Author: Research Affiliates

Time Diversification Redux
Business

Time Diversification Redux

Key Points Conventional risk measures may not accurately describe the volatility investors actually experience, especially for portfolios servicing their retirement spending needs.  Return volatility rises as its calculated holding period nears 1 year and falls as it lengthens to 10 […]

Smart Beta – Backtest vs. Live
Top Stories

Smart Beta – Backtest vs. Live

Key Points The outperformance observed before a typical smart beta index is launched virtually disappears once it’s live, yet most investors are making decisions on backtest results. Two traits common to backtests—overfitting (or data-snooping bias) and ignoring transaction costs—bias investors’ […]

CAPE Fatigue
Top Stories

CAPE Fatigue

Key Points The one-factor CAPE model better predicted market returns than a simple yield-plus-growth model in five straight decades, before underperforming in three of the last four. Although CAPE is often intimated as a one-size-fits-all tool, no single model is […]