Nematrian Reference Library
[this page | back links]
Set out below is information (held by the Nematrian website) on the reference you have selected
Reference | Title | Link |
Northfield (2004) | Estimating Returns for Asset Allocation | here |
First slide
"Optimum portfolio weights are very sensitive to return expectations. Small changes in expected returns lead to large weight changes.
Historic returns are often used, but they are not usually good predictors of future returns. Domestic Equity returns are upwardly biased by an expansion of P/E ratios. Bond returns are upwardly biased by decreases in interest rates.Active returns are upwardly biased because of survivorship bias, particularly with hedge funds." |
See
here to choose a new Category/Sub-Category or
here for a list of all references held by the Nematrian website. Please
contact us if any of the above material is inaccurate or if there are references you think should be included that we have excluded or vice-versa.