Category: Uncategorized
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In short A bond index fund’s tracking error is governed less by how many securities it holds than by what the index is made of: whether its weight concentrates in a core a sample can grab, and whether its composition offers a factor structure a sample can exploit. Trackability is a question of composition, not…
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In short Starting yields predict Treasury returns, most tightly when your holding period is close to the maturity. Split the yield into a real yield and expected inflation, and it’s the real part that does the predicting. A higher starting yield comes with a higher worst-case return and a smaller chance of a loss, alongside…
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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 I test two versions of buying the dip from 1962 to 2025. One keeps 10% in Treasury bills and the other starts at 60/40 and raises equities to 90%. Both deploy after a 20% market drawdown and reset when the market reaches a new high. Both dip buyers beat the static portfolios they…
