August 10, 2017
"Macro momentum has the potential to deliver strong positive returns with low correlation to traditional asset classes across macroeconomic and market environments. It may also provide diversification benefits in bear equity markets and rising yield environments. "
White Paper
October 27, 2021
The events of 2020 to 2021 have increased uncertainty around the future path of inflation. We review how different inflationary outcomes can impact investor portfolios and evaluate what assets and strategies may enhance portfolio resilience to inflation.
White Paper
August 10, 2017
"Macro momentum has the potential to deliver strong positive returns with low correlation to traditional asset classes across macroeconomic and market environments. It may also provide diversification benefits in bear equity markets and rising yield environments. "
Journal Article
November 7, 2013
An asset’s “carry” is its expected return assuming that market conditions, including its price, stay the same. We find that carry predicts returns both in the cross section and time series for a variety of different asset classes.
Journal Article
June 1, 2013
We find consistent value and momentum return premia across eight diverse markets and asset classes, and a strong common factor structure among their returns.
Working Paper
November 1, 2008
Is there a strong link between a currency carry strategy and crash risk? We find that investing in high-interest-rate currencies while borrowing in low-interest-rate currencies delivers negatively skewed returns.
Journal Article
October 18, 2018
We explore currency exposures in international equity portfolios by decomposing the optimal currency portfolio into a “hedge portfolio,” which minimizes equity volatility, and an “alpha seeking portfolio” based on the well-documented currency styles of value, momentum and carry.
Journal Article
December 4, 2017
We examine the efficacy of a hypothetical deep value strategy—where the valuation spread between cheap and expensive securities is wide relative to its history—across global asset classes and also provide new evidence on competing theories for the value premium.
Journal Article
May 1, 2011
Critics of international diversification observe that it does not protect investors against short-term market crashes because markets become more correlated during downturns.
Journal Article
January 1, 1997
Firm characteristics such as book-to-market ratio, market equity and one-year past return help explain the cross-section of average returns on U.S.
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