Our Articles

15 May 2023

Denis Bogutskiy

Optimal Tail-Risk Hedging

It is well known that the appropriate selection of assets and their respective weights in a portfolio can significantly influence investment outcomes. In this article, we will evaluate a variety of conventional instruments that may help protect portfolios against market downturns and enhance the risk-return profile, based on historical data. We will use metrics such as individual Compound Annual Growth Rates (CAGRs) and Sharpe ratios measured in different market regimes: RISK-ON and RISK-OFF. The ultimate goal is to identify a strategy that provides a favorable trade-off between performance…

02 May 2023MacroModels

Vladimir Ofitserov, CFA

Optimal Asset Class for Each Fed Policy Regime

The Federal Reserve is nearing a regime shift, as it's expected to pause after the current rate-hiking cycle, with declining interest rates likely to follow. Navigating this changing Fed dynamic is essential for investors. In our research, we analyzed the behavior of Stocks, Treasuries, and Gold across different Fed Policy Regimes since 1982. Our findings illustrate that adjusting portfolio allocations and employing asset rotation strategies based on the prevailing monetary environment could potentially enhance the overall risk-return profile of an investment portfolio.

23 Apr 2023MacroModels

Vladimir Ofitserov, CFA

The Stock Market Behavior During Recessions

Our team has examined market behavior during recessions since 1926. The research suggests that adjusting market exposure during recessions can improve a portfolio's risk-return profile. We've analyzed the optimal times to exit and re-enter the market and introduced an idea that could be a potential solution for market timing during economic downturns.