Factor Tilts Of ‘Larry Portfolio’

In a Dec. 23, 2011 article, New York Times columnist Ron Lieber wrote about my personal investment strategy, which can be described as a low-beta/high-tilt (to small and value stocks) portfolio. I want to circle back to it to illuminate important points about diversification.

Lieber called it the “Larry Portfolio,” or the “LP,” as we like to call it. My colleague Kevin Grogan and I recently published a book that provides the concepts and historical evidence demonstrating that the “LP” has earned superior risk-adjusted returns that produce a higher Sharpe ratio than that of a marketlike portfolio, with much smaller worst-case losses.

Read the rest of the article on ETF.com.

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