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Research

We are committed to research. Here we share some of our insights related to the major issues in financial markets today.

August 2016

Investors often perceive trend-following as a way to mitigate the impact of market downturns on their portfolios as the strategy can profit from strong, downward price trends. But this is not always the case as recent selloffs have shown.

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April 2016

Fixed income trend following strategies have benefited over the past 35 years from the combination of a general downwards drift in interest rates and a positive roll yield.

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January 2016

Does globalisation mean that the performance of a company is related to that of its sector more than its country? We measure the contributions of sector and country factors to the returns of the constituents of the MSCI World index.

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November 2015

October has been the most volatile month for stocks on average over the last 87 years. Is this result purely due to chance, or should we take it seriously and expect it to continue into the future?

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October 2015

Institutional investors with an allocation to hedge fund strategies rarely allocate to a single hedge fund. Typically, the hedge fund exposure is made up of allocations to several individual managers.

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August 2015

The most reliable way to test trading strategies is out-of-sample, on data that was not available when the strategy was conceived and implemented.

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June 2015

In the five years prior to 2014 managed futures trend‐following strategies experienced a long run of weak performance, leading to speculation that the strategy might be ‘dead’.

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April 2015

Randomly selected equally weighted portfolios have outperformed market-capitalisation weighted portfolios globally and by region over the last fifteen years. These results and structural features of market-capitalisation benchmarks call the supposed efficiency of these benchmarks into question.

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