LIQUIDITY & RISK REGIMESNEW
The Hidden Risk of Diversification
Liquidity, Risk Regimes and Portfolio Construction. A regime-conditioned framework for identifying shared vulnerabilities and complementary return sources across investments.
THE CONQUEST RESEARCH COLLECTION
Research behind
the perspective.
Nine papers and presentations exploring systematic return sources, the behavior of risk, and the construction of investment portfolios.
Original research, presented in its historical context. Full authorship, methodology, and source notes are retained in the PDFs.
ALTERNATIVE BETA01
The Beta of Managed Futures
Examines how diversified trend-following rules can capture the systematic component of managed-futures returns, and what that implies for alpha and fees.
RISK ENVIRONMENTS02
Conquest Risk Aversion Paper
Studies the relationship between market risk appetite and hedge-fund performance, including comparisons before and after the index’s original publication.
REPLICATION03
Individual CTA Replication: Theory and Application to Manager X
A practical framework for replicating an individual CTA through diversified trading systems, sector allocations, and time horizons.
STYLE IMPLEMENTATION04
Creating an Effective Hedge Fund Alternative by Leveraging the Style Component of Hedge Fund Returns
Explores the style component of hedge-fund returns, the effect of fees, and the role of systematic alternatives in portfolio construction.
RESEARCH PRESENTATION05
Cheaper Beta Through Managed Futures
A presentation on accessing systematic hedge-fund return sources through managed futures. Originally delivered in February 2007; this version includes subsequent updates.
REPLICATION06
Conquest Replication Commentary
Compares factor modeling, distributional replication, and mechanical trading rules as approaches to hedge-fund replication.
VOLATILITY & TREND FOLLOWING07
Trend Following as a Long Volatility Strategy
Examines the relationship between trend following, VIX moves, and signal horizons, including the limits of treating trend following as portfolio insurance.
VOLATILITY & HEDGE FUNDS08
Volatility Exposure of CTA Programs and Other Hedge Fund Strategies
Examines what “volatility exposure” means for CTAs, distinguishing the effects of directional market moves from changes in volatility.
RECOGNITION & REFERENCES
Research in the wider conversation.
2009 Sciens Capital Award
Marc H. Malek and Sergei Dobrovolsky received the Best Practitioner Article award in The Journal of Alternative Investments for “Volatility Exposure of CTA Programs and Other Hedge Fund Strategies,” published in Spring 2009.
View original award announcement ↗Time Frame and its Impact on Commodity Trading Advisor Performance
Nordia D. Thomas’s 2004 master’s thesis at Worcester Polytechnic Institute cites my work with Sergei Dobrovolsky, “Market Volatility and CTA Performance,” in its bibliography.
View thesis ↗Managed Futures and the Aspen Managed Futures Beta Index
Aspen Partners’ January 2018 industry paper cites my research with Sergei Dobrovolsky, “Volatility Exposure of CTA Programs and Other Hedge Fund Strategies,” in footnote 9 on page 7 and again in its discussion of volatility. This is an industry-research citation.
The Many Flavours of Trend Following
This Top Traders Unplugged publication draws on my interviews in episodes 31 and 32 to discuss allocating to strategies that perform in different market regimes.
Explore the interviews ↗The Second Leg Down
My endorsement appears on the cover of Hari P. Krishnan’s book, The Second Leg Down: Strategies for Profiting after a Market Sell-Off.