Alternative Investments – A Field Manual
It's not a perfect world out there and often times alternative funds are mischaracterized, misused, and not put through a rigorous enough portfolio construction process. [...]
About Andrew Miller
This author has not yet filled in any details.So far Andrew Miller has created 18 blog entries.
Large-Cap Price-to-Book Investing: What is Dead May Never Die
In the great book and series Game of Thrones, the inhabitants of the Iron Islands have a saying "What is Dead May Never Die" which [...]
Using Flexible Spending to Achieve Financial Goals
Financial planning and specifically portfolio "safe" withdrawal rates are often viewed and analyzed from the perspective of rigid rules that can't be broken - i.e., [...]
Fixed Income Factors: An Overlooked Corner of the Market
Factors, or "style" investing, seems to be all the rage these days, including the use of factors in fixed income (here, here and here are good [...]
Warning: Stock and Bond Correlation Assumptions are Regime Dependent!
It ain't what you don't know that gets you into trouble. It's what you know for sure that just ain't so. -- attributed to Mark [...]
Who’s Afraid of a Big Bad Bear? Many Investors Shouldn’t be that Concerned
Watching stock prices drop quickly can be terrifying. In late January, every big decline in stock prices was greeted with lots of media coverage, cable [...]
Value and Momentum Factors in Fixed Income
Smart beta (or factor investing) seems to be the product du jour in ETFs. There are so many different factor products available that just about [...]
VIX and Trend-Following, the Killer Combo?
Some things in life are naturally made for each other. Some examples include the following: Peanut Butter and Jelly Starsky & Hutch Value and Momentum [...]
Volatility Premium, Covered Call Selling, and Knowing What You Own
The folks at AQR are top-notch researchers and have written a ton of great papers. Some of their more famous papers are the following: Value [...]
Portfolio Rebalancing Research: Momentum and Tolerance Bands
If you are looking for research on stock selection, you're in luck -- the research is everywhere and has arguably been overdone. Get started with Moon [...]
Rebalance Your Portfolio? You are a Market Timer and Here’s What to Consider
In this piece I examine various way in which an investor can think about their active market timing decisions, often labeled with the innocuous term [...]
Don’t Make a Bar Bet with Warren Buffett
This past weekend Warren Buffet made some headlines that has the financial world spinning: Berkshire Hathaway released its annual report...which is always a great read. The [...]
Will ETFs Destroy Factor Investing? Nope.
One of the popular investing truisms is the following (inspired by Bill Sharpe): For somebody to beat the market (win) someone else has to lag [...]
Go Skew Yourself with Managed Futures
Skewness is a statistical measure of how returns behave in the tails of a probability distribution. Wikipedia has a more robust definition of skewness with [...]
Managed Futures: Understanding a Misunderstood Diversification Tool.
In my two previous blog posts (here and here), I analyze the performance of bonds during really bad months for US stocks (“Crisis Alpha” months), [...]
Invert, always invert: Will Stocks Diversify Bond Investments in the Future?
My last post, "Will bonds deliver crisis alpha in the next crisis?," created quite a stir on the blogosphere. The underlying assumption of the analysis is [...]
Will Bonds Deliver Crisis Alpha in the Next Crisis?
Bonds are often viewed as being great diversifiers due to the perception that they perform well during tough times for stocks. Historically this has been a [...]
Beware of Target Date Funds – Their Aim May be Way Off
We like to use rules of thumb, or heuristics, when facing choices. We often default to rules of thumb because when finding the optimal choice [...]