Regime-Based Allocation: What It Actually Delivers

Regime-based allocation: what it actually delivers Regime-based allocation (RBA) is often pitched as a way to navigate markets without making forecasts. The promise sounds simple: don’t waste energy forecasting returns; just identify what ...
6 min read

Free Your Alpha. Keep Your Trend.

Introduction Trend-following strategies have long been considered a cornerstone of strategic allocations. They are valued for their ability to deliver diversification in moments of market stress and to provide convex payoffs when ...
5 min read

The July 2025 Stat-Arb Collapse: What Triggered the “Junk Rally”?

July looked calm on the surface, but strange beneath it. While index levels stayed steady, the return profile flipped: lower-quality, heavily-shorted stocks surged, while defensive factors that anchor many stat-arb and equity ...
3 min read

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Monthly QIS Review - August 2025

Executive Summary August 2025 was constructive for QIS. The average composite gained +0.62% MTD, with 30 of 42 (≈71%) strategies positive. Cross‑sectional dispersion narrowed to ~4.5 ppts (top minus bottom), a step tighter than July. ...
3 min read

Beyond Labels: The RQT Index, a Bank QIS Composite for Trend Exposure

Trend following has long been part of the allocator’s toolkit. Its appeal lies in its asymmetry: modest losses in sideways markets offset by strong gains when trends persist. Yet many widely used benchmarks—typically CTA peer groups or ...
7 min read

Dispersion Trading and the DSPX Index

As discussed in our previous blog post, dispersion trading is a correlation trade built with options: typically sell index vol, buy single-stock vol (short correlation), or the reverse (long correlation). Depending on sizing, it can be net ...
5 min read

The Total Cost of Alternatives: A Fee & Terms Budgeting Framework for Absolute-Return Allocations

Institutional investors and family office CIOs know that not all “absolute-return” vehicles are created equal. Hedge funds, UCITS liquid alternatives, and bank-provided QIS products can all deliver alternative strategies – but each comes ...
12 min read

Liquidity Isn’t Cash: Building a Portfolio Liquidity Budget

Liquidity is often thought of as simply “liquid” or “illiquid,” but in reality it exists along a continuum. It represents how quickly and reliably an asset can be converted to cash without significant loss in value. At one extreme, cash ...
5 min read

Position Sizing & Sell Discipline: A Modern Allocator’s Framework

Position sizing and sell discipline rarely get the same airtime as asset allocation or manager selection, yet they influence long-term portfolio outcomes just as much. In many investment processes, these decisions sit in a grey area—left ...
11 min read

De-Crowding the Magnificent Seven

The “Magnificent 7” era of hedge-fund positioning peaked in mid-2024, when Apple, Microsoft, Amazon, Alphabet, Meta, Nvidia and Tesla together sat inside almost every long/short portfolio. By June that year prime-broker crowding indices ...
7 min read
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