INTRODUCTION In the 65 years since Harry Markowitz formalized the theory of asset allocation, academics and practicing investment professionals have sought to master the process, to solve the puzzle that is investment risk, and to find a “fool-proof” way to protect themselves from loss. As one of the most important challenges in the portfolio [...]
Suppose we want to estimate the future value of an investment based on its return history. This problem, at first glance, might seem pedestrian. Yet it involves subtleties that confound many financial analysts. Some analysts argue that the best guide for estimating future value is the arithmetic average of past returns. Others claim that [...]
OPTIMAL REBALANCING WITH THE MARKOWITZ VAN DIJK HEURISTIC Institutional investors usually employ mean–variance analysis to determine optimal portfolio weights. Almost immediately upon implementation, however, the portfolio’s weights become sub-optimal as changes in asset prices cause the portfolio to drift away from the optimal targets. In an idealized world (without transaction costs) investors would rebalance continually [...]
Portfolio Construction & Evaluation Windham Webinar Series Wednesday, February 13th at 2PM EST Webinar Highlights: • Explore portfolio construction and evaluation methods and best practices • Estimate risk and return using various forecasting models including market turbulence and the capital asset pricing model • Build efficient portfolios using mean-variance optimization while [...]
We’re halfway through the first month of 2019, which means that most of us have already given up on the New Year’s resolutions we made so optimistically on January 1st. Even though you may have abandoned your resolve to drink less coffee this year, we invite you to consider three NEW New [...]
In the years following the global financial crisis, investment managers of all kinds have been under increased scrutiny when it comes to accountability, reliability, and trust. The need for more sophisticated investment strategies consequently requires more sophisticated investors, and many firms now face a difficult question: Is our in-house investment [...]
On Wednesday, November 14th we were joined by Cel Kulasekaran, Research Director at Windham Capital Management. Cel discussed factor analysis and how factor models can provide for a more complete understanding of portfolio risk. WEBINAR HIGHLIGHTS: What is factor analysis? Common factors used in practice Single vs. multi factor models Factor models in practice Practical implementation issues [...]
Join us for a bonus webinar where we will explore some of the portfolio construction concepts discussed in today's session using the Windham Portfolio Advisor. The Windham Portfolio Advisor is a complete portfolio optimization and risk management platform that integrates acclaimed independent research in a unified suite of applications for institutions and wealth advisors. [...]
After the Allocation: Portfolio Rebalancing 101 According to a Wells Fargo/Gallup survey, over 30% of investors would rather sit in an hour of traffic than rebalance their portfolios. Which, one can deduce, indicates that roughly one third of investors spend at least sixty unpleasant minutes when the time comes to rebalance! In this [...]
We spoke with Samantha*, the Chief Investment Strategist in the Asset Management division of a large national bank* to discuss how the Windham Portfolio Advisor helps her and her team achieve their goals. Samantha and her team are responsible for developing all of the formal strategic and tactical asset allocation recommendations across the asset [...]
