FYI, James Montier recently posted an article on GMO.com called “I Want to Break Free, or, Strategic Asset Allocation Is Not Static Allocation” that is one of the best articles I’ve ever read. He talks about the Yale model, the history of MPT and how GMO uses valuation rather than past returns in doing asset allocation. Should be required reading for CFA candidates, highly recommended!
I am a big fan of James Montier. His insights have steered me towards being more skeptical. I also regularly read Jeremy Grantham’s letter. Heck I even make adjustments based on his insights.
Thanks for sharing. I find it very useful and interesting.