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Alternative Thinking
Exploring Rates Sensitivity
2Q 2017
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
1Q 2017
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
August 9, 2017
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
May 28, 2019
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
May 28, 2019
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
December 18, 2015
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
February 1, 2017
We address misunderstandings about the role and implications of rebalancing, particularly in the context of actively-managed portfolios.
White Paper
Understanding Alternative Risk Premia
March 13, 2018
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?
May 22, 2020
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.