- Filter By.
-
Topic (${ Topics.length })
-
-
Type (${ ContentTypes.length })
-
Contributor (${ Contributors.length })
- Relevance
- Newest
- Oldest
Working Paper
Optimal Currency Hedging for International Equity Portfolios
October 18, 2018
We explore currency exposures in international equity portfolios by decomposing the optimal currency portfolio into a “hedge portfolio,” which minimizes equity volatility, and an “alpha seeking portfolio” based on the well-documented currency styles of value, momentum and carry.
White Paper
Risk Without Reward: The Case for Strategic FX Hedging
September 18, 2015
In the wake of losses associated with the sharp rise in the U.S. dollar between 2014 and 2015, we look at the long-term case for strategic currency hedging.
Working Paper
Deep Value
December 4, 2017
We examine the efficacy of a hypothetical deep value strategy—where the valuation spread between cheap and expensive securities is wide relative to its history—across global asset classes and also provide new evidence on competing theories for the value premium.
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.
Working Paper
Factor Premia and Factor Timing: A Century of Evidence
July 2, 2019
We examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes. The results offer support for time-varying risk premia models with important implications for theory seeking to explain the sources of factor returns.