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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When ingredients spoil
This post is available as a PDF here. Summary We break
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Questioning your most dangerous assumptions: is your glide path too risky?
Glide paths are built from historical return assumptions: but do past returns from U.S. stocks paint too rosy a picture?
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Momentum AND Diversification: A powerful risk-adjusted combination
3rd place winner of the 2015 NAAIM Wagner Award investigating risk-adjusted returns generated by combining momentum and diversification
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Questioning Your Most Dangerous Assumptions: Does Rebalancing Add Value?
Does annual portfolio rebalancing actually add value over the long run? We analyze market returns over the last 50 years to find out.
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