The fourth quarter of 2018 was pretty turbulent for global equities. Volatility and correlations rose, the majority of the S&P Global BMI’s 48 country constituents declined by double digits, recent darlings among factor strategies (momentum and growth) lagged, and the S&P 500’s 13.52% quarterly plunge left the benchmark with its first calendar-year loss in a Read more […]
How much should a portfolio manager be willing to pay for research? This is a question any manager has to answer, but it has recently become more pertinent as newly imposed European rules require the costs of investment research to be unbundled from trading. Here is a brief overview of a stylized framework for estimating Read more […]
I recently completed several meetings with financial advisors in Kansas and Tennessee. Traveling to meet with advisors in their offices or at events is something that I enjoy doing and informs my love of the work that our team does in advisor education. However, I am troubled by a reoccurring conversation that came up. In Read more […]
Sequence of returns (SoR) risk refers to the situation when the market experiences random movements in such a way that returns are not uniformly distributed. For example, in the 32-year period from 1966 to 1997, the DJIA had an annualized return of 8%. However, the returns were not evenly distributed over time. For the first Read more […]
This morning’s Wall Street Journal reported, rather breathlessly, that “U.S. bond yields are topping a key measure of the dividends that large U.S. companies pay—a shift that has broad implications for investors….” The headline was triggered by the observation that the 2.50% “yield on the 10-year U.S. Treasury note…exceeded the 1.91% dividend yield on the Read more […]
For many plan participants, the goal of a retirement account is to provide a steady stream of income that will sustain their standard of living in retirement. Therefore, participants need a framework that aligns the management of their savings with their retirement income goal. This framework has three related components: Risk management that addresses the Read more […]
Recent financial crises have exposed the shortcomings of the traditional approach to asset allocation and have led an emerging shift, especially among institutional investors, towards dynamic asset allocation, hinged on the diversification across risk factors. While there are numerous research papers that explore this topic, they tend to be theoretical and it is for this Read more […]
The New York-listed iShares Europe 350 ETF has more than doubled in size in the past six months; the front page of last Friday’s Financial Times reported that U.S. purchases of European equities have surged, while the Wall Street Journal noted yesterday that “Europe is back.” European equities have underperformed U.S. equities by around 45% Read more […]
Globally, over 6 billion U.S. dollars are invested in India Equity ETFs, although less than 200 million via products listed in India. It’s reasonable to suppose that Indian demand is reflected in the local figures, transferring wealth across Indian borders is both difficult and expensive. Thus, on the face of it, these figures suggest general Read more […]
Multi-asset strategies have been traditionally offered via active management. Institutional and high net worth investors have used multi-asset strategies to meet their specific needs such as matching liabilities and achieving absolute returns. As the indexing industry evolves beyond asset class beta and systematic risk premia, we are starting to see multi-asset investment solutions offered in Read more […]
