Alternative Beta — The Third Choice

There is an alternative to traditional passive and active equity allocations—“alternative” beta” or “strategy index” options. Our research on this subject compares seven leading alternative beta strategies. The results—originally published in the Financial Analysts Journal–may surprise you.

Risk Parity Portfolio vs. Other Asset Allocation Heuristic Portfolios

In this article, the authors conduct a horse race between representative risk parity portfolios and other asset allocation strategies, including equal weighting, minimum variance, mean–variance optimization, and the classic 60/40 equity/bond portfolio. They find that the traditional risk parity portfolio construction does not consistently outperform (in terms of risk-adjusted return) equal weighting or a model…

Performance Attribution: Measuring Dynamic Allocation Skill

Classical performance attribution methods do not explicitly assess managers’ dynamic allocation skill in the factor domain. The authors propose a generalized framework for performance attribution that decomposes the allocation effect into value added from both static and dynamic factor exposures and thus yields additional insight into sources of manager alpha To learn more, read the…