Wide-ranging, evidence-driven, and practical investment insights from our Portfolio Solutions Group
January 16, 2025
We update our estimates of medium-term (5- to 10-year) expected returns for major asset classes. We also include a discussion on corporate earnings growth: the market consensus is for more strong growth to come – especially in the U.S. But what is a reasonable medium-term forecast for allocators?
Factor/Style Investing
June 3, 2025
Streaky return streams - ones that that can perform well or poorly for extended periods - are challenging for investors to comprehend and stick with. Yet, this very "complexity risk” may be what earns investors an additional risk premium, leading to above average risk-adjusted returns.
Machine Learning
November 7, 2024
In the second issue of our 2024 Alternative Thinking series, we showed that machine learning techniques can be used to help improve market timing strategies. In this issue, we extend these concepts to constructing stock selection strategies following a similar framework. Our results indicate more complex models utilizing machine learning techniques yield performance improvements relative to a simple, linear approach in the range of 50-100%, suggesting that machine learning can help to build better stock selection portfolios.
Alternative Investing
September 18, 2024
This paper presents one justifiable set of inputs and finds that alternatives earn themselves a sizable strategic allocation. Investors are encouraged to compare these results with their own assumptions, constraints and allocations as they look to build a resilient portfolio for long-term investment success.
Machine Learning
May 6, 2024
Common wisdom has suggested that small, simple models are best suited for market timing applications, given finance’s “small data” constraint and naturally low predictability. However, we show that complex models better identify true nonlinear relationships and therefore produce better market timing strategy performance. We validate this "virtue of complexity" result in three practical market timing applications.
Asset Allocation
January 16, 2024
We update our estimates of medium-term (5- to 10-year) expected returns for major asset classes. We also include a section on estimating expected returns and risk for private credit, as well as a feature on the key decisions that underpin any capital market assumptions framework.
December 5, 2023
Investors are looking for resilient sources of return in the face of mounting headwinds for equity markets. Long/short and market-neutral equity strategies deserve consideration. We review the case for allocating to long/short equity and address several key choices faced by investors and by managers.
Asset Allocation
September 5, 2023
What are the implications of higher interest rates for asset allocation? This article reviews historical patterns and forward-looking expected returns for a range of asset classes, and highlights the role of “cash-plus” liquid alternatives — overlooked beneficiaries of higher cash rates. We show that in a higher-rate world that investors haven’t seen for many years, diversification away from equities may prove to be especially valuable.
Alternative Investing
June 12, 2023
After 2022 showed the downside of traditional portfolios’ reliance on equity risk, many investors have recently begun to reconsider the role of risk-mitigating portfolios within their broader asset allocations. We show why we believe trend following deserves a prominent place in any serious risk-mitigation portfolio.
Asset Allocation
1Q 2023
We update our estimates of medium-term (5- to 10-year) expected returns for major asset classes. We also include two special topics: one highlighting the case for emerging market equities, and the other assessing the impact of large interest rate rises on various risk premia.
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