Factor models are hugely important to the finance industry. These risk models provide tremendously useful information to investors and managers by estimating the risk of any portfolio of stocks, and the models have also been extended to other asset classes such as bonds and commodities. The consensus of most current econometric thinking is that a sizable part of...

There has been much discussion and speculation of the political and economic consequences of yesterday’s vote for the UK to leave the European Union.  Ignoring politics altogether, and anything speculative about economics or financial markets, what can be said based on probability, financial theory, and an...

By New Frontier

Given great interest in the DOL decision on fiduciary responsibility, we note a blog posted in 2012 by James Watkins that referenced New Frontier’s patented optimization process followed by a comment by noted expert Steve Winks that we quote below: “…[T]here is massive push back from the brokerage industry, which neither acknowledges nor supports the fiduciary standing of brok ...

By Paul Erlich

Mutual funds are often touted as the most effective and convenient tools for individual investors and managers to build diversified portfolios.

However, investor experience is often...

Many large financial intermediaries and high net worth investors invest in Private Equity funds.  The consulting firm Cambridge Associates reports that the 25-year return on private equity of 13.5% can be compared to the Russell 2000 9.75% return over the same period.  Similarly, in the survey article by Kaplan and Sensoy, they find that private equity

At New Frontier, we believe in strategic investing. We believe that markets are mostly unpredictable and that making directional bets on market performance or individual securities is largely a fool’s errand. Over most time periods some securities increase in value, whereas others decrease, almost all unpredictably.  With that...

New Frontier is a multi-asset manager that invests primarily with exchange traded funds (ETFs).  ETFs are often compared to mutual funds which are also portfolio based investment products.  In most cases, ETFs function similarly to comparable mutual funds.  However, a recent instance of market volatility involving high yield securities highlighted an important...

New Frontier decided to include the iShares minimum volatility ETF (USMV) as part of our global strategic asset allocation fund universe. The purpose is to provide additional risk management capability primarily for lower systematic equity risk portfolios in the light of likely changes in Federal Reserve policy toward interest rate management. The portfolios include a modest al ...

On June 2nd, Vanguard announced they were redefining the indices tracked by four of their ETFs.* These are: Vanguard Emerging Markets ETF (VWO), Vanguard Developed Markets ETF (VEA), Vanguard European Stock ETF (VGK), and Vanguard Pacific Stock ETF (VPL). The transition will result in each ETF including small cap stocks. In addition,

We are pleased that Becker, Gürtler and Hibbeln (BGH), authors of “Markowitz versus Michaud: Portfolio Optimization Strategies Reconsidered,” are interested in assessing the investment value of Michaud optimization (Michaud 1990, Michaud and Michaud 2008), relative to Markowitz (1952, 1959). As they note, Markowitz and Usmen (MU) (2003) compared Markowitz vs. Michaud efficient frontier optimization in a simulation study...