Multi-asset class investing - more important than security selection

There is a growing trend that investors should focus more on multi-asset class investing or the asset allocation decision over security sele...

Value and momentum - why do they both work?

Two of the most important factors for investors are value and momentum. These are factors that can both easily be exploited and accessed in ...

Drawdowns are everywhere - this is a problem of proportionality

"My golly! I can't hold that managed futures fund, it is always in a darn drawdown." I have heard far worse language in refere...

News may lead to volatility and disaster uncertainty - a priced variance premium

News headlines will impact market returns and volatility. Headlines often represents uncertainty and can increase the fear or probability of...

Fading volatility is a strategy that works

Volatility matters. Portfolio efficiency focuses on the return to risk trade-off. There has been a focus on low volatility strategies, but j...

Volatility on downtrend - volatility spikes tied to liquidity

Asset price volatility follows a pattern of spiking only to then gradually decay. This is the essence of much of the GARCH modeling revoluti...

Asset management as cooking, asset classes as food, and factors as nutrients

Just like ‘eating right’ requires you to look through food labels to understand the nutrient content, ‘investing right’ means looking throug...

Asset class diversification is good, factor-based may be better, but strategy diversification best

After attending a conference that highlighted some of the latest research on smart-beta and factor-based investing, I can say that this new ...

Precautionary principle and asset management

Nassim Taleb is a forward thinker who is always pushing scientists to think more deeply about of the statistical distributions of data. His ...

Natixis Durable Portfolio Construction - a good foundational philosophy

Many money managers want to make the investment process complex as if complexity will have investors think there they should pay a premium f...

Follow academic research at your own risk

A newly published research piece studied out of sample and post publication return predictability for a number of variables that have been s...

FIFAA - the new Harvard endowment approach - Is this an improvement?

The Harvard endowment is restructuring its asset allocation process with a new approach called Flexible Indeterminate Factor-based Asset All...

Asset allocation approaches - there can be a classification scheme

There are a wide set of allocation approaches but there has been little work at trying to classify them. Nevertheless, a classification sche...

What you need to BAG performance - Beta, Alpha, Gamma

The question is often asked, "What do I need in my portfolio?". The answer is usually long-winded with deep discussions about asse...

A new endowment model? It may be coming

The Family Office Association issued a white paper called "Improving the "Endowment Model" Recipe". This is a provocativ...

Portfolio insurance - Back again?

I have seen some discussion in the financial press and from clients about portfolio insurance in the last month. This does not make a trend,...

Market prices diverging from macro data - signal of ruin?

FINANCIAL SECTOR THINKS IT'S ABOUT READY TO RUIN WORLD AGAIN -The Onion Look at some of the current market price signals and it looks li...

Endowments under pressure - are alternatives the solution?

Most surveys suggest that endowments and pensions have been increasing their alternative exposure. The reason may be clear when you look at ...

The Gordian Knot of asset allocation and why investors need alternatives

There is a Gordian Knot with asset allocation as we move into 2016. The problem is simple but fundamental to all asset allocation this year....

Natixis survey - what are institutional investors thinking for 2016?

Many firms are now engaging in surveys to provide insight on the direction of asset allocation choices of large investors.  Natixis Global A...