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Risk adjustment as an excuse

By Rolf on 25 March 2013

Risk adjustment is a fundamental element of modern portfolio theory. Alpha is defined as the return left over after the impact of all sources of risk, including strategic biases, has been accounted for (see the examples in my series on alpha). But a positive historical alpha alone is not sufficient to conclude that a particular […]

Posted in Active/passive management | Tagged Alpha, Manager selection, Performance, TAA

Alpha in tactical asset allocation

By Rolf on 9 August 2012

It is easy to beat the benchmark of a balanced portfolio in the long run. All we have to do is systematically overweight the riskier asset classes to capture their higher risk premiums. This may add some volatility but will almost certainly lead to a better long-term performance. Many years ago, I suggested this approach […]

Posted in Active/passive management | Tagged Alpha, Asset allocation, Performance, TAA

About this weblog and its author

Rolf Banz spent his career in the investment industry in the US, the UK and, most recently, in Switzerland. To older people, he is known as the "father of the small firm effect". This weblog consists of a series of essays and shorter pieces on a range of issues at the intersection of institutional investment and investment theory. Please see this post for a description of the objectives of the weblog and the About page for further information on the author and the site.

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