Alternative Thinking
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.
Machine Learning
Can Machines "Learn" Finance?
June 7, 2019
The early evidence hints that machine learning tools can potentially improve investment portfolios. Application of machine learning techniques is a natural evolution for investment research, and one that will continue to be explored.
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.
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.