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Register for our Completely Unique March Madness Challenge
That said, as with all March Madness pools, there will be a certain amount of people who submit chalk brackets. And while there exists no specific rule against these submissions, it’s a generally accepted principle that such submissions are the exclusive purview of cranks …
Keep ReadingYou’re Invited: A March Madness Challenge Where Skill Prevails
We Published a Shiny, New Book on Adaptive Asset Allocation!
With that fully in mind, today we bring you a crazy Shymalanian twist: you need to read our recently published book Adaptive Asset Allocation: Dynamic Global Portfolios to Profit in Good Times – and Bad. Yes, it’s 40,000 words of investment philosophy, research and insights…
Keep ReadingYUP, Diversification Still Works
Did you read our 2015 Annual Letter, entitled “Navigating Active Asset Allocation When Diversification Fails?” If not, you should because some of the things that are happening in the markets right now are eerily in line with the topics addressed therein …
Keep ReadingIt is the season for Bold Prediction
Why are we giggling like a small child in a candy store? Because at least one of these groups is guaranteed to be embarrassingly wrong, and there’s a pretty good chance that both groups will end the year scrambling for excuses as to why their crystal ball was, well, cloudy.
Keep ReadingMissing the forest for the trees: Asset allocation over security selection
By far the greatest source of personal consternation as a professional in markets is investors’ obsession with finding the best stocks, or the best stock pickers. The fact that investors pursue this objective at all undermines all meaningful arguments about efficient markets.
Keep ReadingOur Big Lesson From “The Big Short”
In 2012 we published a whitepaper entitled “Adaptive Asset Allocation: A Primer” in which we built upon the simple, robust momentum framework proposed by Mebane Faber in his 2009 study “Relative Strength Strategies for Investing.” Our approach utilized a …
Keep ReadingTactical Alpha in Theory and Practice (Part II): Principal Component Analysis
In Part I of this series, we explored Grinold’s Fundamental Law of Active Management, and why the theory leads to misguided conclusions in the presence of asset correlations. In this article we will offer a primer on a useful tool for portfolio evaluation, Principal Component Analysis (PCA), and illustrate how PCA can help quantify the number of independent bets in a portfolio of correlated assets.
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