Frame Global is committed to providing relevant information and resources that are available both in the public domain and that we can make available to you upon request.
Frame Global Current Favourites:
- The Myth of Diversification Reconsidered – William Kinlaw, Mark Kritzman, Sébastien Page, and David Turkington – February 3, 2021
- SORTINO – Desired Target Return® Briefing
- Post-Modern Portfolio Theory Comes of Age – Brian Rom, 1994
- Macroeconomic Factors Do Influence Aggregate Stock Returns, Mark J. Flannery, 2002
- ETF Trends: The ETF Ecosystem
- When Diversification Fails – T. Rowe Price, October 2018
- A Practitioner’s Guide to Asset Allocation – William Kinlaw, Mark P. Kritzman, David Turkington, Harry M. Markowitz – May 2017
Additional Resources:
Asset Allocation
- Asset Allocation Optimization Using Downside Risk Analysis, 2004
- A Practitioner’s Guide to Asset Allocation – William Kinlaw, Mark P. Kritzman, David Turkington, Harry M. Markowitz – May 2017
- Black Swans and the Many Shades of Uncertainty
- Deutsche Bank – Tactical AA Insights from ETF Flows
- Does Asset Allocation Policy Explain 40, 90 or 100 Percent of Performance
- Evaluating Currencies as a Separate Asset Class
- Measuring the Effectiveness of Currency Hedging Strategies – R. Carr
- PIMCO – Risk Management Beyond Asset Allocation Diversification
- Post Modern Portfolio Theory Comes of Age – Brian Rom, 1994
- Risk-Based Dynamic Asset Allocation – December 2011
- The Importance of Asset Allocation
- The Myth of Diversification Reconsidered – William Kinlaw, Mark Kritzman, Sébastien Page, and David Turkington – February 3, 2021
- Understanding the Recent Rise in Correlations and How You Can Turn it to Your Advantage – William J. Coaker Jr.
- When Diversification Fails – T. Rowe Price, October 2018
The following Asset Allocation resources are available on request:
- ALT- Tactical Asset Allocation- Risk Management in an Alternative World
- How Regimes Affect Asset Allocation
- J.P. Morgan – Non-normality of Market Returns
- RBC – High Correlation and Low Dispersion
- Re-engineering the Asset Management Value Chain
- Risk-Based Dynamic Asset Allocation – March 2012
ETF Primers
- ETF Trends: The ETF Ecosystem
- Canadian Investment Review – How are Pensions using ETFs
- CFA Institute – A Comprehensive Guide to ETFs 2015
- ETF Mini Flash Crash Causes SEC To Rethink New Rules – Tom Lydon, Sept 2015
- Greenwich Associates – Canadian Institutions Look to ETFs 2014
- Tower Watson – ETF for Institutional Investors – 2011
- Will Mutual Fund Advisors Soon Be Selling ETFs, August 2014
The following ETF Primers are available on request:
- CANTOR – The Evolution of Managed ETF Solutions – Sept 2014
- CANTOR – 2014 Wealth Management Summit Presentation – Nov 2014
- CIBC – The ETF Discussion is Changing
- Common Fears and Misconceptions about ETFs – Morningstar – May 8, 2014
- Credit Suisse – Alternatives – The Cutting Edge of ETPs
- Credit Suisse – Equity Trading Conference Presentation, Phil Mackintosh – 2012
- Credit Suisse – Marketing Commentary – Active ETF- Nov 2010
- Credit Suisse – Marketing Commentary – Can a Highly Shorted ETF Collapse – Jan 2011
- Credit Suisse – Marketing Commentary – Do ETFs Really Trade Like Baskets – Jan 2011
- Credit Suisse – Marketing Commentary – ETF Mythbuster, Covering the Spread – Oct 2009
