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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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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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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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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Diversification in Multi-Factor Portfolios
This blog post is available as a PDF here. Summary­­
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Anatomy of a Bull Market: Follow-Up
Drivers of equity returns vary depending on the time horizon we study. The impact of valuation changes diminishes as the time period is increased.
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Anatomy of a Bull Market
Bull markets come in all shapes and sizes. We analyze historical market cycles on criteria such as duration, magnitude, velocity, and source of return.
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Capital Efficiency in Multi-factor Portfolios
Are integrated multi-factor portfolios more capital efficient than their mixed peers? In this blog post, we prove this statement for some broad assumptions.
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Is That Leverage in My Multi-Factor ETF?
The debate rages on between the best way to build a multi-factor portfolio: mixed or integrated? Are integrated portfolios are more capital efficient?
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Multi-Factor: Mix or Integrate?
Which approach to building a multi-factor portfolio is best: mixed or integrated? The time-varying nature of factor premiums may be the key determinant.
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Math Tests, Birthdays, O.J. Simpson, and Texas Sharpshooters
This blog post is available as a PDF here. Summary Humans are
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The State of Risk Management
How effective is your method of managing portfolio risk? We
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Indexed Annuity: Masking Risk, Not Destroying It
What is an Indexed Annuity? In recent conversations with current and
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What are Growth and Value?
Growth and value have intuitive definitions but can be quantified in many ways. A diversified approach can lead to more consistent performance over time
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Growth is not “not value”
This commentary is available as a PDF here. Summary Style boxes
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