Research & articles

Responsible investing

What drives the cocoa market?

Recent developments in the cocoa market received some media attention discussing the impact of computerized trading. In this article we provide some color on the cocoa market and the role and responsibility of investors in this market.

(May 2018)

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Trend following

Speed skating – volatility versus drawdowns

The risk-return relationship of speed skating is comparable to that of investing. Instead of slippery ice, the investor’s course offers market risk.

(January 2018)

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Responsible investing

Transaction costs according to PRIIPs

The methodology to calculate transaction costs according to PRIIPs does not meet the basic premise that buying at a higher price is more expensive than buying at a lower price.

(January 2018)

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Risk management

Our two cents on bitcoin

Simply not trading bitcoins does not necessarily protect an investor from damage caused by a bursting bubble.

(December 2017)

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Market dynamics

A story of volatility

The extent to which volatility harms or benefits an investment strategy first and foremost depends on the choices made by the investment manager.

(November 2017)

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Responsible investing

Active or passive?

Contributing to the market versus disturbing the market.

(June 2017)

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Trend following

More than 25 years of trend following

In a continuously evolving world, it is our ambition to keep on adapting.

(January 2017)

Risk management

The instability of VaR measures

How to address the overreaction of VaR measures to large price moves.

(January 2016)

Trend following

Hay fires and self-heating

Our 2013 analysis of the market behavior prior to and after 2008 − what changed and how should we adapt?

(July 2013)

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Market dynamics

Riding the kurtosis

How can the behavior of markets be viewed in the context of kurtosis?

(January 2013)

Trend following

Potential profitability for trend following systems

Introducing trendpot.

(January 2010)

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