Portfolio Management

  1. Index-fund outperformance not logical in rational world

    trueIn a rational market for investment management, active investment should outperform passive investment. Still, much evidence suggests index funds have outperformed actively managed ones after fees and expenses. Any such outperformance is peculiar.

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  2. Hedged global bonds could be answer to DC volatility problem

    trueMany defined contribution plan sponsors are seeking solutions aimed at reducing undue volatility — excess volatility without a commensurate increase in return — that can prevent a plan and its participants from achieving their long-term objectives. Our research suggests hedged global bonds may be ...

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  3. Analysis shows prospects for fixed-income markets are not so rosy

    trueGenerally, history provides useful lessons for the future. For fixed-income markets, however, the recent history is downright misleading. To wit, let us compare the total performance of equities, as proxied by the S&P 500 Total Return index, and fixed-income markets, as measured by the Barclays ...

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  4. Public funds should take good look at liability matching

    trueTwo very good recent books about pension finance, “State and Local Pensions” by Alicia Munnell and “Pension Finance” by Barton Waring, touch on the many daunting challenges faced by public pension systems.

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  5. Currency volatility can be antidote for interest rate risk

    trueWorldwide, investors in fixed-income portfolios share a common concern — the risk of rising interest rates as global economies recover and central banks tighten monetary policy.

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  6. An underestimate: Three different approaches to estimating outlook on equities

    trueWe believe that the prevailing long-term outlook for equities is too pessimistic.

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  7. The great return gap

    trueInvestors are considering dramatic changes to their asset allocation strategy because of weak returns in fixed income.

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  8. Looking for dividends in new places

    trueDividends are the last bastion for investors seeking income and returns above inflation. But chasing yield in defensive sectors and ignoring valuation may jeopardize pension return targets.

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  9. An unconstrained approach to bond market investing

    trueInvestors today are facing numerous headwinds. One solution is unconstrained, absolute-return-oriented bond market investing.

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  10. VIX futures, Treasuries and tail hedging

    trueThis note outlines the main issues surrounding the use of volatility futures and U.S. Treasury bonds as part of a tail-hedging program. Each approach presents a unique set of challenges and deserves to be looked at separately.

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  11. Give Europe a chance: How to cut through the noise

    trueThe optimal approach for finding European investments with the greatest potential for real returns amid the noise of the ongoing crisis requires both quantitative and qualitative equity analytics in a balanced way.

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  12. Better core allocations: Feasible modern portfolio theory via risk parity

    trueToo many investors are missing out on the only free lunch in finance: diversification.

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  13. Why long/short attribution is difficult

    trueEvery client invested in a market-neutral portfolio wants to know how much value is added by the short positions. Answering this question is much harder than it appears. Indeed, there is no commercially available tool that yields a thorough, unbiased and widely accepted analysis of the ...

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  14. Investing for cash balance plans

    trueAs cash balance plans have experienced a rise in popularity, the search for optimal investment allocations has continued.

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