Journal Article

A Century of Evidence on Trend-Following Investing

We simulate a trend-following strategy back to 1880 and investigate whether strong performance over a few decades was a statistical fluke, or a more robust phenomenon that may hold true over a wide range of economic conditions.


Macro Wrap-Up: Tariff Q&A

Answers to the biggest questions around the recently announced tariffs on steel and aluminum.

Alternative Investing

Understanding Alternative Risk Premia

With its many potential benefits, including generally low-to-no correlation to a traditional 60/40 or hedge fund portfolio, we believe an ARP strategy may serve as a core alternative solution in investors’ portfolios.


Macro Wrap-Up: It's All Politics These Days

Even when facing some pretty menacing events, markets are able to shrug and move on.

Fixed Income

(Il)liquidity premium in credit markets: A myth?

Do investors demand a risk premium for holding less liquid corporate bonds? We investigate the evidence.

Portfolio Construction

An Alternative Option to Portfolio Rebalancing

We explore how investors can use an implementable option selling overlay to improve portfolio rebalancing.


Macro Wrap-Up: The Relationship Between Stocks and Bonds

It’s difficult to know what the relationship between stocks and bonds should be at any specific time.


Taxes, Shorting, and Active Management

This paper examines the consequences of short selling by quantitative investment strategies held by individual investors in taxable accounts.

Portfolio Construction

Sharpening the Arithmetic of Active Management

Does the dictum that the return to active management must equal that of passive management hold in the real world? This paper explores the assumptions and possible market impact.


Macro Wrap-Up: High Volatility

We answer your questions about the recent market volatility and how this environment compares to past bear markets in stocks.