Dow 20,000: Is 2015 the Year?


It’s that time of year again. Yup, that jolly, happy time of year when the soothsayers of Wall Street start trumpeting their views on what’s going to happen in 2015, and how to position portfolios to profit. Esteemed Wharton professor, Jeremy Siegel, author of the permabull bible, Stocks for the Long Run, recently joined the merry parade with his own forecast that Dow 20,000 ‘could happen’ in 2015. Astute investors might take stakes now in large manufacturers of confetti, party horns, and streamers.

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A Century of Generalized Momentum


We enjoy collaborating on new research projects simply because nobody has a monopoly on interesting ideas.  Where our expertise in asset allocation, tactical strategies and portfolio optimization methods might prove useful, we are always open to discussing new and ongoing research.

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Measuring Tactical Alpha, Part 2


When we left off in Part 1, we promised to examine how select Global Tactical Asset Allocation products stack up against the Global Market Portfolio from the perspective of several performance measures – particularly Sharpe ratio, alpha and information ratio.  Without further adieu:

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Measuring Tactical Alpha, Part 1


First, note that we will soon be going to press with a new paper, entitled “Tactical Alpha: A Quantitative Case for Active Asset Allocation”. Here is the abstract for the paper:

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Factors: An Essential Part of Any Nutritious Portfolio


We recently posted a piece on factor investing (here) so we were thrilled to have an opportunity to see Dr. Andrew Ang and Don Raymond discuss factor investing at a seminar in Toronto last week. Dr. Ang is Ann F. Kaplan Professor of Business and Chair of the Finance and Economics Division at Columbia Business School, while Dr. Raymond is Adjunct Professor of Finance and past Chair of the International Centre for Pension Management at University of Toronto’s Rotman School of Business.  We should note that Dr. Raymond is also the former Chief Investment Strategist for the $220 billion Canada Pension Plan Investment Board (CPPIB). Don’s work on factor investing goes back more than a decade at the CPPIB, and Dr. Ang has literally written the book on factor investing with his 736 page Asset Management: A Systematic Approach to Factor Investing. Perhaps not surprisingly, Dr. Raymond uses Dr. Ang’s book as a core text for his courses at Rotman.

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