Larry Swedroe and Kevin Grogan have created a near-perfect guide for practitioners and investors who are concerned about prospective returns from stocks and bonds in the current environment. The book explains how to think about the value of diversification and presents at least five novel strategies with exhaustive attention to detail.
In most parts of Canada we have very distinct seasons. Some months of the year are temperate and relatively dry, while other months are cold and snowy. As a result, most Canadian towns of any size have stores that sell skis and bikes.
Here’s a new bet with Warren Buffett based on a portfolio oriented around risk parity and factors.
Investors are struggling to achieve long-term return targets in today’s low yield environment. To close the gap, many investors feel forced into concentrated equity portfolios.
This article will tackle the “p-hacking” issue and propose a framework to help those who embrace evidence-based investing to make judicious decisions based on a more thoughtful interpretation of finance research.
Michael Edesess’ article, The Trend that is Ruining Finance Research, makes the case that financial research is flawed. In this two-part series, I will examine the points that Edesess raised in some detail.
In this article, we examine whether it pays to account for differences in the path assets take to produce their momentum. All other things equal, do investors express a short-term preference for assets that have produced their returns with less risk, where risk is measured broadly as having delivered a smoother ride?
In our last post, we covered the importance of a well-designed investment universe as a precondition for thoughtful diversification. In this second article on Dynamic Asset Allocation for Practitioners, we will explore several methods for measuring price momentum to compare and contrast their utility under different portfolio concentration and asset universe specifications.
In 2012 we published a whitepaper entitled “Adaptive Asset Allocation: A Primer” in which we built upon the simple, robust momentum framework proposed by Mebane Faber in his 2009 study “Relative Strength Strategies for Investing.”
In August 2016, Bank of America Merrill Lynch (BAML) wrote a research note characterizing risk parity as one of the central causes of equity market losses in late 2015. The note had all the hallmarks of a compelling plot line, replete with weapons of mass destruction, billion-dollar bets, and evil villains.