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
Read more.Building an Unconstrained Sleeve
A presentation exploring how can unconstrained sleeve can be built to target hedging, equity-like, or absolute-return characteristics.
Read more.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.
Read more.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.
Read more.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?
Read more.Navigating Municipal Bonds With Factors
While quantitative styles such as value, momentum, low volatility, and carry have been applied to equities, we explore their use within municipal bonds.
Read more.Did Declining Rates Actually Matter?
It is often assumed that declining interest rates were a significant boon to fixed income returns over the last several decades; but is that true?
Read more.Diversification in Multi-Factor Portfolios
This blog post is available as a PDF here. Summary
Read more.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.
Read more.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.
Read more.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.
Read more.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?
Read more.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.
Read more.Math Tests, Birthdays, O.J. Simpson, and Texas Sharpshooters
This blog post is available as a PDF here. Summary Humans are
Read more.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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