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Sebastien Page’s book on asset allocation skillfully blends his research findings on the subject with current state of the art in the academic and practitioner literature in an engaging and accessible manner. He examines concepts in return forecasting, risk forecasting, and portfolio construction, and clearly breaks down many commonly held myths. The book’s treatment of these ideas is rigorous. At the same time, it is filled with common sense, thoughtfulness, and humility, all of which are key ingredients for successful investing. The book should appeal to anyone interested in the practical application of cutting-edge quantitative research techniques in asset allocation.
In this engaging and intellectually stimulating book, Sébastien Page puts under the spotlight many “stigmas” about Diversification and what (and how) it could be approached by different practitioners. Sébastien summarizes years of knowledge and extensive researches in a fascinating and easy to ready style. He revisits and synthesizes in a complete fashion different concepts that require a “vue d’ensemble” kind of approach. Without forgetting the hommage to his father that I had the privilege to have as a finance professor.
Comprehensive overview of financial literature on return forecasting, risk estimates and portfolio construction. This nicely written book is a refresher on the importance of building on strong financial foundations, as well as the balance needed to incorporate practical considerations and common sense.
Solid book to stimulate dialogue. Nothing in passive in asset allocation. Sébastien brings years of experience and analytical researches in an accessible and refreshing framework. A must have tool for serious investors. Merci!
I’ve spent nearly 30 years as a professional investor in private equity, in other words far removed from the highly quantitative and top down approach of asset allocation/ portfolio construction. I found the book to be very technical, and often incomprehensible were it not for the useful chapter summaries which condensed the key concepts and takeaways into ‘English’. My key takeaway from reading this is that like many aspects of investing and despite the immense quantitative firepower and academic effort dedicated to this space over many decades, subjective judgement and a good dose of luck remain a key factor to success. Readers with strong quantitative finance background or CFA will benefit most from this book.
Full disclosure: I did not finish this book. That is not to say I didn't try. I gave it a handful of chances. The first few chapters were fine, dare I say, even enjoyable. As the book progresses, it starts to sound like a sales pitch for investing with T. Rowe Price. With all due respect to the author, I felt like a lot of the information provided was complicated and/or missing the forest for the trees. This is coming from a finance professional.