Sustainable Systematic Credit
September 7, 2021
Interest in sustainable investing is now expanding into fixed income. This paper assesses how measures of sustainability/ESG might be relevant for corporate bonds and analyzes how ESG measures can be incorporated into an investment process to achieve the joint object of maximizing risk-adjusted returns and a sustainability target.
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Value Investing
Value investing – buying securities that appear cheap relative to fundamentals – has a long history in financial markets. Explore our library of research on this famed topic.
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Bonds Today
With yields so low, can bonds still help investors achieve return objectives and diversify multi-asset class portfolios? To address these questions and more, we have written a series of papers in which we explore the role of bonds in these unprecedented times.
Portfolio Construction
Diversification. Craftsmanship. What goes into building an effective portfolio? We’ve rounded up our best thinking on the topic.
Chief Investment Quarterly
The CIQ newsletter focuses on a wide array of themes such as retirement policy, macroeconomic insights, and investment ideas for this community.
Cliff's Perspectives
Factor/Style Investing
The Replication Crisis That Wasn’t
March 24, 2021
Factor investing has long faced criticisms of data mining, and more recently faced another criticism – some backtests might never have been right to begin with. A growing body of mostly well-done papers examine these issues, generally concluding that factors have been disappointing since their “discovery.” We’ve long addressed these concerns through robust out-of-sample evidence and a compelling theory for why a factor should work. What we’ve lacked, until now, is a formal test. My colleagues’ new paper tests brilliantly, what we have argued, largely anecdotally, for years. Their results are rather startlingly (even to me) positive for the field in general.
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