- Filter By.
-
Topic (${ Topics.length })
-
-
Type (${ ContentTypes.length })
-
Contributor (${ Contributors.length })
- Relevance
- Newest
- Oldest
Perspective
It Ain't What You Don't Know That Gets You Into Trouble
June 20, 2018
My colleagues have written two papers questioning things we thought we knew. The first questions what we really know about current stock market valuations forecasting long-horizon future returns and the second explores whether or not the size effect really exists.
White Paper
Asset Allocation in a Low Yield Environment
August 21, 2017
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
Market Timing: Sin a Little
August 9, 2017
Is market timing an easy source of added value or a sin to be avoided? We examine the evidence and find that adding a dose of momentum is a practical way to enhance value timing strategies. Investors may benefit from a modest amount of market timing.
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.
Alternative Thinking
Exploring Rates Sensitivity
2Q 2017
Fed tightening has many investors interested in risks surrounding monetary policy, rising yields and inflation.
Journal Article
Long Horizon Predictability: A Cautionary Tale
June 18, 2018
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.
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
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.
Alternative Thinking
It Was the Worst of Times: Diversification During a Century of Drawdowns
September 26, 2018
We use nearly 100 years of data to evaluate the effectiveness of diversifying investments during the worst of times for most portfolios and find that attempting to tactically avoid equity sell-offs is likely to disappoint.