Challenging Equity-Bond Correlation Assumptions

Equities and bonds are often assumed to be negatively correlated. This hasn’t always been true.

31 July 2016
Are Markets Becoming More Unstable?

Market shocks may feel like they are becoming more common, but the data suggests otherwise.

31 March 2016
The Role of Sector and Country in Stock Returns

Does globalisation mean that stock returns are related more to sector than country performance?

31 January 2016
Seasonal Volatility and the Multiplicity Effect

October has been the most volatile month for stocks on average over the past 87 years. Is this due to chance?

30 November 2015
The Hidden Costs of Global Index Tracking

We find hidden costs of about 10 basis points per year for the naïve global index tracker.

30 October 2015
Rebalancing Hedge Fund Portfolios

When investing in multiple hedge funds, investors eventually face the challenge of finding an effective rebalancing methodology.

23 October 2015
Value, Size and Momentum – A Likely Example of Selection Bias

Publication bias could have a part to play in the disappointing performance of popular equity indicators.

31 January 2015
S&P 500 Dispersion and Volatility

We put the recent fall in US equity volatility into context.

30 November 2014
The Power of Diversification

Adding a new, uncorrelated strategy to a portfolio can improve the risk-adjusted performance of the original portfolio.

31 October 2014
Value Investing: The Long View

We caution against drawing conclusions from short time series and emphasise the importance of acknowledging the uncertainty on performance estimates.

31 August 2014
Profit Mirages in the Data

Without an appropriate understanding of data, it can be too easy to discover fool’s gold.

30 June 2014
The Trouble With Tracking Error

Often tracking error is incorrectly defined ‒ with important consequences.

30 June 2014
Roll Yield and Futures Investing

Roll yield, a source of profits for trend followers, is the return captured when a futures contract converges to the spot price.

25 April 2014
The Meaning of Correlation

The long-term correlation of trend following with equities is effectively zero. But there are many misconceptions regarding what this means.

18 April 2014
Portfolio Over Optimisation

Ignoring uncertainty in portfolio construction can lead to a large gulf between the realised and expected performance of a strategy.

28 February 2014
Changes in Market Correlation

Analysis of the correlation structure between futures markets, S&P 500 stocks and trend-following strategies over the past 50 years.

31 January 2014
The Hidden Costs of Index Tracking

We estimate a hidden turnover cost of about 20 basis points per year for investors tracking the S&P 500.

24 January 2014
Hypothetical Performance of CTAs

We find evidence that hypothetical performance data can be significantly over-optimistic compared to subsequent realised performance.

27 December 2013
Historical Performance of Trend Following

We consider if trend-following performance is dependent on trading speed.

6 December 2013
Sorting the Sheep from the Goats

The determination of good from bad investments using quantitative measures.

31 January 2004
Making Money from Mathematical Models

This Royal Society paper captures David Harding's philosophy and has served as Winton's manifesto, defining the firm's guiding principles ever since.

15 June 1994