Alternative Investing

Demystifying Illiquid Assets: Expected Returns for Private Real Estate

We try to demystify the risk and return of private real estate, considering theoretical arguments, historical average returns, and forward-looking yield-based analysis.

Alternative Investing

Demystifying Illiquid Assets: Expected Returns for Private Equity

We lay out a framework for expected returns for private equity that is based on a discounted cashflow framework similar to what we use for public stocks and bonds.

Alternative Investing

Trend Following in Focus

We use live data of trend-focused managers starting in 2000 via the SG Trend Index to contextualize recent performance and to re-affirm the merits of the strategy.

Portfolio Construction

Transactions Costs: Practical Application

We offer guidance on understanding transactions costs, including a discussion of the practical aspects of measuring them and the pitfalls one might face when trying to compare costs across managers.

Volatility

Understanding the Volatility Risk Premium

The volatility risk premium (VRP) represents the compensation that investors earn for providing protection against market losses. We explain the reasons why it may exist and explore its historical performance with a simple option-selling strategy.

Tax Aware

Style Investing and Tax Efficiency: Building a More Tax Efficient Global Equity Portfolio for Australian Investors

We evaluate the performance of long-only style-based equity strategies after accounting for taxes. We and find that style investing can be efficiently implemented in a tax-aware manner for Australian investors.

Alternative Investing

Understanding Alternative Risk Premia

With its many potential benefits, including generally low-to-no correlation to a traditional 60/40 or hedge fund portfolio, we believe an ARP strategy may serve as a core alternative solution in investors’ portfolios.

Risk Parity

Not Risk Parity Funds

The source of the recent market disruption may not be fully understood yet, but we can reveal what it wasn’t.

Asset Allocation

Asset Allocation in a Low Yield Environment

In 2016, bond yields dropped to unprecedented low levels in major developed markets. Even in a low rate environment, we think it’s important to diversify across many return sources.

Retirement

Intelligent Risk Taking: How to Secure Retirement in a Low Expected Return World

We examine the rate of return needed to deliver a comfortable retirement based on current savings rates as well as intelligent ways to construct portfolios to achieve this rate of return.