Bob Elliott

If you are going to include an allocation to trend following, given the observation of a strong #dispersion of annualized returns among #CTAs, you should consider diversifying across multiple CTAs (or trend following strategies). To finish reading, see blog by Larry Swedroe in comments field.

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Shared exits look stable until synchronized liquidity disappears. That isn’t a critique of pooled structures. It’s a duration question. If a return depends on everyone exiting together, timing risk isn’t removed. It’s shared. We don’t underwrite around coordinated liquidity. The co-development we’re closing follows a simpler rule. At completion, investors receive defined units with clean title. Execution runs through delivery. Post-handover timing sits with the owner, not a sponsor-managed sell-down. In pooled structures, duration exposure is mutualized. In physical ownership, it is concentrated, with full discretion over timing. Neither is superior. They allocate duration differently inside a portfolio. We structure projects so the asset must stand on its own at delivery, without relying on synchronized exits to validate the underwriting. If coordinated liquidity disappeared at handover, would your model still clear or was shared timing absorbing duration you didn’t price?

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25 Comments

November 17, 2025 *Taking over* The inclusion of FFC in the KMI-30 Index has been long anticipated. Recompositing of the KMI-30 Index has never been this significant before, but this time it is more challenging. Let’s quickly discuss the importance of the KMI-30 Index to better understand the impact of this significant recompositing on stock prices. The KMI-30 index is a benchmark for Shariah-compliant portfolio managers, who have the task of exceeding the index performance to justify their value. The portfolio manager therefore makes a deliberate assessment of holding a stock at a higher or lower percentage versus the benchmark based on their stance on a stock. The allocation percentages in portfolios are usually similar to the KMI-30 index, unless a fund manager has a negative or positive stance, in which case he will hold less or more than the index, respectively. So, if FFC gets an index weight of 15% after re-composition and a portfolio does not hold it, it risks its performance if the stock rises after inclusion. The problem is, however, that it is not only difficult to have a negative stance on this stock, but its weight is so high that any misjudgment will make the error blow the portfolio performance. This brings the discussion to the flip side. FFC is expected to have more than 15% weight in the newly composed KMI-30 Index. So, if a portfolio is already invested in other stocks, how will the space for FFC be created? Naturally, by selling the previous high-weightage stocks such as ENGROH, LUCK, HUBC, MEBL, MARI, OGDC, SYS, and more. Much of the fall in these index-heavy stocks in recent months could therefore be linked with this. Mostly, a stock rallies on rumor, and the momentum fades once the news is out. The news is out; FFC will be taking over a significant slot in KMI with effect from Monday, 24 November 2025. The portfolios that have to include it (and exclude some) should have already done it, but given the size involved and prospective weight in the index, it might take some more time.

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"A Theory of Interpretable Transformers for Asset Pricing": "Transformer-based models can be both powerful and economically meaningful... interpretable transformers universally approximate pricing kernels, offering a robust foundation for AI-driven asset pricing." https://lnkd.in/ehckQh_B

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U.S. government spending cuts not yet showing up in aggregate data. Great chart to pay attention to from Goldman Sachs... that said, there's no question that sentiment is down from uncertainty, and spending is starting to drop from a few agencies & departments, primarily State, Education, TSA, FCC and USAID. The key question going forward: will reduced sentiment and govt spend translate into weaker economic data and margins in Q2? #assetallocation #stocksvsbonds #wealthmanagement #spx

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Fascinating chart of S&P 500 PE, where if earnings are adjusted for SBC, intangibles - capitalizing R&D and aggressive amortisation, the current S&P 500 PE might not be as expensive as it looks. https://lnkd.in/gTF8uz-b

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Direct indexing and portfolio personalization without a risk model is like nutrition without a label — you don’t really know what you’re serving clients. As a portfolio manager, I see risk models as essential tools for advisors (but are still underutilized). They don’t add noise — they create clarity. By showing where portfolios are truly exposed, they give you the confidence to move beyond generic models and deliver direct indexing and personalized portfolios at scale (all while balancing out the tax implications). When you understand the factors driving risk — equities vs. bonds, sectors, rates — rebalancing isn’t just maintenance. It’s a chance to guide clients with intention, align portfolios with their goals, and prove the value of personalization. 👉 Risk models aren’t just about measuring risk — they unlock the strategies that set your practice apart.

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6 Comments

🔍 Where is US employment going? Directional indicators tell a more complete story about the U.S. labor market than headline numbers alone. A diffusion index (% of sectors with job creations) reveals that 32% of industrial sectors and 38% of service sectors continue creating jobs. While certainly not robust, these figures are far from the catastrophic levels seen during past recessions (for context: only 20% of sectors were creating jobs in March 2008). The current situation resembles the 1998 Asian crisis or 2015 Chinese slowdown more than an impending economic collapse. This supports a measured rate cut approach without dramatic intervention. Discover the full analysis on Investir.ch: https://lnkd.in/eJiggQRV Lombard Odier Investment Managers #LaborMarket #FederalReserve #EconomicIndicators #MonetaryPolicy #MarketAnalysis

