• What’s Your “Net” Worth?

    February 15, 2018
    Toller Miller, CIMA
    Business Development

    As I sit in the office on a Wednesday afternoon and see my phone ring only to discover it is the same person who calls me only when they want something, I politely send the call to my voicemail abyss never to be returned. Why is it that I won’t take this person’s call, but I’ll take others’ calls when I think they might want something too? It is very simple… because the others have opened their network to me in the past and I’m happy to reciprocate (this will be an important word later). But the one-sided individual who has no network, or at least has never opened it up to me in the past…? No thank you.

  • A long-term trend has been broken, and it has nothing to do with volatility, bull markets, nor economic cycles. In this year’s Winter Olympics, the men’s ice hockey tournament will be played with non-NHL players. The last time this occurred was the 1994 Lillehammer Games. As a fan, it is disappointing to not see the world’s best players putting their professional rivalries aside for two weeks and donning their country’s jerseys. On the other hand, it could be an opportunity to view some rising stars and unsung heroes.


  • When Correlations Rise…

    February 07, 2018
    Correlation, Volatility

    Given the recent market shock, especially to those active in “volatility” markets, we thought it would be an opportune time to quickly re-visit a concept we wrote about two months ago. In that post we examined an often-overlooked cause of volatility (low or high), correlation. We showed that a large driver of low volatility in 2017 was historically low intra-market correlation. The math of volatility is quite simple; as the correlation of assets in a portfolio decrease, the ratio of average asset volatility to portfolio volatility increases. The opposite is also true, as correlations approach 1.0 the ratio of average underlying asset volatility and overall portfolio volatility will also approach 1.0, providing little to no diversification benefits.

  • In addition to death and taxes, investors could be forgiven for being seduced into the belief that there are two additional certainties in life: 1.) stocks will only ever go up, and 2.) the Patriots will either make it to the Super Bowl, or at least be in contention each year (they have played in the AFC Championship game in each of the last seven years). The remarkable consistency demonstrated by the Patriots is something that any active manager should envy. And believe me, on a team of quantitatively-oriented individuals, there has been much debate about the reason therefor. One of our team members (who shall remain nameless so as to protect him from internet trolls) is resolute in the belief that Tom Brady is merely “average”, and that it’s the system that makes him so good. I’ll have to use that line of thinking when his bonus is next up for debate – it’s not you, it’s our system…but I digress.

  • Trend Following in 2017: A Post-Mortem?

    January 30, 2018

    Many of you know us from our counter-trend models, which can act as a great complement to trend-following models, but this blog will be focused on trend following given the struggles they’ve had recently.

    Using Société Générale’s (SG) Trend Indicator we will see if the reports of trend following being “dead” are true. The SG Trend Indicator is “designed to have a high and stable correlation to the returns of trend following CTA strategies.” They do this by “trading” a simple moving average cross-over model across 55 futures markets in the 4 major asset classes (equities, currencies, fixed income, and commodities); with equal risk across the 4 asset classes.