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.
Portfolio Construction
Capital Market Assumptions for Major Asset Classes
February 2, 2018
We update our medium-term expected returns for major asset classes and explore the historical accuracy of yield-based return estimates.
Fixed Income
The Illusion of Active Fixed Income Diversification
December 7, 2017
We examine popular active fixed income categories and find that a persistent overweight to high yield credit explains the majority of fixed-income managers’ active returns. We then discuss some key implications for asset owners.
Portfolio Construction
Systematic vs. Discretionary
3Q 2017
Systematic and fundamental investing approaches are not opposites. Both pursue the same objective and can be fundamentally-oriented. They can use similar inputs, but in different ways, to try to improve investment performance. Neither is necessarily better than the other.
Asset Allocation
Exploring Rates Sensitivity
2Q 2017
Fed tightening has many investors interested in risks surrounding monetary policy, rising yields and inflation.
Asset Allocation
2017 Capital Market Assumptions For Major Asset Classes
1Q 2017
We update our multi-year expected return assumptions for major stock and bond markets. Compared with historical averages of value metrics, we beloieve we are in a low expected return environment.
Factor/Style Investing
Superstar Investors
December 6, 2016
Many famous investors are outspoken about their investment philosophies and use them selectively. We seek to apply their wisdom systematically to determine whether their philosophies, if applied broadly, might still generate “alpha.”
Factor/Style Investing
Style Investing in Fixed Income
3Q 2016
Systematic investing is often applied in equity markets but less so in fixed income. Here, we show that classic-style premia—typically applied in stock selection and equity country allocation—could have also work in fixed income markets.
Relaxed Constraint
Relaxed-Constraint Portfolios
2Q 2016
Active equity investors may increase expected portfolio returns by relaxing the long-only constraint. The investment community has largely turned away from strategies that short bad stocks, but we find that they may want to take a renewed look.
Asset Allocation
2016 Capital Market Assumptions for Major Asset Classes
1Q 2016
We update our multi-year expected return assumptions for major stock and bond markets, and investigate expected returns for credits and commodities.