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Book

Expected Returns on Major Asset Classes

Expected returns are arguably the most important input into investment decisions. By broadening the traditional paradigm of expected return estimation, we think investors have the ability achive better-diversified portfolios and more forward-looking analysis.

Book

Consistency of Carry Strategies in Europe

In this chapter, we focus on strategies in the European bond market that shift money from government bonds to higher-yielding credits. While most carry strategies seem to add value in the long run, some strategies appear more risky than others.

Book

Expected Returns: An Investors Guide to Harvesting Market Rewards

Finance theories have changed dramatically over the past 30 years, away from the restrictive theories of the single-factor CAPM, efficient markets, and constant expected returns.

Trade Publication

Back in the Hunt

Market timing is very hard.

Trade Publication

Style Investing: The Long and the Long/Short of It

Many investors agree that applying systematic tilts away from a passive, capitalization-weighted portfolio is a good idea; fewer agree on how best to capture these style-based returns.

Trade Publication

The 5% Solution

Institutional investors commonly target 5% real annual returns, or 7% to 8% nominal returns.

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.

Trade Publication

The Alpha in Portfolio Construction

We believe that portfolio construction, risk management and cost control are the “low-hanging fruit” of managing a long-term portfolio.

Journal Article

Pronounced Momentum Patterns Ahead of Major Events

Many financial asset measures exhibit a weak continuation tendency.

Journal Article

Asset Allocation and Bad Habits

This article documents the “bad habits” of investors in asset allocation practices.