Portfolio Management Research

Asset allocation 2.0: What does the future hold for portfolio management? Join us at The Journal of Portfolio Management on November 14 where John Ameriks, Global Head of Vanguard’s Quantitative Equity Group, Vanguard, Jennifer Bender, Chief Investment Strategist and Global Head of Investment Strategy & Research State Street Global Advisors and Alessio de Longis, CFA, Head of Investment Solutions, Invesco US will delve into future political impacts on asset management opportunities, the next big asset class disputers, the influence of emerging markets on new investments and much more! Register your place: https://lnkd.in/db4zV_E7 Thank you to our sponsors: Platinum Sponsors: Jacobs Levy Equity Management Research Affiliates Gold Sponsors: Commonfund Invesco US #PortfolioManagement #EmergingMarkets #AssetManagement

Join Bruce Jacobs, Principal and Co-Founder, Jacobs Levy Equity Management at The Journal of Portfolio Management Symposium as he discusses building on finance theory to forge the future of investment practice. Find out more about Smart Beta vs Smart Alpha, incorporating leverage risk into MPT, financial market simulation and much more! Register your place: https://lnkd.in/db4zV_E7 Thank you to our sponsors: Platinum Sponsors: Jacobs Levy Equity Management Research Affiliates Gold Sponsors: Commonfund Invesco US #Investment #SmartBeta #SmartAlpha #FinancialMarket

Our Top Pick Article 'Achieving Diversification in Unlisted Infrastructure Investment: A Smart Infra Portfolio Construction' by Frederic Blanc-Brude, Abhishek Gupta & Moataz Farid, PhD is here: https://lnkd.in/eXbVs_9c Challenging conventional wisdom, the authors assert that simply increasing the number of assets, sectors, and geographies does not efficiently enhance diversification. Instead, it is possible to achieve a good level of diversification with fewer positions if diversification is based on risk factors. The authors assert that unlisted infrastructure equity should represent between 4.5% and 13% of multi-asset portfolios comprising traditional and alternative investments. Featured: The Journal of Alternative Investments Fall 2024, 27 ( 2) 8 - 36 #InfrastructureInvesting #PortfolioDiversification #UnlistedEquity #StrategicAssetAllocation #AlternativeInvestments #SmartInfra

Practical Applications of Investigating the Influence of News Sources and Language Models on Climate Beta Estimates: https://lnkd.in/egTHPZUb By Jean-Michel MAESO & Dominic O'Kane Practical Applications: - An index of unexpected climate news has a negative relationship with the returns of brown stocks. - Detecting an effect of climate news on brown stocks requires the aggregation of multiple news sources. - In constructing a climate news index, the most sophisticated language model did not outperform a simple attention-based model. #ClimateRisk #SustainableInvesting #GreenFinance #ESGInvesting #ClimateNews #PortfolioManagement

Is investing a science? Join Rob D. Arnott, Founder & Chairman, Research Affiliates at the Journal of Portfolio Management Symposium as he aims to bridge the gap between investing as a rigorous science and its inherent uncertainties, exploring the implications for both theory and practice. Hosted by Frank Fabozzi, the Symposium will bring together over 300 investment professionals from across the industry including Vanguard, State Street, Commonfund, BlackRock, AQR Capital Management, BNY and many more. Register your place: https://lnkd.in/db4zV_E7 Thank you to our sponsors: Platinum Sponsors: Jacobs Levy Equity Management Research Affiliates Gold Sponsors: Commonfund Invesco US #Investment #Science #Implications

Our Top Pick Article 'Why Have Long-Term Treasury Yields Fallen since the 1980s? Expected Short Rates and Term Premiums in (Quasi-) Real Time' by Michael Kiley is here: https://lnkd.in/eeeGv5fV The author uses a real-time approach to decompose expected #shortrates and #termpremiums. The results are contrary to previous studies, finding that term premiums have had a downward trend since the 1980s. However, he provides evidence that the downward trend was due to long-run expected short-term interest rates falling, while term premiums have fluctuated in a relatively stable range. Featured: The Journal of Fixed Income Fall 2024, 34 ( 2) 5 - 21 #TreasuryYields #TermPremiums #InterestRates #YieldCurve #MonetaryPolicy

Practical Applications of Endowments in the Casino: Even the Whales Lose at the Alts Table: https://lnkd.in/ejFDDVfS By Richard Ennis Practical Applications: - The rapid growth of alts over the past two decades has made it harder for investors to achieve results that outperform passive or traditional investments and strategies. - Alternative investments may now provide lower returns compared with traditional investments or passive investing strategies due to higher costs and changes in the alternative investment markets. - Larger endowments have performed better than their smaller counterparts, but this is likely due to the larger endowments taking greater risks. #EndowmentPerformance #InvestmentRisk #HigherEducationFinance #PortfolioManagement #AlphaAndBeta

Practical Applications of On Risk Parity Performance: https://lnkd.in/eifZUJ4V By Émerson Filho, CFA & Raquel M. Gaspar Practical Applications: - Asset allocation strategies based on risk parity tend to outperform strategies based on MVT over time horizons of 10 years.  - Asset allocation strategies based on RP tend to produce more-balanced portfolios than strategies based on MVT do.  - RP allocation strategies offer the advantage of not requiring estimates of expected returns. #RiskParity #PortfolioManagement #MultiAssetStrategies #InvestmentHorizon #ModernPortfolioTheory

Practical Applications of Using Participant Data to Improve Target-Date Fund Allocations: https://lnkd.in/epW-BJbb. By... Zhenyu Li & Anthony Webb Practical Applications: - Traditional TDFs, based only on retirement date, can limit portfolio performance since many participants lack the expertise to manage allocations effectively. - Semi-personalized TDFs, using participant data like salary and savings rates, offer better results than self-managed portfolios. - Gathering more information on participants' households, such as spousal incomes, can further enhance TDF performance. However, this is less effective for households with high income uncertainty. This approach helps administrators optimize retirement outcomes by tailoring strategies more closely to individual needs. #data #targetdatefundallocations #TDFs #portfoliomanagement

Our Top Pick Article 'Alpha Now, Taxes Later: Tax-Efficient Long-Only Factor Investing' by Yin Chen & Roni Israelov is here: https://lnkd.in/ec7wSiSw The authors demonstrate rebalancing methods that capture the majority of a portfolio’s potential factor exposure (and its #associatedalpha) without realizing #netcapitalgains. This works for several slow-moving factors and offers an effective active solution for even the most tax-averse investors. Featured: The Journal of Investing October 2024, 33 ( 6) 12 - 33 #portfoliomanagement #investmentanalysis #taxalpha