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. "
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.
Journal Article
December 4, 2017
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Cliff Asness
John M. Liew
Lasse H. Pedersen
Ashwin Thapar
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
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Cliff Asness
Roni Israelov
John M. Liew
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
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Cliff Asness
John M. Liew
Ross L. Stevens
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.