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 ReadingVolatility
Article in Taxes & Wealth Management
The Miller Thompson / Reuters monthly Taxes and Wealth Management newsletter carried an article we authored on the relationship between portfolio volatility and retirement planning.
Keep ReadingCluster Shrinkage
In this article, we would like to integrate the cluster concepts we introduced in our article on Robust Risk Parity with some ideas proposed and explored by Varadi and Kapler in the last few months
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 ReadingDynamic Asset Allocation for Practitioners Part 4: Naive Risk Parity
Our last ‘prequel‘ article explored the creation of a policy portfolio that utilizes a framework of structural diversification to hedge against the four major market regimes – inflationary boom, deflationary boom, stagflation and deflationary bust. In the conclusion of the article we said we would investigate a variety of quantitative methods of risk diversification to complement the more theoretical construct of structural diversification. This next instalment introduces naive risk management methods.
Keep ReadingPath Dependency in Financial Planning: Savings Edition
Imagine for a moment sitting at the kitchen table, steaming coffee in hand. The sun is streaming in the windows, bacon is popping in the pan, and Rover drops the paper at your feet. A brilliant Saturday morning by any measure, but today is extra special.
Keep ReadingThe Most Important Concept in Wealth Management
Most investors miss the most important concept in wealth management because they are laser focused on returns as the primary benchmark of success. This propensity to chase returns is magnified during periods when markets are shooting the lights out, as investors become acutely aware of how their portfolio is performing relative to whatever index is attracting the most attention at the time.
Keep ReadingThe Permanent Portfolio Turns Japanese
Our last few articles dealt with the Permanent Portfolio, a widely embraced static asset allocation concept proposed by Harry Browne in 1982. To review, the simple Permanent Portfolio consists of equal weight allocations to cash (T-bills), Treasuries, stocks and gold to ward against the four major financial states of the world…
Keep ReadingPermanent Portfolio Shakedown Part II
In Part I of the Permanent Portfolio Shakedown we investigated the history of the approach, tracing it back to Harry Browne in 1982. The company he helped to found, The Permanent Portfolio Family of Funds, has been running their version of the strategy in a mutual fund for almost 30 years, with fairly impressive results.
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