Factor/Style Investing
June 3, 2025
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Portfolio Solutions Group
Over the long term, stock market returns tend to be either good or bad,
and this pattern can be extremely difficult for investors to understand and sustain.
However, we believe that this "complexity risk" is a source of risk premium
and can lead to above-average risk-adjusted returns.
Machine Learning
November 7, 2024
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Portfolio Solutions Group
In the second installment of our 2024 Alternative Thinking series, we showed how machine learning can help improve market timing strategies. In this paper, we expand on that finding and consider its application to building stock selection portfolios based on a similar theoretical framework. We show that complex machine learning models can potentially achieve a 5-10% performance improvement compared to simple linear approaches, and machine learning is expected to contribute to the sophistication of quantitative investment strategies.
Alternative Investing
September 18, 2024
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Portfolio Solutions Group
This article uses a wealth of input data to explain how alternative investments are being used as a strategic allocation on a certain scale.
For investors aiming for long-term asset formation, considering these results in light of their own assumptions and constraints is likely to lead to the construction of a more balanced portfolio.
Machine Learning
May 6, 2024
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Portfolio Solutions Group
Traditionally, small, simple models have been optimal for market timing and allocation decisions.
However, this paper explores how the nonlinear causality and discriminatory power of complex models can actually improve forecasting accuracy and performance.
We explore the "value of complexity" through three practical case studies.
Asset Allocation
January 16, 2024
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Portfolio Solutions Group
We have updated our medium- to long-term (5-10 year) return expectations for major asset classes.
In addition to sector-specific risk/return forecasts, including private credit,
we also feature key assumptions that underpin our capital market hypothesis framework for various asset classes.
December 5, 2023
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Portfolio Solutions Group
In an increasingly selective equity market environment, investors are looking to build new streams of return.
In this paper, we focus on long/short and market-neutral strategies and examine the diversification and alpha-generation potential that their design choices can bring to a portfolio.
We also discuss the practical decisions that managers face.
Asset Allocation
September 5, 2023
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Portfolio Solutions Group
How will monetary tightening affect asset allocation?
In this paper, we analyze the historical patterns and future expected returns of various asset classes,
focusing in particular on the role of "cash-plus" liquid assets.
Asset classes that have been considered unlikely to benefit from rising interest rates can also be effective diversifiers if viewed from a different perspective.
Particularly in a high interest rate environment, the importance of the shrinking equity risk premium and its diversification effects is being reaffirmed.
Alternative Investing
June 12, 2023
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Portfolio Solutions Group
In 2022, the limitations of traditional equity-heavy portfolios became apparent, and many investors began to reevaluate the importance of broader diversification strategies and risk-mitigating assets. In this article, we will focus on the practical benefits of strategies such as "trend following" and explain the key points of portfolio design to stabilize long-term returns while reducing risk.
Asset Allocation
1Q 2023
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Portfolio Solutions Group
We have updated our mid- to long-term (5-10 year) return forecasts for major asset classes.
In addition, we have two feature topics:
Outlook for emerging market equities
Assessment of the impact of a significant rise in interest rates on various risk premiums
These will be important factors in determining asset allocation strategies going forward.