Factors

Track Records are Rubbish (or Why Managers are Factors in Drag)
In Factors, Industry Illusions, Optimization, Retail, Tactical Alpha on January 7, 2013
As usual, you are the butt of the joke. Everywhere you turn, you are bombarded with 1, 3, and 5…
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Equity Portfolio Optimization with Factor Tilts
In Asset Allocation, Correlation, Factors, Institutional, Minimum Variance, Optimization, Risk Parity on November 20, 2012
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How to Beat the Market, and Why Most Investors Don’t
In Asset Allocation, Behavioural Finance, Factors, Retail, Value on May 2, 2012
Despite the thousands of mutual funds and Advisors all purporting to offer a better approach to investing, it is universally…
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Timing the Bull
In Factors, Institutional, Retail, Systematic Investing, Tactical Alpha on March 9, 2011
In prior posts (here and here) we examined the value of simple market timing systems in generating strong risk-adjusted returns…
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Goldilocks and the Three Grizzlies
In Factors, Institutional, Retail, Systematic Investing on February 27, 2011
We have seen that a simple timing system can add substantial value to U.S. stocks over the long term, and…
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Make Stocks Earn Their Way Into Your Portfolio
In Factors, Retail, Systematic Investing on January 31, 2011
The investment industry has us pre-programmed to be fully invested all the time, for reasons we have discussed ad nauseum…
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The Value Bias
In Behavioural Finance, Factors, Industry Illusions, Value on January 4, 2011
I am perpetually mystified by the pervasive insistence by investment professionals that ‘value’ dominates ‘momentum’. This debate really comes down…
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Low Quality Rally
In Factors, Market Commentary, Retail, Value on September 4, 2009
Many Advisors and fund managers have been complaining about how difficult it has been to beat their stock market benchmarks…
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