… Xiong, CFA, is a senior research consultant and Thomas M. Idzorek, CFA, is chief investment
officer and director of research at Ibbotson Associates, a Morningstar company, Chicago. …

… Xiong, CFA, is a senior research consultant, Thomas M. Idzorek, CFA, is chief investment
officer and director of research, and Peng Chen, CFA, is president at Ibbotson Associates, a …

This article addresses the issue of the alleged superiority of risk-factor-based asset allocations
over the more traditional asset-class-based asset allocation. The authors used both an …

= 1. In other words, the values of the individual coefficients, or exposures, to the K asset
classes are equal to or greater than 0 and collectively sum to 1. A common misconception …

Popularity is a broad concept that can help explain valuation and the permanent market
premiums (for example, the equity risk premium, size, value, liquidity, and so on). Liquidity is …

Recent literature indicates that a liquidity investment style—the process of investing in less
liquid stocks—has led to excess returns relative to size and value. The authors examined …

… The connection between the more recent popularity framework and the new equilibrium
framework from 1984 was made in an unpublished manuscript started by Tom Idzorek that has …

Research that has led to the low-volatility anomaly in cross-sectional stocks from a similar
universe indicates that volatility is not compensated with a volatility premium. The authors find …

This article explores the role of global commercial real estate in a strategic asset allocation.
Global REIT and listed real estate stock indices are used to proxy the broader direct and …

The authors show that it is possible to reduce tail risk without giving up much return. The key
is to forecast forward-looking skewness, which will facilitate the identification of a sweet spot …