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 …
Keep Reading2017
Part 2: Evidence Based Investing is Dead Long Live Evidence Based Investing!
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 …
Keep ReadingEvidence Based Investing is Dead. Long Live Evidence Based Investing! Part 1
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 …
Keep ReadingDynamic Asset Allocation for Practitioners Part 4: Momentum Weighting
To be crystal clear, our discussion will NOT focus on trying to identify which signals or parameters, or combinations of signals and parameters, are better or worse than others. While most quants – being tinkerers at heart – waste most of their time fine-tuning the parameters of …
Keep ReadingDynamic Asset Allocation for Practitioners, Part 3: Risk-Adjusted Momentum
So far, we’ve discussed the importance of investment universe selection and price momentum in designing a robust asset allocation methodology. If you haven’t read those articles, we would strongly encourage you to do so before proceeding with this one. We lay most of the …
Keep ReadingDynamic Asset Allocation for Practitioners, Part 2: The Many Faces of Price Momentum
The balance of this series will present ways to harness the momentum effect across global asset classes. The strategies we present will be long-only because such approaches harness two major sources of return: the long-term premia derived from exposure to risky assets …
Keep ReadingDynamic Asset Allocation for Practitioners, Part 1: Universe Selection
In this series, we deep dive into the fundamentals of Adaptive Asset Allocation. Provide an intuitive baseline for Global Tactical Asset Allocation strategies in general.
Keep ReadingVideo: What You Need to Know about Valuations in 6 Minutes
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 …
Keep ReadingCE Webinar Blitz: Is Risk Parity a Ticking Timebomb? Do Valuations Even Matter Anymore?
Learn how to Position Your Clients – and Your Practice – to Dominate in the Tumultuous Years Ahead. Market dissonance (and a shrinking CE credit window) means that now is a great time to prepare portfolios for an uncertain future. And as it happens, two of the…
Keep ReadingThe Case for Tactical Alpha, Part 3: The Greatest Trick Wall Street Ever Pulled
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 …
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