Password Protected Articles

Estimation Error and Portfolio Optimization

This paper synthesizes all of NFA's research into estimation error and portfolio optimization.  

Authors: Richard O. Michaud & Robert O. Michaud

Publication: Forthcoming in JOIM. Presented at the JOIM Conference in September 2006. (As this article will be published this spring, we cannot grant access to this article at this time.)

Strategic Investment Distribution Strategy

Written for the launch of AssetMark's Retirement Distribution Strategies, this white paper summarizes the results of NFA's research into investment distribution strategies. 

Authors: Richard O. Michaud & Robert O. Michaud

Publication: October 2006.

Gold as a Strategic Asset (separate password)

This paper examines the case for gold as a long-term or strategic investment for U.S. institutional investors.

Authors: Richard O. Michaud, Robert O. Michaud, & Katharine Pulvermacher

Publication: World Gold Council, September 2006.

Authors: Richard O. Michaud & Robert O. Michaud.
Publication: December 2005 Newsletter.

The Information Ratio of Factor Based Alpha
Misconceptions concerning the proper definition of breadth in Grinold’s Active Law of Management have suggested that the information ratio of optimized portfolios increases with the number of stocks in the portfolio.  We show that when active return depends on factor bets, the IR has an upper bound independent of the number of stocks, but depending on the breadth of the strategy and some maximum information ratio of the joint factor bet.
Authors: Noah Kraut, Robert O. Michaud & Richard O. Michaud.
Publication: October 2005 Newsletter.

Return Objective for Social Security Private Accounts: A Review of the President's Commission Investment Alternatives

The authors analyze the return objectives of the accounts proposed by the President’s Commission on Social Security Reform.

Authors: Richard O. Michaud, Robert O. Michaud & Noah Kraut.
Publication: February 2005 Newsletter.

Resampled Efficiency For Financial Planning and Return Forecasting
An examination of the effect of forecast certainty level indicate that the enormous effort focused on input estimation by many managers and institutions without Resampled Efficient Optimization is misplaced and likely to be ineffective.
Authors: Richard O. Michaud & Robert O. Michaud.
Publication: August 2003 Newsletter.

Liquidity and Portfolio Optimization
Liquidity, within the context of defining an optimal portfolio of risky assets, may be viewed as a non-linear return penalty factor that depends on the level of investment and asset size or float.

Authors: Richard O. Michaud & Robert O. Michaud.
Publication: Second Quarter 2003 Newsletter.

A Practical Framework For Portfolio Choice

The distribution of the multiperiod geometric mean within a financial planning context can be the framework for choosing among a properly defined efficient portfolio set for many applications of interest in investment practice.

Resampled Efficiency Issues
Once resampled efficiency gained prominence, misinterpretations and misunderstandings arose.   This 2003 article addresses the most frequently asked questions and misunderstandings of that time period. Authors: Richard O. Michaud & Robert O. Michaud.
Publication: February 2003 Newsletter.

This article clarifies the long term risk-return relationship for rational portfolio decision making and develops new tools for analyzing the consequences of a long term investment policy.

Author: Richard O. Michaud.
Publication: Seminar on the Analysis of Security Prices. May 13, 1976.