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🎥 Just recorded a quick message on something I think is critically important right now… Too many portfolios are overexposed to hype. Crypto. AI stocks trading at sky-high valuations. These aren’t strategic allocations — they’re trades. And structurally, they carry more risk than reward. There’s a smarter path forward. AI infrastructure — the physical and digital systems enabling real innovation — deserves a meaningful place in long-term portfolios. It’s under-allocated, fundamentally supported, and better aligned with risk-adjusted return goals. Now is the time to rebalance from hype to substance. 📖 I lay out the full argument in my latest piece: From Hype to Hardware: Why AI Infrastructure Deserves a Real Allocation 🔗 https://lnkd.in/gH7ZTabj #WealthManagement #PortfolioConstruction #AssetAllocation #Crypto #AI #EvidenceBasedInvesting #WealthFactor #Fiduciary

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6 Comments

We were just on a call with the CEO of a $300M RIA. He said, “We charge 1% on top of model portfolios built by a large asset manager, and we don’t get pushback because the performance has been decent.” I asked one simple question: “What’s the total cost of ownership of your investment stack?” He paused.... So, I did the math. If your weighted fund expense is 35bps, and your TAMP is baking in 15–25bps in platform fees, you’re not charging 1%. You’re charging closer to 1.5% in total against your asset base. If that persists over 10–20–30 years? The math gets ugly. Every extra 0.5% in friction compounding over time can erodes 22% of a client’s lifetime wealth. That’s not a talking point; that's just the math.... For their firm, that friction hits twice: once in the drag on your client portfolios, and again in the drag on your book’s organic growth and enterprise value over time. At Modelist, when a firm transitions to our platform, we often help cut weighted expenses by 15bps or more. Then we connect them with tax-aware trading partners who could add another 50–100bps of after-tax return annually in #taxalpha whilst giving them more options for #HNW customization at scale. Apply that to a $300M book over 10 years, and you’re looking at $35M to $75M in potential asset growth, WITHOUT ACQUIRING A SINGLE NEW CLIENT! That’s not an abstract benefit. That’s more compounding capital, more advisory revenue, and more credibility to go upstream and win larger clients. The smart firms are realizing: the portfolio is not just a tool for clients. It’s the engine that drives their enterprise. Stop hiding fees in expensive funds and start owning the architecture. Let us help build an engine that lasts with you in the driver seat. The best investment stories going forward will be custom, transparent, and tightly aligned to a brand that delivers them. The rest will just be hoping performance covers the overhead.... #thisistheway #RIA #financialadvior #portfoliomanagement #fintech

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The biggest threat to MFDs isn’t regulation. It isn’t fintech. It’s irrelevance. Think about it: Apps have made investing one click away. Influencers are telling investors what to buy. AMCs push direct plans more aggressively than ever. So why should an investor choose an MFD? If the answer is “because I sell mutual funds,” that’s not enough anymore. Products are everywhere. Advice is noisy. Trust is scarce. Will MFDs reposition themselves as true wealth partners, or risk being left behind as transaction middlemen? This isn’t a comfortable question. But it’s the one that matters. Trina Cheemalapati Prachi Banthiya Gargi Das

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After years working with managers moving funds on-chain, I’ve noticed the same pattern: The hard part isn’t deploying contracts. It’s making the right structural decisions upfront. So we at Enzyme have summarized the 5 questions every on-chain fund needs to answer. These 5 design choices matter more than the strategy itself. Made a high-level breakdown for managers & allocators → just swipe through.

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5 Comments

A little late in posting, but I always enjoy reading Dan Rasmussen's newsletter. Short read but informative on using public proxies for private equity volatility. No matter how you adjust (e.g., de-smoothing autocorrelation or using public proxies), the point is you should adjust when trying to make an apples-to-apples comparison or, gasp, use an MVO model. Read more: https://lnkd.in/gFDF57fw

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2 Comments

I'm seeing a lot of takes from strategists to the effect that investors in US assets need to take deep breaths, step back from the day-to-day noise of headlines and look at the fundamentals. The subtext is usually clear: Stay invested in that S&P 500 ETF, stop stressing out, everything’s gonna turn out fine in the long run. For the last 15 years, this has mostly been sound advice during periods of stress. But here’s a slightly different look at the fundamentals: Valuations are elevated. Despite everything that’s happened in the first months of the year, US equities are still trading at close to 20x forward earnings. To justify that sort of multiple, you need earnings growth. For that sort of earnings growth, you need capex. For that sort of capex, you need basic institutional integrity, policy clarity and demand visibility. This is why I’m paying fairly close attention to a host of stuff beyond just the tariff drama that economists aren’t traditionally meant to stick their nose in: The Abrego Garcia deportation, the quality of decision making, compliance with court rulings, attempts to overturn Humphrey’s Executor, purges of nonpartisan appointees at government institutions and agencies, relationships with allies, threats to cut off federal funding for dissenting universities, pressure on independent media and the like. Not because they have any immediate bearing on the US economy, but because collectively, they are an indicator of the integrity of the institutions that ultimately underpin more than a few of those 20 x’s. We may not be at the point of liquidation yet, but for those of us who have been parking most of our savings in US equities without a second thought for the last 15 years, I do think it's a moment to be intentional about diversification.

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Here’s how I’d evaluate a GP with zero industry jargon: 1) Ask how they protect downside risk. If they don’t have a clear answer, run. 2) Look at their past deals or track record. Not just returns—how they communicated during the messy stuff. 3) Speaking of messy stuff, have they asked their investors for more money to help save the deal? (which is also called a capital call). 4) Do they invest their own money in the deal? Skin in the game says everything. 5) Lastly, are they transparent about fees? You’d be shocked how many syndicators hide their payday. #realestateinvestingtips #realestateinvestor #realestateinvesting

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