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Chief Investment Quarterly
You Can’t Hedge, but You Can Diversify
May 8, 2019
Investors may benefit from adding diversifiers to their portfolios, but diversifiers aren’t hedges. Hedges serve a different purpose…unless they’re from Texas.
Chief Investment Quarterly
Not Expecting to Hit Your Expected Return? Cash Is the Culprit
September 18, 2019
Today’s lower return targets for pension plans are actually harder to reach. Here’s why.
Chief Investment Quarterly
Late Cycle Syndrome
September 18, 2019
The concern that the economy is nearing the end of its expansion phase has important implications for investors. We take a look at the data on “late cycle” indicators to see what they really tell us.
Alternative Thinking
2020 Capital Market Assumptions for Major Asset Classes (Supplemental Estimates as of March 31, 2020)
May 6, 2020
This supplement provides a special update to our estimates of medium-term (5- to 10-year) expected returns for major asset classes. This update reflects the large changes in prices for many asset classes due to the impact of COVID-19 in Q1 2020.
Alternative Thinking
2019 Capital Market Assumptions for Major Asset Classes
February 4, 2019
We update our estimates of medium-term (5- to 10-year) expected returns for major asset classes, including private equity and private real estate.
Alternative Thinking
Why Do Most Investors Choose Concentration Over Leverage?
2Q 2012
Return-seeking investors must take risks—the question is which to take and to understand the tradeoffs involved. Most investors choose concentration risk, but we present arguments for a different approach.
Alternative Thinking
Challenges of Incorporating Tactical Views
4Q 2014
Tactical timing is inherently more difficult than it seems. We explore which types of tactical views may be worth taking.
Working Paper
Robust Dynamic Asset Allocation With Model Misspecification
November 12, 2014
This paper derives the optimal dynamic trading strategy when the investor's model of alpha-decay is misspecified. This robust trading strategy can be computed easily by solving a standard linear quadratic Gaussian dynamic programming problem.
Working Paper
One Reason Not to Avoid Market Timing
August 5, 1998
Market timing should be undertaken only to the extent an investor feels his skills overcome the hurdles.
Journal Article
Using Investment Consumption Value to Select Asset Classes
August 1, 2008
For investors, selecting the appropriate asset classes to be included in a portfolio is arguably the most important task, but the traditional analytical frameworks use only historical mean- variance analysis to identify asset classes and fail to look into the future.