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Journal Article

Optimal Currency Hedging for International Equity Portfolios

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

Building a Better Deep Value Portfolio: Difficulties Mastered are Opportunities Won

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.

White Paper

Risk Without Reward: The Case for Strategic FX Hedging

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.

White Paper

Tail Risk Hedging: Contrasting Put and Trend Strategies

The sharp market fall and speedy recovery during the eventful first half of 2020 has kept tail risk hedging topical: investors have both fresh memories of a painful loss and renewed fears of a repeat. We try to offer a balanced overview of the strengths and weaknesses of direct and indirect tail hedging strategies.

White Paper

Chasing Your Own Tail (Risk), Revisited

As investors turn to addressing the risk of a severely declining market, we summarize five approaches to building a more resilient portfolio.