Levered ETFs for the Long Run?
Levered ETFs are often dismissed as not suitable for buy-and-hold investors, but they may be able to play a role in creating risk-efficient portfolios.
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No Silver Bullets: 8 Ideas for Financial Planning in a Low-Return Environment
We offer 8 ideas investors can implement to help address the short-coming of traditional financial planning rules in a low-return environment.
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Portable Beta: Making the Most of the Returns You’re Already Getting
In theory, investors should gear the most risk-efficient portfolio; in practice, few do. Portable beta may help investors create more efficient portfolios.
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Risk Parity: How Much Data Should We Use When Estimating Volatilities and Correlations?
We explore whether more sensitive volatility estimates (less data) or more stable volatility estimates (more data) produce better risk parity results.
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A Case Against Overweighting International Equity
Are relative valuations a good enough reason to overweight international equity exposure compared to U.S. equity exposure?
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It’s Long/Short Portfolios All The Way Down
Long/short portfolios can provide us with a unique framework to think about portfolio differences, and a unique way to quantify value-add for fees paid.
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The Lie of Averages
We believe that maintaining a degree of flexibility within a portfolio can help investors adapt to the path they are on.
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Tax-Managed Models & Asset Location
We explore how tax-adjusted expected returns can be created and used in effort to create tax-managed portfolios that can maximize post-tax returns.
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Portfolios in Wonderland & The Weird Portfolio
Investors looking for long-term success may have to expand their investment palette and invest in weird portfolios to earn enticing returns in the future.
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Accounting for Autocorrelation in Assessing Drawdown Risk
Volatility can predict drawdowns, but incorporating autocorrelation yields more accurate predictions in equities, low vol, income, and managed futures.
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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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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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