By SIMON CONSTABLE
Combining factors in a multi-factor portfolio using forecast risk management can add substantially to investment returns. Backtesting showed such a strategy run over 54 years would have made annualized returns of 10.79%, vs. 7.77% for a similar non-risk-managed portfolio. Read more here.
By SIMON CONSTABLE
Retiree income can be maximised by shifting focus from targeting wealth at retirement to income sufficiency through retirement with the use of personalised glidepaths instead of approaches that use demographic averages. Read more here.
By SIMON CONSTABLE
Managers can improve the performance of the mean–variance approach by using enhanced portfolio optimization (EPO). EPO accounts for the noise in investors’ estimates of risk–return and, as a result, increases risk-adjusted performance. Read more here.
By SIMON CONSTABLE
Mutual fund managers who frequently change exposure to investment factors (market, size, book-to-market, and momentum) perform significantly worse than those who make fewer changes. Read more here.
By SIMON CONSTABLE
Investors can double alpha in the credit markets by using simple equity momentum strategies enhanced by applying machine learning with boosted regression trees. Read more here.
By SIMON CONSTABLE
Investors in actively managed US equity mutual funds should decrease/increase their investment as fund volatility decreases/increases. This strategy significantly improves investment performance compared with a buy-and-hold approach. Read more here.
By SIMON CONSTABLE
American Depositary Receipts (ADRs) have outperformed US stocks, with ADRs of Chinese companies doing particularly well. Read more here.
