February 17, 2020
Low-risk investing has received a lot of attention over the past decade. An intensive academic debate has spurred, and been spurred by, the growing market for low-risk strategies. This article presents five fact and dispels five fictions about low-risk investing.
December 17, 2019
Across a broad set of popular active fixed income categories, we find that passive exposures to traditional risk premia (especially exposure to credit risk) explain the majority of fixed income manager active returns.
October 11, 2019
Despite its unavoidable deficiency caused by current regulations, we believe that lot layering aligns tax and economics more closely than any of the “aggregation” methods presently used by most hedge funds.
April 23, 2019
We present a framework for understanding the drivers of trend-following returns and show that recent performance challenges are primarily due to muted moves across global markets rather than a change in trend following’s ability to translate market trends into profits.
February 1, 2019
In this paper, we present a real example of how multiple testing information can be reported. We use that information to estimate the Deflated Sharpe Ratio of an investment strategy.
October 17, 2018
We show how the field of machine learning can be used to empirically investigate asset premia including momentum, liquidity, and volatility.
May 14, 2018
Despite its long and illustrious history, much confusion about the size effect remains. We examine common claims about the size effect and seek to clarify some of the misunderstanding surrounding it.
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.
March 29, 2018
We propose an after-tax performance report aimed at enhancing wealth preservation and accumulation for taxable investors.