Practical analysis for investment professionals

asset allocation


Why Your Portfolio Should Include Scarce Assets

Portfolios that include both productive and scarce assets can deliver similar performance to the S&P 500 with less risk than those that hold only productive assets.

Investment Returns Are NOT Random

Are investment returns random across time as Burton Malkiel suggests in his book, A Random Walk Down Wall Street? There is notable disagreement on this topic. This research finds that practitioners may need to rethink their portfolio optimization routines.

Managing Regret Risk: The Role of Asset Allocation

Regret risk is a quantifiable phenomenon. The answer for some clients may be equally weighted portfolios.

Regret and Optimal Portfolio Allocations

To understand risk for portfolio optimization purposes, we need to consider regret.

Is the 60/40 Portfolio Still Relevant?

How do portfolios with asset allocations of 100% equity, 100% bond, 60/40, and 80/20 in the US, UK, Italian, Swiss, and global markets perform over time?

Evaluating Benchmark Misfit Risk

How can we identify and measure a portfolio's benchmark misfit risk?

Frontier and Emerging Markets: Inflection Points

Should we be adjusting our allocations to emerging or frontier markets?

How Do Cryptocurrencies Correlate with Traditional Asset Classes?

The crypto market’s recent gyrations necessitate a fresh look at the evolving relationships between crypto and traditional asset classes.

Book Review: Asset Allocation

William Kinlaw, Mark Kritzman, and David Turkington offer advice on a wide range of asset allocation topics, backing up their recommendations with solid quantitative analysis.

Book Review: In Pursuit of the Perfect Portfolio

Andrew Lo and Stephen Foerster offer a checklist of seven principles by which investors can construct their own “perfect portfolios.”



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