Portfolio Risk and Performance

Chasing Your Own Tail (Risk), Revisited

As investors turn to addressing the risk of a severely declining market, we summarize five approaches to building a more resilient portfolio.

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Once Again, A Crisis Like No Other

This week we take a bit of a longer look at how the crisis is affecting markets. We examine three fixed income markets and what they say about market liquidity and investors' expectations.


Is (Systematic) Value Investing Dead?

Undoubtedly, many systematic approaches to value investing have suffered recently. However, we find the popular suggestion that value investing is dead to be premature. We find expectations of fundamental information have been and continue to be an important driver of security returns.

Macro Wrap-Up

Time After Time

This week we look at why some markets, which are normally more long-term in their outlook, are reacting so much to short-term news.

Fixed Income

(Systematic) Investing in Emerging Market Debt

We extend the analysis of systematic investment approaches to emerging market (EM) fixed income. We find that systematic exposures linked to carry, defensive, momentum and valuation themes are well compensated and lowly correlated in EM markets, and that a systematic approach to EM debt may be a powerful diversifier.

Tax Aware

Tax-Efficient Portfolio Transition: A Tax-Aware Relaxed-Constraint Approach to Switching Equity Managers

For a taxable investor with a highly appreciated equity portfolio, replacing the portfolio manager is likely to trigger substantial tax liabilities. We find that a tax-aware relaxed-constraint post-transition strategy significantly outperforms a traditional tax-agnostic long-only strategy in its ability to preserve and grow the investors after-tax wealth over the long term.



This week we look at longer-term economic effects of the coronavirus and the market reaction to both the outbreak and the policy response.


We Found Love in an Unchanged Rate

For this Valentine’s Day we give you more of what you love: a look at what the Fed might do in an election year. Will the Cupids of monetary policy shoot any arrows, or will they leave Fed watchers brokenhearted?



In the 1980s, the Palladium was one of the hottest clubs in New York. Now it is a college dormitory. But don’t despair, the metal palladium is now the hottest commodity in the world, and its rise is instructive for investors who are interested in how commodities work and why small markets can make big moves. So, take a few minutes away from reports on the coronavirus to read about catalytic converters and a lustrous silvery metal.

Alternative Thinking

2020 Capital Market Assumptions for Major Asset Classes

We update our estimates of medium-term (5- to 10-year) expected returns for major asset classes, and introduce a method for quantifying the expected return on cash.

Macro Wrap-Up

Sweden's Noll Hypothesis

This week's Wrap-Up examines monetary policy in Sweden. It may not win the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel, but it will explain why the Riksbank is becoming arguably the most important central bank in the world for investors to follow.