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Bibliography

Momentum Bibliography

We have compiled a list of books, journal articles and working papers that were helpful in developing our research around momentum strategies.

Bibliography

Style Bibliography

We have compiled a list of books, journal articles and working papers that were helpful in developing our research around style investing.

Bibliography

Trend Following

Here is a selected list of books, journal articles and working papers that we found helpful in developing our research around Trend Following strategies.

Bibliography

Value Investing Bibliography

We have compiled a list of books, journal articles and working papers that were helpful in developing our research around value strategies.

Bibliography

Defensive Equity Bibliography

We have compiled a list of books, journal articles and working papers that were helpful in developing our research around defensive equity investing.

Bibliography

Carry Bibliography

We have compiled a list of books, journal articles and working papers that were helpful in developing our research around carry investing.

Alternative Thinking

The Illusion of Active Fixed Income Diversification

We examine popular active fixed income categories and find that a persistent overweight to high yield credit explains the majority of fixed-income managers’ active returns. We then discuss some key implications for asset owners.

Alternative Thinking

2015 Capital Market Assumptions for Major Asset Classes

We update our expected returns and review our framework for constructing estimates of long-term expected returns for major asset classes, among other things.

Alternative Thinking

The Role of Alternative Beta Premia

Alternative beta premia—dynamic long-short strategies—offer effective diversified sources of return. To us, the most useful classifications are hedge fund strategy premia and style premia, two complementary approaches

Alternative Thinking

Estimating Long Term Expected Returns

Diversification is underutilized in most institutional portfolios but may improve risk-adjusted returns, active returns and total returns more reliably than concentrated positions.