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An Analytical Evaluation of Rising Glidepath Claims

Last year, a piece by Michael Kitces and Wade Pfau made the claim that mechanically increasing the equity allocation during retirement — which they term a “rising glidepath” — could reduce the likelihood that a retiree outlives his or her assets and could decrease the magnitude of shortfall when capital market returns disappoint. Specifically, the paper stated:

How “Moneyball” and Investing Are Related

Michael Lewis authored “Moneyball” back in 2003, and it seems like it immediately captured the attention of baseball fans and insiders everywhere. Since that time, its concepts have been applied to numerous areas including basketball, which is in the midst of a seismic shift in how basketball is evaluated and what skills and actions contribute th....

The SPIVA Scorecard and Investing in Money-Losing Funds
Late in 2012, I reviewed the mid-year 2012 Standard & Poor’s Indices Versus Active scorecard. S&P has since updated the scorecard through year-end 2012, and I wanted to quickly hit on some of its findings. I’ll focus on the five-year results since those are long enough to actually begin drawing mea....
The Profitability Premium
The profitability effect has been getting a good bit of attention lately, which all seems to have started with University of Rochester professor Robert Novy-Marx’s paper titled “The Other Side of Value.” Novy-Marx found that firms with high profitability have historically outperformed firms with low profitability after accounting fo....
When Will Rates Go Back to Normal?
Interest rates have already been lower for longer than many market pundits have expected. The big question is: How much longer will they stay low?
 
Those who ignored these pundits and modestly extended maturity during this period have been well rewarded. As one example of this, the total returns from rolling over one-month Treasury bills and holding five-year Treasury bonds wer....
Recent Discoveries Concerning Value and Momentum
The past few years, in my humble opinion, have produced some of the most interesting and practical (which is always nice) empirical finance research in a long, long time. Not surprisingly, a good bit of this research has been co-authored by professors at the University of Chicago (Gene Fama and Toby Moskowitz) or by alumni of the university (Cliff Asness). Over the next few weeks, I’m planning to profile a number of these pieces.
 
Today, I’m starting wi....
My Journal of Portfolio Management Article
As I mentioned last week, my article “The Death of Diversification Has Been Greatly Exaggerated,” co-written with Antti Ilmanen, has been published in the Journal of Portfolio Management. A number of people (ok, in full disclosure, just my mom and my wife) have asked me to summarize some of the key points. Though the article is a bit technical, the basic takeaways are pretty straightfor....
Momentum Premium 101
Momentum Premium: Returns
 
Momentum is the tendency for good past performance to continue. In stocks, the premium was first documented in Narasimhan Jegadeesh and Sheridan Titman’s 1993 Journal of Finance paper titled “Returns to Buying Winners and Selling Losers.” In the U.S., the momentum premium has averaged 9.7 percent per year o....