Kevin Terhaar, Renato Staub, and Brian Singer torical data are biased on both counts. We
first consider the biases embedded in historical return data, and demonstrate the impact that …

While we focus on pension plans, the general framework put forth to link assets and liabilities
via fundamental and economic factors is applicable to many situations where assets are …

Asset allocation relies on a sound understanding of the relations between and among all
markets under consideration, but estimating the required forward-looking market covariance is …

What investment decision is more important, asset allocation or security selection? In spite
of its persistence, this question is misdirected. Like pitchers and hitters in baseball, asset …

… and it would still not validate Staub’s criticism. Finally, Staub criticizes our results because we
vary … Staub attempts to validate the relative importance of asset allocation by offering some …

When investing in alternative assets, such as private equity or natural resources—which may
be “locked-up” for prolonged periods of time—the question of compensation for illiquidity …

It is well known that short constraints impair portfolio efficiency, and most examinations provide
evidence through constrained optimisations. But we think it is paramount to understand …

This article describes how New Zealand Superannuation Fund (NZSF) allocates risk capital
through its strategic tilting program. The process is based on the belief that a disciplined …

This paper approach the efficiency improvement of a fully invested stock portfolio with the
long-only constraint lifted in the context of the Fundamental Law of Active Management (FLAM)…

We develop an asset allocation approach that translates valuation signals into a suggested
allocation. At its core, we simulate a mean-reverting value-price evolution to infer important …