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Saturday, May 25, 2019
Explore how investors are commonly fooled by current performance metrics. Learn how to correct for these common mistakes and allocate to managers that have the highest probability of repeating good performance and avoid redeeming from high-quality managers that have experienced […]
Key Points The anti-value, momentum-driven, narrowly concentrated rally in the first half of 2017 has been hostile for strategies that apply a value and rebalancing orientation to a broadly diversified universe. The RAFI strategies do not emphasize the most popular […]
Key Points The word “bubble” is tossed around with abandon. We offer a rigorous definition for the word, and then test the definition against current markets. Several bubbles are evident today, most importantly a tech bubble, eerily similar to—albeit narrower […]
Rob Arnott discusses US CAPE ratios which are at levels previously reached only in 1929 and during the tech bubble. Should we fear the lofty valuation multiples, or should we fear the CAPE ratio itself because of its notorious unreliability […]
Key Points The demand for socially responsible investing strategies is growing as a means to manage environmental, social, and governance (ESG)–related risks—which can impact long-term returns—and as an opportunity to promote social and environmental issues, but much remains unknown about […]
Key Points The CAPE (cyclically adjusted PE) ratio is not a useful timing signal for market turning points, but is a powerful predictor of long-term market returns. Many arguments have been offered to justify elevated CAPE ratios. Most or all […]
Key Points Investment professionals can overdo performance measurement simply because technology makes it so easy and it seems a worthwhile task to constantly gauge if clients are on the path to meeting their long-term financial goals. Too often, however, “doing something” […]
Key Points The value premium is traditionally associated with stock selection and market timing, however, value investing works just as well when applied globally across major asset classes. The alternative value portfolios we study are typically uncorrelated with their underlying […]
Key Points Investors seeking to add smart beta and factor strategies to their portfolios should consider the four craftsmanship elements of product design: 1) universe coverage and weighting mechanism, 2) signal definition, 3) measurement period, and 4) rebalancing frequency. Design […]
Key Points Investors, particularly retail investors, are predisposed to chase the returns of investment managers. The academic literature shows manager selection fails to produce positive excess returns, on average. A diligent manager research effort may shrink the large amount of […]
