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What we do is very simple and clear box in nature:  

Take any basket of stocks, run our mathematical training algorithm on those stock's historical prices, set the maximum weight on each stock to equal weight (eg.  30 stocks equals 3.33% maximum risk weight on each stock), rebalancing daily as the model analyzes the risk on each stock.  

If long only is desired, then the risk weight shifts between 0 (cash) and 1(risk weight on).  If long and short is desired, then risk weight can be 0 (cash),  1 (risk weight on) and -1 (inverse risk weight on).

Our goal has always been to reduce and eliminate biases in the decision process.  This is the chief reason why most active management will not beat a market capitalization weighted index over time. 


The ARBi (Active Risk-Based investing) process basically takes the best element of "passive" (setting risk weights based on price) and moves it forward, which is our version of Passive 2.0. 

What you can get is pure sustainable alpha on a diversified basket of stocks.  You can pick from our stable of products or you pick an index or ETF (exchange traded fund) and run our process on it. 


Either way, you get what you want:  pure alpha, diversification of risk, lowered tracking error, high Sharpe ratio, high Information Ratios, and reasonable cost.  

You want to understand more, see some real numbers, feel free to Contact Us

Our view on Realizable Risk Control - benchmarked off S&P Risk Control Indices

Risk Control Indices Analysis

Intuitively, an investor should understand that predicting stock returns, either value or momentum, is relatively impossible with any level of consistency.   But, dig into two of the most major forms of returns available and you will find persistent, statistically significant risk reduction. 

Value and Momentum Investing - Do it Right - Reduce Risk

This research bottomline:  "Stop investing in “cheap” diluted closet indexing value and momentum exposures if you are trying to exploit value and momentum premiums. This is a sub-optimal approach. Instead, lean on modern portfolio theory mathematics, and invest in a portfolio that combines concentrated value and momentum exposures — you’ll give yourself a shot at earning a higher expected return and a much higher expected rebalance bonus. Win-win."

Rebalancing Bonus for Value and Momentum

Liquidity in an asset class has been shown to cost investors upwards of 3-5% annually in terms of sub-performance to a passive index based investment.   Without an understanding of why this occurs, investors are left with the result - 85% of all active management is unable to beat a simple, low cost market capitalization based index.   

Liquidity - Its Costing You Big

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