Portfolio Construction

An Alternative Option to Portfolio Rebalancing

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


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.

Portfolio Construction

Craftsmanship Alpha: An Application to Style Investing

What may seem like inconsequential design decisions can actually matter a lot for style portfolios. In fact, the skillful targeting and capturing of style premia may constitute a form of alpha on its own—one we refer to as “craftsmanship alpha.”

Alternative Investing

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.

Factor Timing

Contrarian Factor Timing is Deceptively Difficult

The increasing popularity of factor investing has led to valuation concerns among some contrarian-minded investors, and fears of imminent mean-reversion and underperformance.

Asset Allocation

Smart Investing in an Environment of Low Expected Returns

In July 2016, Antti Ilmanen spoke with members of the Journal of Investment Consulting Editorial Advisory Board .

Alternative Investing

A Historical Perspective on Time-Varying Expected Returns

Investors naturally think about the expected returns of bonds based on their market yields, thus assuming time-varying expected returns.


Are Stocks Real Assets? Sticky Discount Rates in Stock Markets

Local stock markets adjust sluggishly to changes in local inflation.

Alternative Investing

Embracing Downside Risk

This paper shows that downside risk tends to be the main source of long-run returns in equities and other asset classes, and argues that long-term investors may be better off embracing downside risk in certain cases.