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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.

White Paper

A Better Approach to Alternative Investing

The goal of a portfolio is to maximise risk-adjusted return. Adding alternative investments to a traditional portfolio is a way to potentially do this, reducing downside risk while maintaining or even increasing the portfolio's expected return.

White Paper

Inflation in 2010 and Beyond — Part II

"In this paper, our analysis reveals that traditional institutional portfolios with risk characteristics similar to a 60/40 stocks/bonds allocation may not be well-positioned for unexpected inflation. "

White Paper

Implementing Portable Alpha: A Case Study

This 2007 case study examines what happens when a fictional public pension plan faces an equity market slump, lower expected equity-market returns and a legislature-mandated increase in the investment portfolio’s target real rate of return.

White Paper

Diversification Revisited

Many investors argue that diversification failed them during the market turmoil of 2007 and 2008. We challenge that line of thinking by examining the performance of different asset allocations through that market downturn.

Trade Publication

The 5% Solution

Institutional investors commonly target 5% real annual returns, or 7% to 8% nominal returns.

White Paper

Changing Spaces Emerging Markets Investing

Over the past decade, emerging-market equities have become a meaningful portion of global equity markets. We provide some key insights to help investors evaluate their exposure.

Working Paper

Bubble Logic: Or, How to Learn to Stop Worrying and Love the Bull

A bull market produces stories, often absorbed by investors engaged in wishful thinking, that encourage the purchase or retention of stocks or mutual funds. This has led them to bid up stocks so high that even long-term investors will be disappointed.

Working Paper

The Bubble Has Not Popped

Many called the stock market “undervalued” in 2002, based on how far and fast it had fallen over the prior two years. But this 2002 article contends that stocks are not necessarily cheap after the decline.

Alternative Thinking

Estimating Long Term Expected Returns

Diversification is underutilized in most institutional portfolios but may improve risk-adjusted returns, active returns and total returns more reliably than concentrated positions.