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.
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.
Equities
Equity Market Focus: Subjective Expected Returns
August 21, 2025
Part 7: While objective expectations are typically inferred from market prices or yields, subjective expectations are best inferred from survey data. This paper highlights interesting differences across investor groups in their tendency to overextrapolate or to be overoptimistic.
Portfolio Risk and Performance
Rebuffed: An Empirical Review of Buffer Funds
August 11, 2025
Equity investing is hard: volatility can be high, returns are unpredictable, and drawdowns can be painful. “Defined outcome” strategies such as buffer funds are the latest in a decades-long lineage of products promising equity-like returns with less downside risk. Like their predecessors, a closer look at these strategies reveals they fall short both empirically and theoretically.
Asset Allocation
Diversifiers Forever
July 31, 2025
In a portfolio whose investment horizon is forever, do diversifying investments add any value? In this short paper, we illustrate the surprising power of diversification for ultra-long-term investors.
Tax Aware
The Impact of Liquidation Taxes on the Lifecycle Benefits of Tax-Aware Long-Short Strategies
July 31, 2025
While liquidation taxes may seem like a drawback for TA LS strategies, this analysis shows they typically do not erase the significant tax and performance benefits accumulated over time. Thoughtful unwind planning can further enhance after-tax outcomes.
Equities
Equity Market Focus: Objective Expected Returns
July 31, 2025
Part 6: This paper reviews the strengths and weaknesses of using valuation-based metrics like CAPE and CAEY to estimate long-run equity market returns. While these models remain the most robust objective tools available, their predictive power is nuanced and often overstated.