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 ...
Blog
Why New Frontier Traded Vanguard's Revised ETFs
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,
Comment on “Markowitz versus Michaud: Portfolio Optimization Strategies Reconsidered,” Becker, Gürtler and Hibbeln, European Journal of Finance
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...
Building a Better Target Date Fund
The market for Target Date Funds (TDFs) has exploded in the last few years. These funds are popular among investors because they provide a sense of risk protection at a low cost. However, many issues have been rightly noted about these funds. Much has been...
Currency Hedged ETFs: An Illustration of New Frontier's ETF Screening Process
By
New Frontier
New Frontier’s GSAA funds attempt to capture every risk factor of the market that is available through exchange traded funds. Since their introduction in 1989-90, ETFs have proliferated and flourished as investment vehicles because of their attractive features of lower expense ratio, transparency, liquidity, tax structure, and stock-like trading. New ETFs are created continuall ...
The Right Tool for Picking an Investment Vehicle: The Geometric Mean
Let’s assume that you want an excellent asset allocation, one designed to take on a particular level of risk while providing an expectation that the return will exceed returns generated without that risk. Michaud optimization, applied to a comprehensive global universe of funds providing exposure to multiple risk premia, gives a...