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White Paper

Chasing Your Own Tail (Risk), Revisited

November 19, 2019 - Lars N. Nielsen Ashwin Thapar Daniel Villalon

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

Journal Article

Are Stocks Real Assets? Sticky Discount Rates in Stock Markets

February 1, 2017 - Michael Katz Hanno Lustig Lars N. Nielsen

Local stock markets adjust sluggishly to changes in local inflation.

Journal Article

Embracing Downside Risk

January 15, 2017 - Roni Israelov Lars N. Nielsen Daniel Villalon

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

Covered Calls Uncovered

November 30, 2015 - Roni Israelov Lars N. Nielsen

White Paper

Are Defensive Stocks Expensive? A Closer Look at Value Spreads

November 20, 2015 - Antti Ilmanen Lars N. Nielsen Swati Chandra

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.

Journal Article

Still Not Cheap: Portfolio Protection in Calm Markets

August 3, 2015 - Roni Israelov Lars N. Nielsen

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

Journal Article

Working Your Tail Off: Active Strategies vs. Direct Hedging

June 1, 2015 - Lars N. Nielsen Daniel Villalon

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

Journal Article

Covered Call Strategies: One Fact and Eight Myths

October 21, 2014 - Roni Israelov Lars N. Nielsen

Call overwriting is a method of simultaneously expressing a view on a security and its volatility, and the CBOE S&P 500 BuyWrite Index (BXM) is one of many ways to get exposure to the equity and volatility risk premia.

White Paper

Building a Better Global Macro Portfolio

March 1, 2014 - Jordan Brooks April Frieda David Kupersmith Lars N. Nielsen

White Paper

Chasing Your Own Tail (Risk)

July 1, 2011 - Lars N. Nielsen Daniel Villalon Adam Berger

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.