Risk-adjusted return measures have been around for some time now, but following the financial crisis professional money managers and asset allocators zeroed in on these formulaic performance metrics like never before. One of the most well-known risk-adjusted return formulas, the Sharpe Ratio, is simple a measure of return per unit of risk. It takes the annual…

“60% of the time, it works every time.” – Brian Fantana

The Barclays Aggregate Index is basically the S&P 500 of the bond markets. Formerly the Lehman Brothers Aggregate Index before 2008 (you can thank Dick Fuld for that), the Barclays Agg is the bond index that all total U.S. bond market index funds are benchmarked to for tracking purposes. The biggest bond fund in the…

In a post earlier this week I wrote about famed hedge fund manager Michael Steinhardt’s impressive track record from the late-1960s to the late-1970s. A few readers commented to me that nothing could be discerned from Steinhardt’s track record because it’s nearly impossible to separate luck from skill when making these types of historical performance…

The following comes from the Los Angeles Times about CalPERS, the nation’s largest public pension plan:

A couple weeks I looked at the history of corrections in long-term U.S. treasury bonds. I received a few follow-up questions from people asking for the same information on intermediate bonds for a comparison between the different bond maturities from a risk perspective. The Barclays Aggregate Index, the industry standard for an intermediate bond benchmark,…

A reader asks: Does it make sense to equal weight the Europe and Pacific ETFs as opposed to just buying the entire EAFE index fund? How has this strategy done historically? This is a great question because so many U.S. investors have a home bias within their portfolio and probably don’t spend enough time thinking…

Mohamed El-Erian, the former PIMCO CEO, wrote a piece for Bloomberg View questioning the merits of emerging markets as an asset class. Before making his argument, El-Erian laid out three characteristics of an asset class, which I’ve paraphrased: The components share similar characteristics (i.e., geography, economic or financial commonalities, etc.) The majority of the components…

The latest SPIVA mutual fund scorecard was released last week and it was more of the same from the past few reports — the majority of active mutual funds underperformed their respective benchmarks over the past 1, 3, 5 and 10 year periods. These numbers are well-documented at this point so I’ll spare you the…

There are now 10,000 baby boomers retiring a day in the U.S. And the projections say another 10,000 are likely to retire every single day for the next 19 years. By my count, that’s roughly 70 million in total. Future retirees are starting to come to grips with this reality. I get at least a…