White Papers
White papers are longer and more developed analysis of a topic. They are academic in nature but also relevant and practical for the advisor and investor. Available free for registered members of Investment Think Tank.
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Quarterly Long-Term Asset Class Forecasts, September 30, 2010
The longer-term forecasts are forward-looking estimates of total return generated through combined assessment of current valuation measures, income, economic growth, and inflation forecasts, as well as historical risk premia. Shorter-term asset class return forecasts generated by our tactical asset allocation models are also provided.
The Future of Portfolio Management
“Market turmoil and volatility over the last decade and especially since the credit crisis that began in 2008 have structurally and irrevocably changed the investment landscape. Of the four worst bear markets of the last 100 years, two have occurred this decade.
Advisors are looking for better investment approaches and more time to serve their clients. Investors are looking for better portfolios that can weather the markets inevitable ups and downs.”
Capital Asset Pricing Model (CAPM)
CAPM Over the Long Run: 1926-2001, Ang & Chen
The Capital Asset Pricing Model: Some Empirical Tests, Black, Jensen, & Scholes
The Capital Asset Pricing Model: Theory and Evidence, Fama and French
Revisiting the Capital Asset Pricing Model, Burton
The Sharpe Ratio, Sharpe
Modern Portfolio Theory (MPT)
Modern Portfolio Theory, 1950 to Date, Elton & Gruber
Portfolio Selection, Markowitz
Determinants of Portfolio Performance, Brinson, Hood & Beebower
Determinants of Portfolio Performance II: An Update, Brinson, Singer & Beebower
Asset Allocation Models Using the Markowitz Approach, Kaplan
Beyond Markowitz, A Comprehensive Wealth Allocation Framework for Individual Investors, Chhabra
Asset Allocation
The Uncertain Science of Asset Allocation, Cotton
The Importance of Asset Allocation, Nuttall
Asset Allocation, Kritzman
Asset Allocation and Long-Term Returns: An Empirical Approach, Coggeshall & Wu
Optimal Asset Allocation Towards the End of the Life Cycle: To Annuitize or Not to Annuitize, Milevsky
Does Stock Return Predictability Imply Improved Asset Allocation and Performance?, Handa & Tiwari
Portfolio Construction and Uncertainty, Klement
Market Integration and International Asset Allocation, Fernandes
Dynamic Strategies for Asset Allocation, Perold & Sharpe
Dynamic Asset Allocation Under Inflation, Brennan & Xia
The Asset Allocation Debate: Provocative Questions, Enduring Realities, Davis, Kinniry, & Sheay
The Role Asset Allocation Plays in Portfolio Management, Lummer & Riepe
Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance?, Ibbotson & Kaplan
Post Modern Portfolio Theory
Asset Allocation Optimization Using Downside Risk Analysis , Unified Trust
A Brief History of Downside Risk Measures , Nawrocki
Asset Allocation in a Downside Risk Framework , Sing & Ong
Introducing Post Modern Portfolio Theory, Harrington
Post Modern Portfolio Theory Comes of Age, Rom & Ferguson
Post Modern Portfolio Theory, Swisher & Kasten
Practical Applications of Post Modern Portfolio Theory, Sumnicht
Portfolio Construction with Downside Risk, Lohre, Neumann, & Winterfeldt
Systematic vs. Downside Risk: Does it Matter for Portfolio Choice?, Bourachnikova & Yusupov
Additional Theories
The Risk-Adjusted Return Theory, Roland & Xiang
The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective, Lo
Digital Portfolio Theory: Portfolio Size versus Alpha, Beta, and Horizon Risk, Jones
The Case for Momentum Investing, Barger, Israel, Moskwitz
Essential Portfolio Theory, Mulvey
Stable Risk Portfolios: A Timely Alternative to Static Asset Allocations, Weiner
The Active v. Passive Debate
Evaluating Passive and Active Investing, SPDR University
Passive and Active Management: A Balanced Perspective, SPDR University
Perspectives – Active vs. Passive, Intech
Active versus Passive Portfolio Management: Putting the Debate into Perspective, Arnerich Massena & Associates
Top 5 Reasons to Choose Active Over Passive Now, Goldman Sachs
Revisiting The Case for Active Investing, Lazard
Challenging Conventional Wisdom – Do Active Managers Perform Better in Inefficient Markets?, iShares
The Arithmetic of Active Management, Sharpe
What Now – Active or Passive? Examining Real Alpha and Exotic Beta, Li
Strategic Asset Allocation
Strategic Asset Allocation: Determining the Optimal Portfolio with Ten Asset Classes , Bekkers, Doeswijk, & Lam
Tactical Asset Allocation
Global Tactical Asset Allocation, Dahlquist & Campbell
Global Tactical Asset Allocation , F&C Asset Management
The Emergence of TAA as Global Macro, Darnell, First Quadrant
Bottom Up Valuation in Global Asset Allocation, Darnell & Plaxco
Domestic TAA is to Global TAA what the Calculator is to the Desktop Computer, Darnell & Plaxco
Where TAA and Market Timing Part Company, Darnell
Global Tactical Asset Allocation, Goldman Sachs
Global Tactical Asset Allocation Strategy, Mellon Capital Management
The “Renaissance” of Global Macro Investing, McVey
Strategic & Tactical Asset Allocation, John Nugee, SSGA
Tactical Asset Allocation, Watson Wyatt Worldwide
Global Tactical Cross Asset Allocation: Applying Value and Momentum Across Asset Classes, Blitz & Van Vliet
A Quantitative Approach to Tactical Asset Allocation, Faber
A Primer on Tactical Asset Allocation Strategy Evaluation, Tokat & Stockton