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Journal Article

Market Timing: Sin a Little

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

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

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

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

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

Back in the Hunt

Market timing is very hard.

Trade Publication

Risk Parity: A Supplement to Traditional Portfolios, Not Their Replacement

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

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

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.