White Paper
October 27, 2021
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Ashwin Thapar
Thomas Maloney
Alfie Brixton
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
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Jordan Brooks
"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
March 24, 2017
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David Kupersmith
Adrienne Ross
Ashwin Thapar
Opportunistic contrarian investing is appealing to many investors, but challenging to implement. We think deep value is best approached by pairing discretionary expertise with a quantitative framework.
Journal Article
November 7, 2013
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Ralph S. J. Koijen
Tobias J. Moskowitz
Lasse H. Pedersen
Evert B. Vrugt
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.
Working Paper
November 1, 2008
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Markus K. Brunnermeier
Stefan Nagel
Lasse H. Pedersen
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
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Jacob Boudoukh
Matthew P. Richardson
Ashwin Thapar
Franklin Wang
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.