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Trade Publication

Back in the Hunt

Market timing is very hard.

Alternative Thinking

Exploring Rates Sensitivity

Fed tightening has many investors interested in risks surrounding monetary policy, rising yields and inflation.

Alternative Thinking

2017 Capital Market Assumptions For Major Asset Classes

We update our multi-year expected return assumptions for major stock and bond markets. Compared with historical averages of value metrics, we beloieve we are in a low expected return environment.

Journal Article

Market Timing: Sin a Little

Is market timing an easy source of added value or a sin to be avoided? We examine the evidence and find that adding a dose of momentum is a practical way to enhance value timing strategies. Investors may benefit from a modest amount of market timing.

White Paper

More Superstar Investors: Neil Woodford and Terry Smith

We examine the track records of two renowned U.K. fund managers: Neil Woodford and Terry Smith and find that a large part of their long-term success is due to patient exposure to well-rewarded factor premia.

White Paper

More Superstar Investors: Francisco Garcia Parames

We examine the track record of Spanish investor Francisco Garcia Parames, leading Portfolio Manager of Bestinver Asset Management, and find that a large part of his success is attributable to patient exposure to well-rewarded factor premia.

White Paper

Portfolio Rebalancing, Part 1: Strategic Asset Allocation

We discuss the main considerations when designing a rebalancing process, and use a simple empirical analysis to demonstrate the drivers of relative performance over four decades.

White Paper

Portfolio Rebalancing: Common Misconceptions

We address misunderstandings about the role and implications of rebalancing, particularly in the context of actively-managed portfolios.

White Paper

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.

White Paper

Value and Interest Rates: Are Rates to Blame for Value’s Torments?

Some have blamed the interest rate environment for value stocks’ underperformance of growth stocks from 2017 to early 2020, as well as the stretch of lackluster performance for some value factors since Global Financial Crisis. We find the performance of value is not easily assessed based on the interest rate environment, and that factor timing strategies based on interest rate-related signals are likely to perform poorly.