In this paper we update our 2006 white paper “A Quantitative Approach to Tactical Asset
Allocation” with new data from the 2008-2012 period. How well did the purpose of the …

Empirically, standard, intuitive measures of risk like volatility and beta do not generate a
positive correlation with average returns in most asset classes. It is possible that risk …

A do-it-yourself guide to investing like the renowned Harvard and Yale endowments. The Ivy
Portfolio shows step-by-step how to track and mimic the investment strategies of the highly …

We model the tax drag from active fund management based on reported monthly holdings of
active equity funds. Tax drag erodes 65 percent of the 0.74 percent excess return in Broad …

We model the tax drag from active funds management by simulating portfolios based on
reported monthly holdings of 207 active Australian equity funds between July 2000 and …

How do organizations assess and explain their performance? Prior studies have attempted
to demonstrate that, like individuals, organizations take credit for good performance and …

Chartered Financial Analyst (CFA) Institute in Vancouver, British Columbia, titled “Rethinking
Tax-Efficient Asset Allocation for the High Net Worth Investor.” The speech was based on …

This was highly unusual, as the Journal of Finance is the premier academic finance journal
in the world and deals with very abstract issues, but this was a highly unusual article …