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Book
Expected Returns on Major Asset Classes
January 5, 2012
Expected returns are arguably the most important input into investment decisions. By broadening the traditional paradigm of expected return estimation, we think investors have the ability achive better-diversified portfolios and more forward-looking analysis.
Book
Expected Returns: An Investors Guide to Harvesting Market Rewards
March 1, 2011
Finance theories have changed dramatically over the past 30 years, away from the restrictive theories of the single-factor CAPM, efficient markets, and constant expected returns.
Book
Consistency of Carry Strategies in Europe
September 1, 2003
In this chapter, we focus on strategies in the European bond market that shift money from government bonds to higher-yielding credits. While most carry strategies seem to add value in the long run, some strategies appear more risky than others.
Alternative Thinking
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.
Alternative Thinking
Exploring Rates Sensitivity
2Q 2017
Fed tightening has many investors interested in risks surrounding monetary policy, rising yields and inflation.
Trade Publication
Risk Parity: A Supplement to Traditional Portfolios, Not Their Replacement
January 1, 2012
It is often said that long-term investors can rely on equity returns since they can withstand short-term periods of underperformance and still survive to realize the benefits in the long-term.
Trade Publication
The Alpha in Portfolio Construction
January 1, 2013
We believe that portfolio construction, risk management and cost control are the “low-hanging fruit” of managing a long-term portfolio.
Trade Publication
The 5% Solution
May 1, 2012
Institutional investors commonly target 5% real annual returns, or 7% to 8% nominal returns.
Trade Publication
Style Investing: The Long and the Long/Short of It
January 2, 2014
Many investors agree that applying systematic tilts away from a passive, capitalization-weighted portfolio is a good idea; fewer agree on how best to capture these style-based returns.