Miscellaneous

All Strategies Blow Up

We are a quantitative finance shop, right down to the ground. All of our portfolios are driven by supervised quantitative models with no discretionary intervention. As such, I was inspired to respond to a recent article on the risk of quant strategies, as I think the way our team approaches quantitative research diverges from how many outsiders perceive quant, and also from how many quantitative shops work.

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The Narrative is Reality

Back in the days when I still thought markets were driven by fundamentals I used to be a big fan of Don Coxe’s monthly commentaries. Don was at the epicenter of the commodity / BRIC narrative, and his commentaries were dense with historical context, pithy quotes, and compelling analysis.

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Your Alpha is My Beta

The goal of this missive was to demonstrate that, when it comes to alpha, where you stand depends profoundly on where you sit. Different investors with varying levels of knowledge, experience, access, and operational expertise will interpret different products and strategies as delivering different magnitudes of value added. At each point, an investor may be theoretically ‘better off’ from adding even simple strategies to the mix, perhaps at lower fees, and even after a guiding Advisor extracts a reasonable fee on top. More experienced investors may be able to harness a broader array of risk premia directly, and thus be willing to pay for a smaller set of more exotic risk premia. It turns out that ‘alpha’ is a remarkably personal statistic after all.

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Dow 20,000: Is 2015 the Year?

It’s that time of year again. Yup, that jolly, happy time of year when the soothsayers of Wall Street start trumpeting their views on what’s going to happen in 2015, and how to position portfolios to profit. 

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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.

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Forget 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.

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Fallacies of the Fed Model

The Journal of the Society of Actuaries held a contest for articles on investment myths, and we are honored to have had our article on ‘Fallacies of the Fed Model’ chosen for publication in this prestigious journal. We want to thank our co-authors, David Cantor and Kunal Rajani of PriceWaterhouseCoopers, for proposing this collaboration, and for their critical insights and analytical contributions.

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A Global Passive Benchmark with ETFs and Factor Tilts

In a recent article published in Financial Analysts Journal, Charles Ellis makes an excellent case for the death of active management. Ellis asserts that the efficiency of a market is a function of the number and quality of active, informed investors at work in the market at any time. As more investor

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