Portfolio Risk and Performance
Was That Intentional? Ways to Improve Your Active Risk
September 28, 2020
Investors try to outperform their strategic asset allocation benchmarks by taking active risks. Some of these are intentional, but others are low-conviction or even unintentional, which can be a large part of a portfolio’s total active risk. When it comes to beating a strategic asset allocation benchmark, reducing these unintentional active risks may among the clearest sources of “low hanging fruit”.
Asset Allocation
2020 Capital Market Assumptions for Major Asset Classes (Supplemental Estimates as of March 31, 2020)
May 6, 2020
This supplement provides a special update to our estimates of medium-term (5- to 10-year) expected returns for major asset classes. This update reflects the large changes in prices for many asset classes due to the impact of COVID-19 in Q1 2020.
Portfolio Risk and Performance
Portfolio Protection? It’s a Long (Term) Story…
April 23, 2020
Investors have a natural urge to protect their portfolios from sudden crashes, even though bad outcomes that unfold over longer periods are more detrimental to reaching long-term goals. We show risk-mitigating and diversifying strategies have added value more consistently than options-based hedging over the more important, longer drawdowns.
Asset Allocation
2020 Capital Market Assumptions for Major Asset Classes
January 29, 2020
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.
ESG Investing
Responsible Asset Selection: ESG in Portfolio Decisions
December 3, 2019
We discuss how Environmental, Social, and Governance (ESG) considerations may be incorporated in a portfolio and how they may affect risk and return outcomes.
Fixed Income
Inversion Anxiety: Yield Curves, Economic Growth, and Asset Prices
September 12, 2019
We evaluate the ability of the yield curve slope to forecast future economic conditions, as well as returns on stocks and bonds, using over 50 years of data across six countries.
Asset Allocation
2019 Capital Market Assumptions for Major Asset Classes
February 4, 2019
We update our estimates of medium-term (5- to 10-year) expected returns for major asset classes, including private equity and private real estate.
Fixed Income
The Illusion of Active Fixed Income Alpha
December 17, 2018
Do fixed income (FI) managers generate alpha? We take a deep dive into the determinants of excess of benchmark returns for a broad set of popular active FI categories.
Asset Allocation
It Was the Worst of Times: Diversification During a Century of Drawdowns
September 26, 2018
We use nearly 100 years of data to evaluate the effectiveness of diversifying investments during the worst of times for most portfolios and find that attempting to tactically avoid equity sell-offs is likely to disappoint.
Portfolio Construction
Active and Passive Investing — The Long-Run Evidence
May 21, 2018
More careful thinking is needed to separate facts from fiction in the hotly contested debate between active and passive investing.