What a fascinating investment world its been over the past few months. We’ve had concerns about Greece exiting the Euro, commodity price crashes, a Chinese sharemarket crash and now some of the biggest developed economy sharemarket declines since the dark days of the GFC. Volatility has been somewhat benign for a long time thanks to …
Tag Archive: portfolio construction
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Feb 21
A few simple thoughts on a few not so simple markets
Following are my recent thoughts around markets with many charts to support these views. These views are far from complete but do represent a reasonable summary at this point in time. Income Assets Source: RBA, Delta Research & Advisory The above left chart suggests the market believes the cash rate is heading towards 1.5% …
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Aug 01
Ramblings about Unconstrained Debt Funds and Portfolio Construction…wonkish and a work in progress
I’ve just returned from a manager research trip in the UK where we visited a variety of strategies from a variety of managers and fortunately for me, with some of the leading thinkers and researchers in the advice industry (hat tip D&G … and I don’t mean Dolce and Gabbana). Several of the managers we …
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Jun 14
To find alpha, first define it
A couple of months ago I presented at a Portfolio Construction Academy forum of around 70 financial planners and researchers about constructing investment portfolios and fund manager assessment using risk factors. From what I can tell the session went quite well and much to my relief the feedback was quite positive. Following the presentation I …
Feb 11
A quick look at equity and bond markets
Source: www.incrediblecharts.com As the above chart shows the Australian Sharemarket has had a stellar run over the last 3 months. Not a hint of volatility just upwards she goes from around 4350 to just short of 5000…throw in a very small number of dividends and its a superb return. Newspaper talk has suggested that there is a …
Nov 09
Beating the Inefficient Fixed Interest Benchmark
Its widely agreed that size-weighted fixed interest benchmarks are a poor construct when it comes to creating the optimal fixed interest portfolio. The logic from most people goes along the lines of “why would I accept the index as optimal and overweight my portfolio with the biggest issuers because they are the riskiest and more likely to default …
Nov 09
Managed Volatility…the next popular equity strategy
There’s a brief article in today’s Investor Daily News that comments on “Managed Volatility” being the strategy to maximise returns…article here. I have to admit that I believe this strategy will be one of the new trends in equity focused managed funds over the next 12 months or so. Empirical evidence over the years the …
Sep 18
Australian Government Bond Yield Curve…no change???
Source: RBA, Delta Research & Advisory Bizaarely as it seems but the above chart shows that over the last month the Australian Government Bond Yield curve has barely budged. There’s really no more than 5 to 10 bps difference across all terms and when you consider the various big announcements, economic results from here, overseas …
Sep 13
Australian Share Managers – Alpha and Risk Factors
My new company, Delta Research & Advisory, has recently conducted some risk factor analysis of Australian fund managers and it is starting to yield some interesting results. We’ve analysed around 120 managers using Fama/French-like risk factors where thhe value/growth factor is simply MSCI Australian Value index minus MSCI Australia Growth index and the Size factor is MSCI Australia …
Sep 04
Modern Portfolio Theory – Passive versus Active…again!
Not a great deal of posting the last couple of months due to a combination of conferences, flu, and just plain busy so hopefully I can increase the frequency moving forward. A couple of weeks ago I was at a conference and Modern Portfolio Theory was receiving an absolute caning from those on stage. They …