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Journal Article

Embracing Downside Risk

This paper shows that downside risk tends to be the main source of long-run returns in equities and other asset classes, and argues that long-term investors may be better off embracing downside risk in certain cases.

Alternative Thinking

Superstar Investors

Many famous investors are outspoken about their investment philosophies and use them selectively. We seek to apply their wisdom systematically to determine whether their philosophies, if applied broadly, might still generate “alpha.”

White Paper

Building a Better Long/Short Equity Portfolio

Conventional approaches to long/short equity (LSE) can introduce unintended risks. We propose an alternative approach that may more efficiently harvest the returns underlying LSE investing, while providing greater transparency and better risk control.

White Paper

Chasing Your Own Tail (Risk)

The financial crisis of 2008 made investors painfully aware of tail risk. We present several approaches, when used in combination, may be effective in reducing tail risk.

White Paper

Alpha Beyond Expected Returns

Many institutional investors focus primarily on one source of alpha: expected returns. We argue that “alpha” may also becaptured in virtually every other stage of the investment process and discuss seven sources of opportunities.

White Paper

Building a Better Equity Market Neutral Strategy

Equity Market Neutral (EMN) is a well-established strategy designed to seek positive performance without exposing investors to the risk of the overall equity market. We explain how systematic EMN works to potentially improve diversification and returns.

White Paper

A Better Approach to Alternative Investing

The goal of a portfolio is to maximise risk-adjusted return. Adding alternative investments to a traditional portfolio is a way to potentially do this, reducing downside risk while maintaining or even increasing the portfolio's expected return.

White Paper

Building a Better Core Equity Portfolio

We believe that style-based investing represents a better approach to traditional active equity portfolio management, by focusing on sources of excess returns that may be more pervasive and persistent. These factors include value, momentum and profitability.

White Paper

Risk Parity, Risk Management and the Real World

At its core, risk parity is an argument about the importance of diversification. Long term, we think the best risk parity portfolios will be those that both adopt a dynamic approach to risk management and have a plan to preserve capital in a crisis.

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.