Investment Wisdom Podcast – Day 12 of 12

Putting 11 days of Wisdom to work through a Multi-Asset Momentum Case Study

Adam Butler, CFA, CAIA
Adam Butler is Chief Investment Officer of ReSolve Asset Management, sub-advisor to an alternative allocation strategy at Rational Funds. He manages ETF and futures based strategies including a global risk parity ETF, two Adaptive Asset Allocation funds, and a multi-strategy hedge fund. Adam is also author of the book Adaptive Asset Allocation: Dynamic Global Portfolios to Profit in Good Times and is ranked in the top 1% of authors by paper downloads on SSRN. He has authored over a dozen papers and dozens of articles on asset allocation; factor investing; quantitative methods; and portfolio optimization. Adam holds both CFA and CAIA charters and appears on BNN Bloomberg and CNBC.

The team has spent the last 11 episodes discussing the importance of asset allocation; the role of systematic “factor” tilts like momentum, value and trend; and how portfolio optimization can act as a force multiplier on long-term performance.

This episode comes full circle by integrating all of the concepts described thus far: Asset Allocation, Risk Balance, Ensemble Methods, Portfolio Optimization and Factor investing, using multi-asset momentum as a case study for this integration.

The team also discusses the importance of process diversification in terms of how to select an optimal multi-asset investment universe; diverse measures of momentum; different methods of portfolio optimization; and holding period diversification.

A fitting conclusion to the 12 Days of Wisdom series, this is one that listeners will not want to miss!

Podcast series re-posted with permission from Resolve Asset Management.  Click here to see the original post.