Tax Aware
Partnership Allocations and Their Effects on Tax-Aware Fund Investors
May 1, 2018
We discuss certain accounting principles relevant for investors in tax-aware funds structured as limited partnerships. We present a simple stylized model that illustrates that under such accounting principles new investors do not materially suffer from unrealized gains accumulated in a tax-aware fund.
Fixed Income
Style Investing in Fixed Income
March 15, 2018
A disciplined, systematic approach to over-/underweight securities based on well-known factors, or styles, such as value, momentum, carry and defensive, can offer alternative sources of outperformance not only within equities but also within fixed income markets.
Portfolio Construction
An Alternative Option to Portfolio Rebalancing
March 5, 2018
We explore how investors can use an implementable option selling overlay to improve portfolio rebalancing.
Fixed Income
Common Factors in Corporate Bond and Bond Fund Returns
March 1, 2018
This paper undertakes a comprehensive analysis of cross-sectional determinants of corporate bond excess returns. We find strong evidence of positive risk-adjusted returns to measures of carry, defensive, momentum and value.
Equities
Taxes, Shorting, and Active Management
February 22, 2018
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
February 22, 2018
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.
Equities
Buyback Derangement Syndrome
January 5, 2018
A seemingly large amount of stock buybacks in recent years has prompted many to claim that buybacks have come at the expense of new investment. Our latest paper shows why neither the theory nor the evidence supports this view.
Portfolio Construction
Craftsmanship Alpha: An Application to Style Investing
December 31, 2017
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
November 1, 2017
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
March 7, 2017
The increasing popularity of factor investing has led to valuation concerns among some contrarian-minded investors and fears of imminent mean-reversion and underperformance.