Working with different Market Regimes Part II

Based on a refined, trustworthy investment philosophy, I return to the practical implementation of our key question: How is successfully adapting an asset allocation to market conditions possible and can it yield higher risk- adjusted returns than a static portfolio? I concentrate on the third basic building block of my investment philosophy – systematic downside protection through dynamic asset…

Is Trend Following a figment of the imagination?

Absolute momentum or time series momentum, as trends are called in academia, can be used to time virtually any price series (like asset prices, composite indices, equity curves, factors and so on) in such a simple manner, that to be able to gain an advantage over the market that way, seems a bit suspect. Not to mention,…

6 Adaptive portfolio allocation

As we have already moved well into the realm of active investing, we might as well tackle the next big no-no in the world of finance: market timing. Many studies claim it doesn’t work, but in recent years more work has appeared stating that it does.* A commonly used argument against timing is, that missing…