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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.
Alternative Thinking
Exploring Rates Sensitivity
2Q 2017
Fed tightening has many investors interested in risks surrounding monetary policy, rising yields and inflation.
Journal Article
Liquidity-Driven Dynamic Asset Allocation
April 2, 2013
Portfolio management is moving toward a more flexible approach capable of capturing dynamics in risk and return expectations across an array of global asset classes.
Journal Article
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.
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.
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.
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.
Perspective
Never Has a Venial Sin Been Punished This Quickly and Violently!
February 19, 2020
Three months ago in “It’s Time for a Venial Value-Timing Sin,” Cliff demonstrated the value factor’s historic cheapness, suggesting it’s time to “sin a little” and modestly overweight value. While portfolio tilts are seldom promptly rewarded, it’s also rare they are instantly punished. In this piece, Cliff shows how 2020 has been the exception to the rule, as value has begun this year with its worst loss in its decade-long drawdown.
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.