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Frontiers of modern asset allocation
\"Through a series of articles spanning over 15 years of research, Paul D. Kaplan, who developed the methodologies behind the Morningstar Rating and the Morningstar Style Box tackles the issues investors face when they attempt to put the concepts of asset allocation into practice, among them: How should the asset classes be defined? Should equities be divided into asset classes based on investment style, geography, or other factors? Should asset classes be represented by market-cap-weighted indexes or should other principles, such as fundamental weights, be used? How do actively managed funds fit into asset-class mixes? Kaplan also interviews the intellectuals who have greatly influenced the evolution of asset allocation, including Harry Markowitz, Roger Ibbotson, and the late Benoit Mandelbrot. Throughout the book, Kaplan offers his own opinions and analysis. He includes three appendices that put theory into action with technical details for new asset-allocation frameworks, including the next generation of portfolio construction, which Kaplan dubs 'Markowitz 2.0.'\"-- Provided by publisher.
Book
Contraband Guides
In his best-selling travel memoir, The Innocents Abroad , Mark Twain punningly refers to the black man who introduces him to Venetian Renaissance painting as a “contraband guide,” a term coined to describe fugitive slaves who assisted Union armies during the Civil War. By means of this and similar case studies, Paul H. D. Kaplan documents the ways in which American cultural encounters with Europe and its venerable artistic traditions influenced nineteenth-century concepts of race in the United States.
Americans of the Civil War era were struck by the presence of people of color in European art and society, and American artists and authors, both black and white, adapted and transformed European visual material to respond to the particular struggles over the identity of African Americans. Taking up the work of both well- and lesser-known artists and writers—such as the travel writings of Mark Twain and William Dean Howells, the paintings of German American Emanuel Leutze, the epistolary exchange between John Ruskin and Charles Eliot Norton, newspaper essays written by Frederick Douglass and William J. Wilson, and the sculpture of freed slave Eugène Warburg—Kaplan lays bare how racial attitudes expressed in mid-nineteenth-century American art were deeply inflected by European traditions.
By highlighting the contributions people of black African descent made to the fine arts in the United States during this period, along with the ways in which they were represented, Contraband Guides provides a fresh perspective on the theme of race in Civil War–era American art. It will appeal to art historians, to specialists in African American studies and American studies, and to general readers interested in American art and African American history.
eBook
Contraband Guides
In his best-selling travel memoir, The Innocents
Abroad , Mark Twain punningly refers to the black man who
introduces him to Venetian Renaissance painting as a \"contraband
guide,\" a term coined to describe fugitive slaves who assisted
Union armies during the Civil War. By means of this and similar
case studies, Paul H. D. Kaplan documents the ways in which
American cultural encounters with Europe and its venerable artistic
traditions influenced nineteenth-century concepts of race in the
United States.
Americans of the Civil War era were struck by the presence of
people of color in European art and society, and American artists
and authors, both black and white, adapted and transformed European
visual material to respond to the particular struggles over the
identity of African Americans. Taking up the work of both well- and
lesser-known artists and writers-such as the travel writings of
Mark Twain and William Dean Howells, the paintings of German
American Emanuel Leutze, the epistolary exchange between John
Ruskin and Charles Eliot Norton, newspaper essays written by
Frederick Douglass and William J. Wilson, and the sculpture of
freed slave Eugène Warburg-Kaplan lays bare how racial attitudes
expressed in mid-nineteenth-century American art were deeply
inflected by European traditions.
By highlighting the contributions people of black African
descent made to the fine arts in the United States during this
period, along with the ways in which they were represented,
Contraband Guides provides a fresh perspective on the
theme of race in Civil War-era American art. It will appeal to art
historians, to specialists in African American studies and American
studies, and to general readers interested in American art and
African American history.
