular question arises: What steps can an investor
take to mitigate the impact of the inevitable large equity correction? However, hedging …

We contrast the time-series and cross-sectional performance of three popular investment
strategies: carry, momentum and value. While considerable research has examined the …

Recent studies show that volatility-managed equity portfolios realize higher Sharpe ratios
than portfolios with a constant notional exposure. We show that this result only holds for “risk …

We analyse and contrast the performance of discretionary and systematic hedge funds.
Systematic funds use strategies that are rules-based, with little or no daily intervention by humans…

We study time-series momentum (trend-following) strategies in bonds, commodities,
currencies and equity indices between 1960 and 2015. We find that momentum strategies …

… In this book, Harvey, Rattray, and Van Hemert take a broader view of the rebalancing problem.
… Harvey, Rattray, and Van Hemert provide concrete illustrations and techniques for more …

Common risk metrics reported in academia include volatility, skewness, and factor
exposures. The maximum drawdown statistic is rarely calculated, perhaps because it is path …

A mechanical rebalancing strategy, such as a monthly or quarterly reallocation towards fixed
portfolio weights, is an active strategy. Winning asset classes are sold and losers are bought…

While a routinely rebalanced portfolio such as a 60-40 equity-bond mix is commonly
employed by many investors, most do not understand that the rebalancing strategy adds risk. …

We examine how broker characteristics impact the performance of their recommendations
in Europe. In contrast to extant research, we focus on a non-US sample that post-dates the …