Volatility

Understanding the Volatility Risk Premium

The volatility risk premium (VRP) represents the compensation that investors earn for providing protection against market losses. We explain the reasons why it may exist and explore its historical performance with a simple option-selling strategy.

Tax Aware

Style Investing and Tax Efficiency: Building a More Tax Efficient Global Equity Portfolio for Australian Investors

We evaluate the performance of long-only style-based equity strategies after accounting for taxes. We and find that style investing can be efficiently implemented in a tax-aware manner for Australian investors.

Alternative Investing

Understanding Alternative Risk Premia

With its many potential benefits, including generally low-to-no correlation to a traditional 60/40 or hedge fund portfolio, we believe an ARP strategy may serve as a core alternative solution in investors’ portfolios.

Risk Parity

Not Risk Parity Funds

The source of the recent market disruption may not be fully understood yet, but we can reveal what it wasn’t.

Asset Allocation

Implementing Portable Alpha: A Case Study

This 2007 case study examines what happens when a fictional public pension plan faces an equity market slump, lower expected equity-market returns and a legislature-mandated increase in the investment portfolio’s target real rate of return.

Asset Allocation

Asset Allocation in a Low Yield Environment

In 2016, bond yields dropped to unprecedented low levels in major developed markets. Even in a low rate environment, we think it’s important to diversify across many return sources.

Portfolio Construction

A Half Century of Macro Momentum

"Macro momentum has the potential to deliver strong positive returns with low correlation to traditional asset classes across macroeconomic and market environments. It may also provide diversification benefits in bear equity markets and rising yield environments. "

Asset Allocation

Market Timing: Sin a Little

Is market timing an easy source of added value or a sin to be avoided? We examine the evidence and find that adding a dose of momentum is a practical way to enhance value timing strategies. Investors may benefit from a modest amount of market timing.

Factor/Style Investing

Measuring Factor Exposures: Uses and Abuses

A growing number of investors have come to view their portfolios (especially equity portfolios) as a collection of exposures to risk factors.

Alternative Investing

Do DGFs Diversify?

Aggressive diversification across a broad range of intuitive, empirically-tested return sources may benefit investors seeking returns that has the added potential of being diversifying to the rest of their portfolios.