Hold the Dip
December 1, 2025
We examine the popular “Buy the Dip” strategy and find it consistently underperforms a simple buy-and-hold approach. Our research shows that investors seeking to time markets may find greater success following trends rather than fighting them.
Asset Allocation
2026 Capital Market Assumptions for Major Asset Classes
January 14, 2026
We update our estimates of medium-term (5- to 10-year) expected returns for major asset classes. We also include a discussion on currency risk and currency hedging, with particular considerations for U.S. and European investors.
ESG Investing
Climate Risk Pricing
December 30, 2025
This paper develops a macro-finance model of how transition and physical climate risks are priced in markets. It shows that brown assets can hedge climate risk when carbon taxes are too low, challenging the view that risk-based investing naturally supports climate goals.
Relaxed Constraint
Active Extension
November 24, 2025
This paper explores how Active Extension (AE)—a long-short framework—may enhance portfolio performance. By allowing skilled managers to short unattractive stocks and overweight more attractive ones, AE offers a liquid, capital-efficient path to improved active returns and long-term wealth outcomes.
Alternative Investing
Diversifying Alternatives and the Rearview Mirror
November 3, 2025
Part 10: This paper examines how investor biases and performance-chasing behaviors can undermine the benefits of long/short diversifying alternatives. We explore why such strategies often feel disappointing in bull markets, yet remain vital for long-term portfolio resilience.
Tax Aware
Food for Thought: Tracking Error
October 15, 2025
This piece challenges the notion that all tracking error is bad, comparing it to the idea that all calories are unhealthy. It explains how “rewarded” tracking error—taken in pursuit of alpha—differs from “unrewarded” tracking error, helping investors understand when taking on tracking error can be beneficial for achieving long-term goals.
Fixed Income
Bond Market Focus: Yield Curves and Mean Reverting Rate Expectations
October 7, 2025
Part 9: The yield curve largely reflects investors’ tendency to expect rates to revert toward past norms. This paper highlights how this pattern explains both the predictive power and the persistent forecasting missteps in bond markets.
ESG Investing
Can Sustainable Finance Save the Planet?
October 4, 2025
This paper asks whether sustainable finance can meaningfully mitigate climate change by raising polluters’ costs of capital. While theory implies a strong pricing of emissions, the evidence suggests markets currently price carbon far too weakly to drive a net-zero transition.
Fixed Income
Bond Market Focus: Understanding Treasury Yields with Survey Data
September 17, 2025
Part 8: This paper explores how survey data can decompose U.S. Treasury yields into inflation expectations, real rate expectations, and required bond risk premia. The analysis highlights how these components have evolved since the 1980s and the risks posed by today’s policy challenges to anchored inflation expectations.
Portfolio Construction
Exploring Capital Efficiency
September 15, 2025
This paper explores how capital-efficient investments—such as private equity, hedge funds, and portable alpha—can help investors unlock the full benefits of diversification without relying on direct leverage. We show how these approaches can improve portfolio resilience and long-term returns, particularly for leverage-constrained investors.