- Credit Suisse – Marketing Commentary – ETF Mythbuster – Tracking Down the Truth – Feb 2010
- Credit Suisse – Marketing Commentary – How Much do ETFs Influence Stock – March 2012
- Credit Suisse – Marketing Commentary – The Future is Now For Futures Algo Trading- May 2011
- Credit Suisse – Marketing Commentary – The Hidden Liquidity of ETFs – June2010
- Credit Suisse – Marketing Commentary – Where Has All the Trading Gone – Aug 2012
- Credit Suisse – Marketing Commentary – ETFs and Correlation- Feb 2011
- Deutsche Bank – Tactical Asset Allocation – ETF Flows – May 2014
- ETF Strategy Group- Re-engineering the Asset Management Value Chain
- ETFs – The Big Picture-BLOOMBERG – MAY 8, 2014
- KCG – Market Commentary – 100 Years of Market Structure Improvement- Phil Mackintosh, Apr 2015
- KCG – Market Commentary – 5 Scenarios- Phil Mackintosh, Feb 2015
- KCG – Market Commentary – Automation has Reduced Frictions- Phil Mackintosh, Apr 2015
- KCG – Market Commentary – How Maker-Taker Impacts Market Makers- Phil Mackintosh, Dec 2015
- McKinsey – The 64 trillion dollar question Convergence in asset management – Feb 2015
- Merrill Lynch – Beyond the Basics, June 2012
- Merrill Lynch – ETF Research – Evolution to Revolution, June 2012
- Model Portfolios Using Exchange Traded Funds, Oct 2010
- PowerShares – ETFs Tax Advantages for Shareholders
- PWC – The Next Generation of ETFs – Nov 2013
- RBC An Introduction to ETFs-May 8, 2014
- RBC – Institutional ETF Trade Idea, Jan 2014
- S&P – Third Generation Indexing – Lazzara, May 2014
- Selecting an ETF Managed Portfolio-A.Gogerty, Apr 2013
Macroeconomics and Behavioral Economics
- AIMR – How Regimes Affect Asset Allocation, 2004
- Black Swans and the Many Shades of Uncertainty, July 2014
- CFA Institute Magazine – Time Bomb Zombie Swan, Mar-April 2013
- IMF – How Macro Economic Factors Affect Income Distribution, Nov 1997
- Macroeconomic Factors Do Influence Aggregate Stock Returns, Mark J. Flannery, 2002
- Morgan Stanley Correlation Regime Change, March 2012
- MSCI – Index Performance in Changing Economic Environments, April 2014
- Why Are Stock Market Returns Correlated with Future Economic Activities? – Hui Guo, 2002
- Stock market and GDP growth volatility spillovers – University of Wollongong,2012
- GDP Growth and Equity Returns – Schroders 2013
The following Macroeconomics and Behavioral Economics resources are available on request:
- Macroeconomic Factors Do Influence Aggregate Stock Returns, Mark J. Flannery, Jan 2001
- RBC Capital Markets Commentary – U.S. Equity Strategy Weekly, Oct 2011
Post Modern Portfolio Management and Downside Risk
- A Brief History of Downside Risk Measures, David Nawrocki
- Asset Allocation Optimization Using Downside Risk Analysis, 2004
- CFA – Cleveland – The Sortino Ratio – Deborah Kidd, Feb 2012
- CFA – Downside Risk, Andrew Ang, Joseph Chen&Yuhang Xing, 2007
- CFA – Magazine – Risk the Final Frontier, Mar-Apr 2006
- CFA – Magazine – Tail Tales, Mar-Apr 2007
- CFA – Risk Budgets, George Chow and Mark Kritzman, 2001
- CFA – Risk Measurement and Management, Giorgio Consigli, 2003
- Downside Risk – Andrew Ang, Nov 2005
- Financial Analyst Journal – A Multidimensional Framework for Risk Analysis, Jul-Aug 1997
- Financial Analyst Journal – The Mismeasurement of Risk, Mark Kritzman & Don Rich, May-un 2002
