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…

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,…

Volatility Strategies in Detail

Let´s put some meat on the bone and dig deeper into the details of the volatility strategies I use in my portfolio. These are the most active, short term strategies I use at the moment. They also use concepts that are more off the beaten path, which makes them more valuable, but also more difficult…

Common Sense Backtesting

When looking at new strategies, I try to judge the quality of an idea by looking at it from different angles. A combination of methods estimates a range of possible outcomes that strategy could have and defines its place in the portfolio – one could call it common sense backtesting.   Ideas first I always…

Alternative Beta trumps Alpha

In general my investing strategies aim to harvest well known and documented sources of return, that are driven by risk premia and advantages exploiting investor´s consistent behavioral inefficiencies – sources of return that could be called beta and alternative beta. These sources of return are as reliable as it gets, as they have a good reason…

Index investing is likely to yield higher returns than stock picking

One of the key criteria in my investment process is to make sure that for every strategy I employ, I have the basic probabilities for success in my favour. (See: 4 Criteria and examples of useful strategies) One statistic* I came across quite regularly recently, has caused me to switch all the individual stock holdings…

4 Criteria and examples of useful strategies

My goal is to create an adaptive, diversified portfolio of asset classes, factors and strategies that yields high risk-adjusted returns.  I think of it as building a personal hedge fund to manage my own money.   The investment approach is data driven, evidence based investing. There is no need to reinvent the world. A lot…