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Journal Article
Craftsmanship Alpha: An Application to Style Investing
December 31, 2017
What may seem like inconsequential design decisions can actually matter a lot for style portfolios. In fact, the skillful targeting and capturing of style premia may constitute a form of alpha on its own—one we refer to as “craftsmanship alpha.”
Working Paper
Implementing Momentum: What Have We Learned?
December 26, 2017
We use seven years of live data to evaluate the implementability of momentum investing.
White Paper
Measuring Factor Exposures: Uses and Abuses
July 15, 2017
A growing number of investors have come to view their portfolios (especially equity portfolios) as a collection of exposures to risk factors.
White Paper
Building a Better Deep Value Portfolio: Difficulties Mastered are Opportunities Won
March 24, 2017
Opportunistic contrarian investing is appealing to many investors, but challenging to implement. We think deep value is best approached by pairing discretionary expertise with a quantitative framework.
Risk Parity in Target-Date Funds
December 2, 2014
Target-date funds (TDF) have a few shortcomings, but we believe that implementing risk parity as a sleeve within a TDF can help—by potentially enhancing returns, mitigating risk and reducing portfolio drawdowns.
Journal Article
Exploring Macroeconomic Sensitivities
April 2, 2014
Forecasting economic and market conditions is no easy task.