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Trade Publication

Risk Parity: A Supplement to Traditional Portfolios, Not Their Replacement

It is often said that long-term investors can rely on equity returns since they can withstand short-term periods of underperformance and still survive to realize the benefits in the long-term.

Journal Article

Does Duration Extension Enhance Long-Term Expected Returns?

In the past, investors have been rewarded for extending the duration of their fixed income holdings when the yield curve is upward sloping, but have not been rewarded (or have even been punished) when the curve is inverted.

Journal Article

When Do Bond Markets Reward Investors for Interest Rate Risk?

Fixed-income portfolio managers pay considerable attention to risk/return tradeoffs.

Journal Article

Which Risks Have Been Best Rewarded?

An empirical study examines the consistency of rewards for bearing various types of risks in U.S.

Journal Article

Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets?

Investors, like almost everyone else, dislike catastrophic negative surprises and love unexpected windfalls.

Journal Article

Stock-Bond Correlations

The correlation between stock market and government bond returns was positive through most of the 1900s, but negative in the early 1930s, the late 1950s, and recently.

White Paper

Improving Target-Date Funds

Target-date funds (TDFs) may be the preferred long-term investment vehicle for many defined-contribution plan sponsors and their participants. However, TDFs may have some shortcomings, and we discuss two of them in our analysis.

Journal Article

The Norway Model

By 2011, Norway’s Government Pension Fund Global (GPFG) was ranked the largest investor in the world.

White Paper

Intelligent Risk Taking: How to Secure Retirement in a Low Expected Return World

We examine the rate of return needed to deliver a comfortable retirement based on current savings rates as well as intelligent ways to construct portfolios to achieve this rate of return.

White Paper

Demystifying Illiquid Assets: Expected Returns for Private Real Estate

We try to demystify the risk and return of private real estate, considering theoretical arguments, historical average returns, and forward-looking yield-based analysis.