Research Insights

Do Stop-Loss Rules Add Value in Tactical Asset Allocation?

Testing Whether Stop-Loss Overlays Improve Performance in a Systematic TAA Framework

Oct 26 •

Building a Smarter TAA Model for Stronger Returns and Lower Risk

Incremental Enhancements to a Tactical Asset Allocation Strategy: Boosting Sharpe Ratios and Reducing Downside Risk

Oct 19 •

Robust Skewness as a Source of Commodity Risk Premia

Testing a New Skewness Measure That Delivers Sharpe Ratios up to 0.8.

Oct 10 •

Linearity in Momentum: A Smarter Trend Signal for Asset Allocation

When Smoother Price Paths Make Momentum Stronger

Oct 3 •

Timing Leveraged Equity Exposure in a TAA Model

How a Simple VIX-based Filter Boosts Returns and Reduces Drawdowns

Sep 28 •

Stress-Testing a Tactical Allocation Model: Robustness and Improvements

Performance and resilience across different specifications

Sep 19 •

Tactical Allocation and Market Regimes

Balancing Growth and Defense in Shifting Market Environments

Sep 12 •

Replicating an Asset Allocation Model

Testing Two Award-Winning Allocation Papers

Sep 5 •

Tactical Allocation 2.0: Lower Drawdowns, Higher Sharpe

Improvements to a Simple, Effective Asset Allocation Framework

Aug 31 •

Trading Downside Volatility in Commodities

Testing new research and building a multi-signal portfolio

Aug 21 •

Beyond Skewness: Tail Asymmetry as a Commodity Signal

Evidence from the IE Measure

Aug 15 •

Skewness as a Commodity Signal

How Realized Skewness Predicts Commodity Returns

Aug 7 •

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