Author: Nathan Faber (Page 1 of 9)
A robust portfolio is better than an optimal one. Mitigating the risk of incorrect capital market assumptions is important in mean variance optimization.
Most multi-asset strategies are very concentrated in a few risk factors. Seeking broad diversification requires diving deeper than the name of the strategy.
Tactical equity strategies are favored in rising rate environments and when the equity markets have large absolute moves.
Reported behavior gaps can be very misleading. Disciplined approaches may even show a behavior gap depending on the market environment.
Accounting for Autocorrelation in Assessing Drawdown Risk
By Nathan Faber
On August 21, 2017