Tag Archives: modern portfolio theory

Jun 4, 2020

Exploring SPIVA on a Risk-Adjusted Basis

What happens to active manager performance when risk is factored in? S&P DJI’s Gaurav Sinha takes a closer look at SPIVA data from markets around the globe.

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Jun 23, 2017

The Much-Maligned Market Portfolio

It seems generally acknowledged that no investment strategy should be expected to offer an optimal trade-off between return and risk in all periods.  Yet I often hear criticism of market-cap weighting, presumably because modern portfolio theory (MPT) postulates a hypothetical market portfolio as efficient in the mean-variance sense.  Financial engineers, product developers, and asset managers…

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