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Alternative Thinking

Challenges of Incorporating Tactical Views

Tactical timing is inherently more difficult than it seems. We explore which types of tactical views may be worth taking.

Alternative Thinking

Bad Habits and Good Practices

Good investing requires good investments and good investors. We discuss the latter and address bad habits that can affect long-term performance.

Alternative Thinking

Strategic Portfolio Construction

When it comes to portfolio construction, many investors seek guidance on “putting it all together.” We discuss our systematic approach and examine how investor-specific beliefs and constraints can inform and interact with formal optimization methods.

Alternative Thinking

2017 Capital Market Assumptions For Major Asset Classes

We update our multi-year expected return assumptions for major stock and bond markets. Compared with historical averages of value metrics, we beloieve we are in a low expected return environment.

Journal Article

Long Horizon Predictability: A Cautionary Tale

We show there is much less evidence of long-horizon return predictability than existing research suggests, casting doubt over claims about forecasts based on stock market valuations and factor timing.

Journal Article

Derivatives Strategies for Endowment and Foundation Portfolios: The Manager Perspective

Many endowment and foundation funds automatically maintain a mix of 60% stocks and 40% bonds, and numerous researchers will tell them they are wrong.

White Paper

Asset Allocation in a Low Yield Environment

In 2016, bond yields dropped to unprecedented low levels in major developed markets. Even in a low rate environment, we think it’s important to diversify across many return sources.

Journal Article

The Past and Future of Quantitative Asset Management

The defining element in quant management is diversification.

Book

Expected Returns on Major Asset Classes

Expected returns are arguably the most important input into investment decisions. By broadening the traditional paradigm of expected return estimation, we think investors have the ability achive better-diversified portfolios and more forward-looking analysis.

Interview

Words From the Wise: Roger Urwin on Addressing the Investment Challenge

Roger Urwin, global head of investment content at Willis Towers Watson, discusses in a Q&A how two powerful industry trends— specialization and complexity—will continue to have impact in coming years.