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 …
Keep ReadingThe Case For Tactical Alpha
The Case for Tactical Alpha, Part 2: The Fundamental Flaw of Grinold’s Fundamental Law
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 …
Keep ReadingThe Case for Tactical Alpha, Part 1: The Fundamental Law of Active Management
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 …
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