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Trade Publication
Risk Parity: A Supplement to Traditional Portfolios, Not Their Replacement
January 1, 2012
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?
September 1, 1996
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?
December 1, 1996
Fixed-income portfolio managers pay considerable attention to risk/return tradeoffs.
Journal Article
Which Risks Have Been Best Rewarded?
December 1, 2004
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?
September 1, 2012
Investors, like almost everyone else, dislike catastrophic negative surprises and love unexpected windfalls.
Journal Article
Stock-Bond Correlations
September 1, 2003
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
January 2, 2013
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
December 1, 2012
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
August 15, 2017
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
January 31, 2019
We try to demystify the risk and return of private real estate, considering theoretical arguments, historical average returns, and forward-looking yield-based analysis.