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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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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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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Diversification in Multi-Factor Portfolios
We explore new evidence about interaction effects in composite-based multi-factor portfolios and look into FTSE Russell's Tilt-Tilt integrated approach.
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Embracing Conflict in Asset Allocation
Embracing conflict in asset allocation by using multiple approaches can help investors harvest the sizable benefits of process diversification.
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Should We Be Holding More Cash?
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.
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It’s 2017: Do You Know Where Your Risk Is?
In this research commentary, we perform a risk decomposition on traditional asset allocations and find exhibit extremely high risk concentrations.
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How to Not Ditch Your Investment Plan
Investing is one part skill and one part discipline. Setting proper expectations can improve discipline and help you not ditch your investment plan.
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Rising Correlations and Tactical Asset Allocation
Tactical asset allocation can potentially add the most value when correlations between asset classes in the universe are high.
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Is My Diversified Commodity Index Just Oil?
"Diversified" commodity indices are often primarily exposed to oil. Balancing risk among different assets can achieve truly diversified commodity exposure.
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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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A shock to the covariance system
Modern portfolio theory relies on the assumption of normal returns. In this post we explore how to shock a covariance matrix to create fat tails.
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High Capital Gains, Low Expected Returns: A Frustrating Combination
Framework for considering the trade-offs between paying capital gains taxes and rebalancing to an optimal portfolio given current market outlook.
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Optimizing for Anxiety
Portfolios are only optimal if investors can stick with them. We explore how we account for investor anxiety in portfolio optimization.
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