- Financial Analyst Journal – The Sense and Nonsense of Risk Budgeting, Sept-Oct 2006
- Financial Analysts Journal – Defining Risk- Glyn A. Holton, Nov-Dec 2004
- IT Insights – Skewness – Volume 1 Number 2
- Old and New Perspectives on Equity Risk-Philip S. Fortuna, 2000
- Post-Modern Portfolio Theory Comes of Age – Brian Rom, 1994
- Post-Modern Portfolio Theory Supports Diversification-Devinaga Rasiah, 2012
- Reporting and Monitoring Risk Exposure, Robert W. Kopprasch
- Risk is Not The Same as Volatility – Michael Keppler
- Schroders – Effective Downside Risk Management-Nov 2012
- SORTINO – Desired Target Return® Briefing
- SORTINO – Evidence Based Portfolio Management, Frank Sortino
- SORTINO – Red Rock Capital – A Sharper Ratio – T.Rollinger & S.Hoffman
- The Myth of Diversification Reconsidered – William Kinlaw, Mark Kritzman, Sébastien Page, and David Turkington – February 3, 2021
- Practical Applications of Post-Modern Portfolio Theory, Vern Sumnicht, March 2008
The following Post Modern Portfolio Management and Downside Risk resources are available on request:
- ALT – Tactical Asset Allocation Risk Management in an Alternative World
- FIRAMIS and RC Banken – Portfolio Risk Analyzer – Black Swans Presentation, 2012
- FIRAMIS and RC Banken – Portfolio Risk Analyzer – Black Swans
- Innovations in Risk Measurement, Mark P. Kritzman, 2002
- J.P. Morgan- Non-normality of Market Returns
- Merrill Lynch – U.S. Quantitative Primer, April 2012
- Risk – Based Dynamic Asset Allocation, December 2011
- Risk – Based Dynamic Asset Allocation, March 2012
- S&P – The Landscape of Risk, December 2014
- SORTINO – Evolution of Modern to PMPT – DTR Timeline
- SORTINO – Modern vs. Post Modern Portfolio Theory Chart
Quantitative Data Applications
- Asset Allocation Optimization Using Downside Risk Analysis, 2004
- Black Swans and the Many Shades of Uncertainty, July 2014
- Bootstrapping for Portfolio Returns
- Brief History of Downside Risk Measures – David Nawrocki
- FAJ – The Sense and Nonsense of Risk Budgeting, Sept-Oct 2006
- IT Insights – Skewness – Volume 1 Number 2
- Morgan Stanley – Correlation Regime Change, March 2012
- Post Modern Portfolio Theory Comes of Age – Brian Rom, 1994
- Risk is Not The Same as Volatility – Michael Keppler
- SORTINO – Evidence Based Portfolio Management
- SOTINO – Desired Target Return® Briefing
- The Myth of Diversification Reconsidered – William Kinlaw, Mark Kritzman, Sébastien Page, and David Turkington – February 3, 2021
The following Quantitative Data Applications resources are available on request:
- Credit Suisse – Marketing Commentary – ETFs and Correlation, Feb 2011
- Dispersion as Cross-Sectional Correlation – B.Solnik & J.Roulet, Jan-Feb 2000
- FIRAMIS and RC Banken – Portfolio Risk Analyzer – Black Swans
- Innovations in Risk Measurement, Mark P. Kritzman, 2002
- J.P. Morgan- Non-normality of Market Returns
- Merrill Lynch – U.S. Quantitative Primer 2014
- Merrill Lynch – Risk Measures Compared p37,38,114, April 2012
- National Bank – Model Portfolios Using ETFs – Backtest, October 2010
- RBC Capital Markets Commentary- U.S. Equity Strategy Weekly, Dec 2011
- RBC Capital Markets Commentary- U.S. Equity Strategy Weekly, Oct 2011
- Risk – Based Dynamic Asset Allocation, December 2012
- Risk – Based Dynamic Asset Allocation, March 2012
- S&P – The Landscape of Risk, December 2014