Category: Uncategorized
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In short The wrong intuition Ask which is harder to replicate by holding only a fraction of its bonds – a high-yield fund of around 1,900 bonds, or a broad-market fund of around 18,000 – and the obvious answer, that the bigger and more sprawling portfolio is more difficult to track, would be wrong! On…
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In short When is a good time to buy Treasuries? Since the pandemic, Treasury yields have covered an enormous range. The 1-year yield sat near zero through 2021, then climbed above 5% by 2023, its highest since just before the GFC. Moves like that raise a question: when is a good time to buy Treasuries,…
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Summary In this post I ask a practical question: in a constrained multi-asset portfolio, how much does the estimation machinery actually determine the result? I test one Black–Litterman implementation across three asset universes, three estimation windows, two covariance estimators, two rebalancing frequencies, two transaction-cost assumptions and three tracking-error budgets. Within each specification, the Black–Litterman model…
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How conflicting return assumptions and risk models create unintended portfolio bets An investor rarely gets every portfolio input from one coherent source. Long-term return assumptions – often called capital-market assumptions (CMAs) – may come from a research provider, an adviser, or the investor’s own valuation work. Volatility, correlations, and factor exposures may come from another…
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Key takeaways What does a dip buyer actually do? Ask whether buying the dip beats buying and holding, and the intuitive answer – of course it does, you are buying the same thing cheaper – assumes that the discount is what does the work. It usually is not that simple. A dip buyer who keeps…
In Search of Lost Alpha 