Peter Nystrup
Peter NystrupHead of Research
Responsible for regime based multi asset allocation, post.doc at Lunds University.

The purpose of dynamic asset allocation (DAA) is to take advantage of favorable regimes and reduce potential drawdowns during adverse regimes. Large drawdowns challenge investors’ financial and psychologicaltolerance and lead to fund redemption and firing of portfolio managers. By engaging in DAA it is possible to generate protection against drawdowns. Infact, portfolio insurance can be regarded as the most general form of DAA, as argued by Goltz et al. (2008).

Regime shifts, some of which can be recurring (recessions versus expansions)
and some of which can be permanent (structural breaks), are prevalent across a wide range of financial markets and in the behavior of many macro variables (Ang and Timmermann 2012). Observed regimes in financial markets are related to the phases of the business cycle (Campbell 1999, Cochrane 2005). The link is complex and difficult to exploit for investment purposes, due to the low frequency and large lag in the availability of data related to the business cycle.

ABOUT ANNOX RESEARCH

A number of various published articles on regime changes can be found here at the DTU orbit database:

Belown are shown our initial live testing of the algorithms developed to utilitze regime changing properties of financial returns in various asset classes across time. 

ANNOX Regime

Live allocation

ANNOX Regime

Daily Returns (Live)

ANNOX Regime

(Monthly, since 2019 may)