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White Paper
How Did We Get Here? A Brief History of Expected Returns Formation
June 20, 2025
We present our history of expectation formation: How have investors formed long-run return expectations over time, and how have academics perceived that investors do it, or ought to do it?
Perspective
(So) What If You Miss the Market’s N Best Days?
June 5, 2025
This post revisits and refutes a long-standing argument against market timing—that missing just a few of the market’s best days can devastate returns—by demonstrating its logical flaws and statistical irrelevance. Using both historical and out-of-sample data, it shows that the risks and rewards of market timing are more symmetric than commonly portrayed.
White Paper
Exceptional Expectations: U.S. vs. Non-U.S. Equities
May 9, 2025
We analyze the persistent outperformance of US equities compared to non-US equities, focusing on the drivers of relative performance, including fundamentals and valuations. We examine historical data, valuation trends, and the implications for future returns, highlighting the potential for mean reversion and the benefits of global diversification.
White Paper
How Do Investors Form Long-Run Return Expectations?
April 28, 2025
We provide an overview of the contrasting ways investors form long-run return expectations and examine the tensions between "objective" yield-based expected returns and "subjective" rearview-mirror expectations. We also discuss the dangers of a rearview-mirror mindset and emphasize the importance of forward-looking measures.
Perspective
Should Hedge Funds Hedge?: Why Some Alts Should Have a Beta of 1.0
March 28, 2025
While uncorrelated alternatives can be beneficial, they often fail to significantly impact the overall portfolio. Here, I argue that adding beta to these alternatives can enhance capital efficiency and improve long-term returns. Ultimately, there is a need for a balanced approach to investing in alternatives, including a combination of aggressive and equitized strategies.
White Paper
Portable Alpha: Why Now?
February 20, 2025
As stock market valuations continue to rise and expected returns correspondingly fall, many investors are hoping to rely more on alpha from active management to make up for a potential future return gap. Unfortunately, long-only active management has struggled during recent history. We review why portable alpha may be an attractive alternative solution in today’s market environment. We also discuss what aspects of a portable alpha solution are important for investors to consider when selecting between implementations.
Alternative Thinking
2025 Capital Market Assumptions for Major Asset Classes
January 16, 2025
We update our estimates of medium-term (5- to 10-year) expected returns for major asset classes. We also include a discussion on corporate earnings growth: the market consensus is for more strong growth to come – especially in the U.S. But what is a reasonable medium-term forecast for allocators?
Perspective
2035: An Allocator Looks Back Over the Last 10 Years
January 2, 2025
Well, sitting here in the year 2035 and looking back at our endowment’s returns for the last decade is not a pleasant task. World markets have been subpar and our performance relative to world markets has been simply terrible. Hard times are never pleasant. But they have one upside. We can learn from them.
White Paper
Seeking Resilient Growth: Why It’s Time for the LGPS to Consider Liquid Alternatives
November 1, 2024
Most Local Government Pension Scheme (LGPS) investment portfolios rely on substantial equity allocations to drive growth over the long term, but heroic rates of earnings growth would be needed to maintain recent strong equity performance. While LGPS have been turning to private assets to seek future returns and diversification, we make the case for truly diversifying liquid alternatives as a viable and versatile complement to existing portfolios, and explore the benefits of a transparent, quantitative approach.
Alternative Thinking
Broad Strategic Asset Allocation
September 18, 2024
This paper presents one justifiable set of inputs and finds that alternatives earn themselves a sizable strategic allocation. Investors are encouraged to compare these results with their own assumptions, constraints and allocations as they look to build a resilient portfolio for long-term investment success.