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Impact of High Equity Valuations on Safe Retirement Withdrawal Rates
High valuations suggest that retirement withdrawal rates that were once safe may now deliver success rates that are no better than a coin flip
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A Gentle Guide to Global Tactical Asset Allocation
An introduction to global tactical asset allocation ("GTAA") using systematic styles like value, momentum, carry, defensive and trend.
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Building an Unconstrained Sleeve
A presentation exploring how can unconstrained sleeve can be built to target hedging, equity-like, or absolute-return characteristics.
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Managing Capital Market Assumption Risk
A robust portfolio is better than an optimal one. Mitigating the risk of incorrect capital market assumptions is important in mean variance optimization.
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Combining Tactical Views with Black-Litterman and Entropy Pooling
For practitioners looking to implement tactical views in a coherent manner, Black-Litterman and Entropy Pooling may be attractive approaches.
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Four Important Details in Tactical Asset Allocation
We outline four important considerations that we believe can have an outsized impact on tactical asset allocation performance if ignored.
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Growth Optimal Portfolios
Most portfolio construction focuses on the trade-off of risk and return, but growth optimal portfolios may be better suited for wealth maximization.
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Duration Timing with Style Premia
Can value, momentum, carry, and an explicit measure of the bond risk premium be used as methods for timing duration in a fixed income portfolio?
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Is Your Multi-Asset Strategy Really Multi-Asset?
Most multi-asset strategies are very concentrated in a few risk factors. Seeking broad diversification requires diving deeper than the name of the strategy.
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Factors & Financial Planning
Factors are often discussed as a means to potential enhance portfolio return; but how should factors be combined when portfolio goals are considered?
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Do Factors Market Time?
Traditional academic equity factors exhibit time-varying beta exposure. Does this varying exposure imply returns from "market timing"?
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Big Little Details
In investing we typically focus on the big details, but the little details can have an outsized impact on results when they have the chance to compound.
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Can We Improve Sector Rotation?
Momentum-based sector rotation is a popular investment strategies. Can we introduce advancements in momentum investing to improve it?
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Navigating Municipal Bonds With Factors
We build a systematic municipal bond portfolio. The portfolio uses four factors (low volatility, momentum, value, carry) across six municipal bond sectors.
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Expectations with Tactical Equity
Tactical equity strategies are favored in rising rate environments and when the equity markets have large absolute moves.
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Factor Investing in Multi-Asset Portfolios
Factor investing is not limited it equities; it is a multi-asset concept. We present a case study of how we seek factors in our own multi-asset portfolios.
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Why quants don't pick stocks
Why don't quants pick stocks? Quants prefer to look for broad characteristics where they can diversify away idiosyncratic risk.
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Evidence-Based Investing Conference (West)
Yours truly will be attending the Evidence-Based Investing Conference (June 25th - 27th, 2017). The agenda and line-up looks nothing short of spectacular.
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A Simulation-Based Rebuttal to Research Affiliates
Research Affiliates has published new research showing managers fail to capture theoretical factor returns. But is it their research method flawed?
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Did Declining Rates Actually Matter?
It is often said that the bond bull market of the last 30 years was fueled by declining interest rates: but how much did declining rates actually matter?
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