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Chief Investment Quarterly

Late Cycle Syndrome

The concern that the economy is nearing the end of its expansion phase has important implications for investors. We take a look at the data on “late cycle” indicators to see what they really tell us.

Working Paper

Robust Dynamic Asset Allocation With Model Misspecification

This paper derives the optimal dynamic trading strategy when the investor's model of alpha-decay is misspecified. This robust trading strategy can be computed easily by solving a standard linear quadratic Gaussian dynamic programming problem.

Working Paper

One Reason Not to Avoid Market Timing

Market timing should be undertaken only to the extent an investor feels his skills overcome the hurdles.

Trade Publication

Back in the Hunt

Market timing is very hard.

Journal Article

Long Horizon Predictability: A Cautionary Tale

We show there is much less evidence of long-horizon return predictability than existing research suggests, casting doubt over claims about forecasts based on stock market valuations and factor timing.

Alternative Thinking

Challenges of Incorporating Tactical Views

Tactical timing is inherently more difficult than it seems. We explore which types of tactical views may be worth taking.

Alternative Thinking

It Was the Worst of Times: Diversification During a Century of Drawdowns

We use nearly 100 years of data to evaluate the effectiveness of diversifying investments during the worst of times for most portfolios and find that attempting to tactically avoid equity sell-offs is likely to disappoint.

Alternative Thinking

Exploring Rates Sensitivity

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

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

An Old Friend: The Stock Market's Shiller P/E

Based on the past, the 2012 level of the S&P 500 Shiller P/E —a particularly useful measure of the valuation of the U.S. stock market—suggests that investors should plan for lower average annual stock market returns over the following decade.