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Trade Publication
Smart Beta: Not New, Not Beta, Still Awesome
September 10, 2014
Though some confusion continues regarding the subject, the term “smart beta” (including “Fundamental Indexing”) is just a new way to describe some well-known and well-tested investment ideas.
Trade Publication
Alpha Transfer in a Hedge Fund World
January 1, 2002
In theory, portable alpha is a good idea.
Working Paper
Global Return Variation
January 1, 1995
This paper presents evidence on the efficiency of global equity markets. Starting from the knowledge that markets are imperfectly efficient, our analysis seeks to determine to what degree the markets are inefficient.
Working Paper
Stock Returns, Inflation and the Volatility of Growth in the Money Supply
March 1, 1995
A large body of work documents a negative relation between expected nominal stock returns and expected inflation in the U.S. and other developed countries. We think the volatility of expected growth in the money supply is a determinant of this relation.
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.
Journal Article
International Diversification Works (Eventually)
May 1, 2011
Critics of international diversification observe that it does not protect investors against short-term market crashes because markets become more correlated during downturns.