Author: Corey Hoffstein (Page 1 of 40)
Is it possible to perform market timing with value indicators? We explore a recently published AQR paper on the subject and highlight the salient points.
Modern portfolio theory helps us create a Sharpe optimal portfolio, but it also tells us that less risky portfolios should hold significant amounts of cash.
When investors choose active managers, they introduce active risk into their portfolio, an extra risk that should be be accounted for in risk management.
Diversification is called the only free lunch in finance. With elevated valuations in stocks and bonds, could the time of the traditional portfolio be over?
In this research commentary, we perform a risk decomposition on traditional asset allocations and find exhibit extremely high risk concentrations.