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Trade Publication

Ahead of the Curve: Time to Embrace Downside Risk

Buying equity put options to reduce a portfolio’s downside risk exposure is so attractive that the high cost of doing so all but offsets the benefit, the authors contend.

White Paper

Are Defensive Stocks Expensive? A Closer Look at Value Spreads

Investors have been concerned about the rich valuation of defensive stocks and how that may crimp returns. Using value spreads, we analyze the relative prices of defensive stocks and discuss the difficulties in predicting style returns.

White Paper

Avoiding Unintended Country Bets in Global Equity Portfolios

Country risk is a key driver of individual stock returns, especially in emerging markets. We present several approaches to constructing active global stock portfolios as failing to control for country membership in stock returns may lead to significant misallocation of risk.

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.

Journal Article

Covered Calls Uncovered

Journal Article

Working Your Tail Off: Active Strategies vs. Direct Hedging

Economic theory and empirical evidence support the idea that investors should, over the long term, be compensated for bearing risk.

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.

Journal Article

Still Not Cheap: Portfolio Protection in Calm Markets

This paper investigates the relationship between option richness and volatility across 10 global equity indices.

Journal Article

Are Stocks Real Assets? Sticky Discount Rates in Stock Markets

Local stock markets adjust sluggishly to changes in local inflation.