eBook
Frontiers of modern asset allocation (Wiley finance series)
Innovative approaches to putting asset allocation into practice Building on more than 15 years of asset-allocation research, Paul D. Kaplan, who led the development of the methodologies behind the Morningstar Rating(TM) and the Morningstar Style Box(TM), tackles key challenges investor professionals face when putting asset-allocation theory into practice. This book addresses common issues such as: How should asset classes be defined? Should equities be divided into asset classes based on investment style, geography, or other factors? Should asset classes be represented by market-cap-weighted indexes or should other principles, such as fundamental weights, be used? How do actively managed funds fit into asset-class mixes? Kaplan also interviews industry luminaries who have greatly influenced the evolution of asset allocation, including Harry Markowitz, Roger Ibbotson, and the late Benoit Mandelbrot. Throughout the book, Kaplan explains allocation theory, creates new strategies, and corrects common misconceptions, offering original insights and analysis. He includes three appendices that put theory into action with technical details for new asset-allocation frameworks, including the next generation of portfolio construction tools, which Kaplan dubs \"Markowitz 2.0.\"
eBook
The Value of a Gamma-Efficient Portfolio
In 2014, the authors introduced gamma, a new metric designed to quantify the value of more intelligent financial planning decisions, with a focus on the potential benefits of working with a financial advisor. This article revisits gamma, but with a relatively narrow scope: to quantify the potential benefits of implementing a gamma-efficient portfolio strategy for an investor; that is, to measure the gamma of investing decisions. We do this using a framework of seven questions an investor should consider during the portfolio construction process. This framework is far more comprehensive than simply selecting a few mutual funds. Based on our empirical tests and existing research, we estimate that the \"average\" investor is likely to benefit significantly from working with a financial advisor, so long as the advisor provides comprehensive, high-quality portfolio services for a reasonable fee. The potential benefits associated with making better portfolio decisions will vary considerably by investor.
Journal Article
From Markowitz 1.0 to Markowitz 2.0 with a Detour to Postmodern Portfolio Theory and Back
In 1994, Larry Siegel and I published an article in this journal in response to an article that claimed that (1) mean-variance optimization (MVO), a vital part of modern portfolio theory (MPT) as developed by Harry Markowitz, is flawed, and (2) postmodern portfolio theory (PMPT) is a superior method for constructing portfolios, thus making MVO obsolete. Although we defended MVO and pointed out the limitations of PMPT, in retrospect, I believe the most important point that we made was that portfolio theory should be more broadly understood to mean any portfolio construction model that presents the investor with a trade-off between reward (however defined) and risk (however defined). Hence, MVO and PMPT are both special cases of portfolio theory. Years later, Sam Savage and I developed such a general framework, in which the user of our model can select a measure of reward and a measure of risk and have a wide choice of return distribution models. This framework, which we dubbed Markowitz 2.0 , I believe is a logical progression from MVO, which we dubbed Markowitz 1.0 .
Journal Article
Beyond the Glide Path: The Drivers of Target-Date Fund Returns
The authors explore the relative importance of the three primary drivers of target-date fund (TDF) performance: equity (or market) exposures (which, across a series' vintages, combine to form a glide path), style exposures (intrastock and intrabond allocations), and other investment selection decisions (e.g., manager selection and the active/passive decision, as well as any other residual risk exposures). They find that overall equity exposure drives only about 25% of the variation in returns across TDFs versus approximately 30% for style and 45% for selection, on average. Consequently, the analysis of the riskiness of a given TDF must be based on more than the overall weight given to equites.
Journal Article
Why Fundamental Indexation Might—or Might Not—Work
Some proponents of fundamental indexation daim that the strategy is based on a new theory in which market prices of stocks deviate from fair values. A key assumption in this approach is that fundamental weights are unbiased estimators offair value weights that are statistically independent of market values. This article demonstrates that, except in trivial cases, this assumption is internally inconsistent because the sources of the \"errors\" are also determinants of market values. The article shows under what conditions fundamental weights are better—or worse—estimators of fair value weights thon are market value weights, thereby demonstrating that the new theory is merely a conjecture. A formula is developed for the value bias inherent in fundamental weighting, and two approaches to combining fundamental and market values are discussed.
Journal Article
To Roll or Not to Roll: A Framework for Assessing the Benefit of IRA Rollovers
The U.S. Department of Labor's new fiduciary rule will significantly affect U.S.-based financial advisors that provide guidance on individual retirement account (IRA) rollovers. The new rule requires all advisors to act as fiduciaries when making recommendations and/or giving advice on defined contribution (DC) plans or IRAs--including recommendations for a rollover or a distribution. There is little research on what determines whether a rollover is in the best interests of an investor. This article briefly outlines a framework to make this decision, with a focus on the potential decision to roll retirement savings into an IRA managed by a financial advisor. Fees, the quality and scope of investments offered, and the quality and scope of services being provided (e.g., financial planning), as well as other unique considerations should all be considered. The authors suggest that the potential benefits of rolling funds out of a DC plan depend on the unique circumstances and preferences of each investor, and therefore considerable care is needed to ensure that the proper decision is reached.
Journal Article
Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance?
Disagreement over the importance of asset allocation policy stems from asking different questions. We used balanced mutual fund and pension fund data to answer the three relevant questions. We found that about 90 percent of the variability in returns of a typical fund across time is explained by policy, about 40 percent of the variation of returns among funds is explained by policy, and on average about 100 percent of the return level is explained by the policy return level.
Journal Article