In 2008 Warren Buffett proposed a public bet that actively managed investment products, plagued by high fees, would not live up to the goal of beating a passive investment in the Vanguard S&P 500 ETF over the subsequent decade. Only one person had the intellectual conviction to represent the …
Edesess’ case against evidence-based investing rests on three general assertions. There is a very real issue with using a static t-statistic threshold when the number of independent tests becomes very large. Financial research is often conducted with a universe of securities that includes a large number of …
Michael’s case against evidence based investing rests on three general assertions. First, there is a very real issue with using a static t-statistic threshold when the number of independent tests becomes very large. Second, financial research is often conducted on a universe of securities that includes a large number of …
In this 6-minute video Adam Butler introduces a simple but novel innovation for modeling equity market valuations. There are reasons to believe average valuations should rise through time in response to changes in market structure. We discuss the conditions that …
The investment industry has investors convinced that the only path to better performance is through stock selection. As a result, most investors approach the challenges of portfolio construction exactly backward and miss out on the most important opportunities to …
In Part I of this series we explored Grinold’s Fundamental Law of Active Management, and why we believe the theory leads to misguided conclusions in the presence of asset correlations. Recall that Grinold asserted that a manager’s information …
Risk Parity is having a moment.For us, the fuse was lit in August 2016 when Bank of America Merrill Lynch released a research note suggesting that Risk Parity investment strategies represented a substantial source of systemic risk in global markets…
This article series will consist of a theoretical discussion of Tactical Alpha followed by a series of novel empirical studies. Below, we explore the concept of Information Ratio from the perspective of Grinold’s Fundamental Law of Active Management, which links investment …
It is well known that investors in every country around the world have a strong preference to own the stock and debt of their own domestic companies. This home bias is one of the strongest and most pervasive effects in markets. Many investors also express a …
In Part 1 of this series, we addressed how valuations on stocks and bonds remain extremely lofty. As a result, it is unrealistic to expect the portfolios that investors have grown comfortable with over the past few decades to produce the returns investors need to achieve …
ReSolve Asset Management Blog is an investment research forum, opinion pieces, and educational material from the team at ReSolve Asset Management. Our views are driven by evidence based finance, with a special focus on asset allocation, factors and smart beta, retirement and endowment strategies, and quantitative methods.
