Corporate Arbitrage

We introduce the main corporate arbitrage strategies, make the case for a multi-strategy approach, and review the role of a corporate arbitrage allocation within a broader portfolio.

Loss Harvesting or Gain Deferral? A Surprising Source of Tax Benefits of Tax-Aware Long-Short Strategies

We explore the mechanism for how tax-aware long-short factor strategies, within their first three years since inception, can realize cumulative net capital losses exceeding 100% of initially invested capital, all while generating a significant pre-tax alpha – a result shown in previous research. Surprisingly, we find in these strategies that net capital losses arise not from an increased realization of capital losses but rather from the deferral of capital gains, especially short-term gains on long positions.

Asset Allocation

Honey, the Fed Shrunk the Equity Premium

What are the implications of higher interest rates for asset allocation? This article reviews historical patterns and forward-looking expected returns for a range of asset classes, and highlights the role of “cash-plus” liquid alternatives — overlooked beneficiaries of higher cash rates. We show that in a higher-rate world that investors haven’t seen for many years, diversification away from equities may prove to be especially valuable.

Factor/Style Investing

Fact, Fiction, and Factor Investing: Practical Applications

This piece distills the central concepts and practical takeaways of our Fact, Fiction, and Factor Investing article, which examined many claims about factor investing, referencing an extensive academic literature and performing simple, yet powerful, analysis to address those claims.

Asset Allocation

Rethinking DC Portfolio Diversification

We make the case for an allocation to liquid alternatives as a viable and versatile complement to existing DC portfolios.

Machine Learning

Financial Machine Learning

In this survey the nascent literature on machine learning in financial markets, we highlight the best examples of what this line of research has to offer and recommend promising directions for future research.

Alternative Investing

Key Design Choices When Building a Risk-Mitigating Portfolio

After 2022 showed the downside of traditional portfolios’ reliance on equity risk, many investors have recently begun to reconsider the role of risk-mitigating portfolios within their broader asset allocations. We show why we believe trend following deserves a prominent place in any serious risk-mitigation portfolio.


Certainly Uncertain

We certainly find ourselves in uncertain times – but how uncertain are they? We show macro uncertainty is currently high versus history. We also address whether elevated macro uncertainty is likely to persist, or if we should instead expect a return to the low uncertainty environment. Lastly, we address the implications for investors, both in terms of possible returns to traditional assets, and as to what alternatives might prosper or decline in such an environment.

Trend Following

Economic Trend

“Economic trend” capitalizes on the tendency for new information to have a persistent impact on asset prices by positioning in each market on the basis of trends in macroeconomic fundamentals. The strategy has realized consistently attractive risk-adjusted returns over a 50+ year sample, and performance is pervasive across both markets and measures. While it is a close relative of price trend-following, the two strategies are highly complementary.

Tax Aware

Beyond Direct Indexing: Dynamic Direct Long-Short Investing

On average, net losses realized by direct indexing loss-harvesting strategies taper off within the first few years after their inception, and these strategies also exhibit a high dispersion of net loss outcomes. We show that long-short strategies motivated by factor investing can significantly outperform direct indexing strategies from both a pre-tax and tax perspective.