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 ...