Showing 1 - 10 of 346 results for 'Portfolio Construction'

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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.

Trade Publication

The Alpha in Portfolio Construction

We believe that portfolio construction, risk management and cost control are the “low-hanging fruit” of managing a long-term portfolio.

White Paper

Portfolio Construction Matters: A Simple Example Using Value and Momentum Themes

We compare two portfolio construction approaches, “mix” and “integrate,” and examine some examples to demonstrate how their differences may have important implications for practice.

Journal Article

Long-Only Style Investing: Don't Just Mix, Integrate

We contrast two common approaches to long-only style investing: the “portfolio mix” and the “integrated portfolio.” Our results suggest that long-only factor or smart beta investors should consider integrating styles in portfolio construction.

Journal Article

A Note on REIT Bankruptcy and Intra-Industry Information Transfers: An Empirical Analysis

In this article, we review the capital markets’ response to the bankruptcy of Residential Resources (Res Res), a Real Estate Investment Trust (REIT), less than a year after its initial public offering in 1988. We find a significant event day value decline for a broad portfolio of REITs.

Alternative Thinking

Strategic Risk Allocation

We believe investors should broadly diversify and risk balance as a starting point to asset allocation, but perhaps then mildly overweight assets with high Sharpe ratios or good diversification benefits if they can identify these.

Journal Article

Working Your Tail Off: Active Strategies vs. Direct Hedging

Economic theory and empirical evidence support the idea that investors should, over the long term, be compensated for bearing risk.

White Paper

Measuring Factor Exposures: Uses and Abuses

A growing number of investors have come to view their portfolios (especially equity portfolios) as a collection of exposures to risk factors.