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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
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.
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.
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.
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.
Perspective
Sin a Little
November 11, 2015
We apply value and momentum investing—which we believe to be the strongest empirical regularities in finance—to the age-old task of market timing, long been regarded by many as an investing sin. We find that investors may benefit from a modest amount of marketing timing.
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.
White Paper
An Old Friend: The Stock Market's Shiller P/E
November 1, 2012
Based on the past, the 2012 level of the S&P 500 Shiller P/E —a particularly useful measure of the valuation of the U.S. stock market—suggests that investors should plan for lower average annual stock market returns over the following decade.