Our Mission
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The Institute is designed to be a scholarly repository and resource for academics, investment professionals, and investors with interest in understanding the evolution of quantitative asset management beginning in the late 20th century. The Institute’s mission is to promote authoritative research on asset management by bridging the gap between the academy and the workbench with cutting-edge research in daily practice. |
Economic and Financial Theory Has Been in Error for More than 60 Years...
There is a foundational crisis in professional asset management. Investors are increasingly adopting minimal cost no-information index and factor fund strategies. This is because little if any evidence exists for superior cost- and risk-adjusted professional asset management performance of over investment-relevant horizons. The text argues that economic and financial theory have been in error for more than sixty years and is the cause of ineffective investment technology. Social science is preference theory not physics. Finance’s Wrong Turns offers a unique philosophical perspective of modern finance and financial markets. Drawing on contemporary sociological principles, and his decades of experience as asset manager and institutional strategist, Michaud invites analysts, advisors, and institutional portfolio managers to consider a new framework for improved asset management.
In his book, Dr. Michaud will:
· Trace the major historical developments of institutional asset management practice and its limitations.
· Narrate professional asset management practice.
· Describe the key contemporary principles of human cognition and rational decision making.
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New Frontier Institute and CFA Society Boston ©Distinguished Lecture Series
New Frontier Institute and CFA Society Boston and were proud to present our 2021 © Distinguished Lecture Series of highly topical presentations by widely acknowledged authorities on issues of particular interest to asset management practitioners. The Series consisted of four monthly lectures beginning in February and ending in May 2021. The presentations included an analysis of the pension fund management crisis, the surprising long-term performance of equities, defining ESG for asset management, and the latest research in cryptocurrencies.
Featured Research
Estimation Error and the "Fundamental Law of Active Management": Is Quant Fundamentally Flawed?
The authors show with intuitive discussion followed by a novel simulation study that applications of the Grinold (1989) "Fundamental Law" theory for optimized portfolio design are often unreliable and self-defeating.
The Markowitz Optimization Enigma: Is Optimized Optimal?
The major problem with mean variance optimization is its tendency to maximize the effects of errors in the input assumptions. Unconstrained mean variance optimization can yield results that are inferior to those of simple equal-weighting schemes.
Risk Policy and Long-Term Investment
This paper explores the relationship between the geometric mean and terminal wealth distribution.