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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J.P. Morgan Outlook Implies Satellite Bonds Are King
J.P. Morgan's 2016 capital market assumptions imply that satellite bonds are king and core stocks and bonds must be complemented with alternative exposures.
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Rethinking Bonds: Unbundle and Rebuild
In a “lower for longer” era, many objectives that were previously met by core fixed income may require a new way of thinking.
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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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6 Reasons Why Your Fund Checklist is Hurting Performance
This blog post is available as a PDF here. Summary Most
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Tactical Trend-Following: Core or Alternative?
This blog post is available as a PDF here. Summary Answering whether
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Are 3-year track records meaningful?
This blog post is available as a PDF here.   Summary Many
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Beware bad multi-factor products
This post is available as a PDF here. Summary Multi-factor portfolios are
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Politics, Investing, and the Rules of the Game
The rules of the game are crucial in politics. Investing is no different. Rules used for portfolio construction should match investor expectations.
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