Asset Allocation and Private Market (i.e. illiquid) Investing

By |January 10th, 2022|Private Equity, Liquidity Factor, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Allocations to illiquid assets have become increasingly popular requiring asset managers to consider portfolio-wide liquidity characteristics. Although determining the price of illiquidity is a challenge for investors, the construction of a portfolio that includes liquidity constraints can be even more daunting. How do we optimize asset allocation with liquidity as a significant constraint on the portfolio?

DIY Asset Allocation Weights: January 2022

By |January 3rd, 2022|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|

Current Exposures:

  • Full exposure to domestic equities.
  • Full exposure to international equities.
  • Full exposure to REITs.
  • Full exposure to commodities.
  • No exposure to intermediate-term bonds.

Interesting Insights into How Endowments Invest

By |January 3rd, 2022|Research Insights, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Despite their popularity and the ease of access to university-based endowments, there is little in the academic literature about the history of endowment investing. In this article, the authors aim at filling this gap.

Value investing: What history says about five-year periods after valuation peaks

By |December 21st, 2021|Research Insights, Factor Investing, Value Investing Research, Tactical Asset Allocation Research|

Value stocks are historically cheap compared to the past. Given this fact, a natural question is the following, "After the last two times Value had a "peak" of the factor being cheap, how did it do the subsequent five years?"

The Relationship Between the Value Premium and Interest Rates

By |December 16th, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research, Tactical Asset Allocation Research|

We've been suffering through the deepest and longest drawdown in values history. Looking for a scapegoat to explain the lackluster performance many have pointed to low interest rates as the root cause of the underperformance. The question is have interest rates impacted value in the past?

DIY Asset Allocation Weights: December 2021

By |December 1st, 2021|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|

Current Exposures:

  • Full exposure to domestic equities.
  • Half exposure to international equities.
  • Full exposure to REITs.
  • Full exposure to commodities.
  • Half exposure to intermediate-term bonds.

The Value of the Value Factor: Cheaper now than a year ago?

By |November 23rd, 2021|Research Insights, Value Investing Research, Tactical Asset Allocation Research|

About a year and a half ago, after one of the worst relative drawdowns the value factor has ever seen, I wrote a piece showing the value factor was cheap relative to history. Since then, value strategies are on a solid run (look at pretty much any type of value strategy and I think you'd agree). Today? The valuation spread between the cheapest 10% and the universe of stocks is cheaper. We are at levels beyond 1999 by some measures.

Global Factor Performance: November 2021

By |November 8th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

DIY Asset Allocation Weights: November 2021

By |November 2nd, 2021|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you want to access the site directly. Exposure Highlights (bold implies [...]

Do factors have a role in asset allocation?

By |October 26th, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

The Role of Factors in Asset Allocation Mark KritzmanJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

Global Factor Performance: October 2021

By |October 12th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

DIY Asset Allocation Weights: October 2021

By |October 4th, 2021|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you want to access the site directly. Exposure Highlights (bold implies [...]

Global Factor Performance: September 2021

By |September 9th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

Do Cryptocurrencies Improve Portfolio Diversification?

By |September 7th, 2021|Crypto, Research Insights, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

The Role of Cryptocurrencies in Investor Portfolios Megan Czasonis, Mark Kritzman, Baykan Pamir, and David TurkingtonMIT Sloan School Working Paper 6418-21A version of this paper can be found hereWant to read our summaries of academic finance [...]

DIY Asset Allocation Weights: September 2021

By |September 1st, 2021|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you want to access the site directly. Exposure Highlights (bold implies [...]

Global Factor Performance: August 2021

By |August 9th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

Global Factor Performance: July 2021

By |July 7th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

DIY Asset Allocation Weights: July 2021

By |July 1st, 2021|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you want to access the site directly. Exposure Highlights (bold implies [...]

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