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Journal Article
Market Timing: Sin a Little
August 9, 2017
Is market timing an easy source of added value or a sin to be avoided? We examine the evidence and find that adding a dose of momentum is a practical way to enhance value timing strategies. Investors may benefit from a modest amount of market timing.
White Paper
Alpha Beyond Expected Returns
March 1, 2012
Many institutional investors focus primarily on one source of alpha: expected returns. We argue that “alpha” may also becaptured in virtually every other stage of the investment process and discuss seven sources of opportunities.
White Paper
Portfolio Rebalancing, Part 1: Strategic Asset Allocation
December 18, 2015
We discuss the main considerations when designing a rebalancing process, and use a simple empirical analysis to demonstrate the drivers of relative performance over four decades.
White Paper
Demystifying Illiquid Assets: Expected Returns for Private Real Estate
January 31, 2019
We try to demystify the risk and return of private real estate, considering theoretical arguments, historical average returns, and forward-looking yield-based analysis.
White Paper
Improving Target-Date Funds
January 2, 2013
Target-date funds (TDFs) may be the preferred long-term investment vehicle for many defined-contribution plan sponsors and their participants. However, TDFs may have some shortcomings, and we discuss two of them in our analysis.
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
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.
White Paper
Intelligent Risk Taking: How to Secure Retirement in a Low Expected Return World
August 15, 2017
We examine the rate of return needed to deliver a comfortable retirement based on current savings rates as well as intelligent ways to construct portfolios to achieve this rate of return.