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White Paper
When Stock-Bond Diversification Fails
October 27, 2021
The events of 2020 to 2021 have increased uncertainty around the future path of inflation. We review how different inflationary outcomes can impact investor portfolios and evaluate what assets and strategies may enhance portfolio resilience to inflation.
Journal Article
Tail Risk Hedging: Contrasting Put and Trend Strategies
July 8, 2020
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.
Journal Article
Portfolio Protection? It’s a Long (Term) Story…
April 23, 2020
Investors have a natural urge to protect their portfolios from sudden crashes, even though bad outcomes that unfold over longer periods are more detrimental to reaching long-term goals. We show risk-mitigating and diversifying strategies have added value more consistently than options-based hedging over the more important, longer drawdowns.
White Paper
Chasing Your Own Tail (Risk), Revisited
November 19, 2019
As investors turn to addressing the risk of a severely declining market, we summarize five approaches to building a more resilient portfolio.
Journal Article
How Do Factor Premia Vary Over Time? A Century of Evidence
Winner of a Special Distinction Award in the 2021 Harry M. Markowitz Awards
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.
Journal Article
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.
Journal Article
Deep Value
Winner of an Outstanding Article award in the 2022 Bernstein Fabozzi/Jacobs Levy Awards
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.
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.