Fixed Income

Style Investing in Fixed Income

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

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

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

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 .