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Bibliography
Momentum Bibliography
May 28, 2014
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
May 13, 2015
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
January 8, 2015
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
June 4, 2014
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
May 28, 2014
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
May 28, 2014
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
December 7, 2017
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
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
The Role of Alternative Beta Premia
3Q 2012
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
2Q 2013
Diversification is underutilized in most institutional portfolios but may improve risk-adjusted returns, active returns and total returns more reliably than concentrated positions.