White papers and commentaries explaining our investment strategies.
We emphasize strategic diversification over tactical view-taking for two main reasons; we also explore which types of tactical views are worth taking, and the conditions under which tactical decisions have a better chance of improving long-term performance.
In this briefing for Financial Advisors, we discuss the role of alternative investments in a truly diversified portfolio.
We seek to establish whether the strong performance of trend-following is a statistical fluke of the last few decades or a more robust phenomenon that exists over a wide range of economic conditions.
We show that a betting-against-beta (BAB) strategy has delivered positive returns both within industries and across industries.
We discuss three important and prevalent bad investing habits — multiyear return chasing, under-diversification, and comfort-seeking while selecting investments.
We document the response of various asset classes and strategies in historical episodes of sharply rising real bond yields.
In this briefing for Financial Advisors, we discuss how to build a portfolio that is much more diversified than the traditional mix of 60% stocks and 40% bonds.
Above and beyond the difficulties of generating reliable time-varying forecasts, investors should understand that tactical timing incurs a mechanical Sharpe ratio penalty which is larger for portfolios of more diversified assets or strategies.
Any natural catastrophe in the U.S. or Europe that could cause anything greater than a transient negative reaction in equity markets would be well beyond a 1-in-100-year occurrence.
This issue explores justifiable frameworks for estimating multi-year expected returns.