In some ways new investment concepts are like any new technology. The progenitors of any early technology typically earn extraordinary profits until competition heats up. Eventually competition drives down profit margins and the technology becomes commoditized. But investment technology has a special quality that arises from…
Keep ReadingFactors
Over Two Centuries of Global Factor Premiums Paper Summary
Factors: An Essential Part of Any Nutritious Portfolio
We recently posted a piece on factor investing (here) so we were thrilled to have an opportunity to see Dr. Andrew Ang and Don Raymond discuss factor investing at a seminar in Toronto last week. Dr. Ang is Ann F. Kaplan Professor of Business and Chair of the Finance and Economics Division at Columbia Business School, while Dr. Raymond is Adjunct Professor of Finance and past Chair of the International Centre for Pension Management at University of Toronto’s Rotman School of Business.
Keep ReadingForget active vs. passive. It’s all about factors
We just love a good debate, and there seems to be quite a heated debate at the moment about the relative utility of passive versus active investing. Perhaps this debate is as timeless as investment management itself, but a flurry of recent studies may have finally armed passive advocates with enough ammunition to settle the argument once and for all.
Keep ReadingDynamic Asset Allocation for Practitioners Part 5: Robust Risk Parity
In our article on Structural Diversification we explored the idea of holding a universe of assets which, when assembled in thoughtful proportion, might be expected to protect investors against the four major market regimes that they might encounter over the long term.
Keep ReadingThe Whole is Greater than the Sum of the Parts
One of the most mind-blowing implications of portfolio theory is that a well conceived portfolio has the potential to be much better, in terms of risk adjusted performance, than what we might expect from the sum of the individual portfolio holdings.
Keep ReadingTrack Records are Rubbish (or Why Managers are Factors in Drag)
The investment management industry knows that you are influenced by percent symbols preceded by large numbers, so they market products with the best 1, 3 and 5 year track records, prominently featuring them in newspaper and TV advertisements, knowing that you will be unable to resist the urge to chase into those funds to avoid missing another year of riches.
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