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Alternative Thinking
Mapping Investable Return Sources to Macro Environments
4Q 2013
We explore the empirical relationships between investable strategies (asset classes and style premia) and macroeconomic environments. We find that style premia have meaningfully less macro exposure than do asset classes
Alternative Thinking
2015 Capital Market Assumptions for Major Asset Classes
1Q 2015
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
Tail-Hedging Strategies
4Q 2012
Tail hedges are one way to potentially limit losses in adverse markets—but at a substantial cost. We discuss alternative approaches, such as trend-following strategies, which are more cost-effective and may offer portfolio protection in market downdrafts
Alternative Thinking
Good Strategies for Tough Times
3Q 2015
Following recent losses across global equities and concern about downside risk, we take a look at the performance of different investments during the worst quarters in recent decades for stock and bond markets.
Alternative Thinking
Challenges of Incorporating Tactical Views
4Q 2014
Tactical timing is inherently more difficult than it seems. We explore which types of tactical views may be worth taking.
Alternative Thinking
2014 Capital Market Assumptions for Major Asset Classes
1Q 2014
We present our capital market assumptions for major asset classes and explore justifiable frameworks for estimating multi-year expected returns.
Alternative Thinking
Style Premia / Bond Returns
3Q 2013
We review how style premia have historically generated attractive long-run returns in virtually every place we have studied them, and may help reduce risk through better diversification. We then look at fixed income returns in different environments
Alternative Thinking
Strategic Risk Allocation
2Q 2014
We believe investors should broadly diversify and risk balance as a starting point to asset allocation, but perhaps then mildly overweight assets with high Sharpe ratios or good diversification benefits if they can identify these.
Alternative Thinking
Should Investors Worry About Rising Real Yields?
2Q 2014
We document the response of various asset classes and strategies in historical episodes of sharply rising real bond yields—and found that investor portfolios tend to suffer less in bond-related tail events than in equity-related tail events.