Research Methods

Portfolio Roles

Examine diversification claims, changing correlations, drawdowns and the evidence needed to evaluate a programme.

Evaluate diversification across markets, rule horizons and operations without assuming that more holdings ensure protection.

Why a persistent decline, an overnight jump and a fast reversal are different tests for a delayed trend rule.

Calculate peak-to-trough decline, recovery requirements and underwater duration without confusing deposits or missing data with recovery.

A document-led framework for checking a third-party managed-futures proposal, its identities, controls, costs and evidence limits.