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White Paper

Building a Better Commodities Portfolio

July 1, 2012 - Bradley Kay Ari Levine Yao Hua Ooi Lasse H. Pedersen

Rather than relying on passive indexes like the S&P GSCI and the Dow Jones-UBS Commodity Index, investors can potentially build a better commodities portfolio by balancing risk across sectors and targeting a steady level of volatility through time.

White Paper

Trend Following and Rising Rates

May 12, 2015 - Lasse H. Pedersen Brian K. Hurst Yao Hua Ooi Erik Stamelos

Can trend followers benefit from the impact of rising yields on asset class returns? We explore a simple trend-following strategy during rising rates and find that the strategy may benefit investors when markets experience gradual, persistent changes

Interview

Words From the Wise: Robert Engle on Portfolio Management

October 2, 2017 - Antti Ilmanen Lasse H. Pedersen Rodney N. Sullivan

This issue of "Words from the Wise" features an interview with Robert Engle, Nobel prize winner and father of risk modeling. Engle discusses his breakthrough research on analyzing economic time series with time-varying volatility.

Journal Article

Time Series Momentum

May 1, 2012 - Tobias J. Moskowitz Yao Hua Ooi Lasse H. Pedersen

We document an asset pricing anomaly we term “time series momentum,” which is remarkably consistent across very different asset classes and markets.

Journal Article

Regulating Systemic Risk

May 1, 2009 - Viral V. Acharya Lasse H. Pedersen Thomas Philippon Matthew P. Richardson

Systemic risk is the risk that the failure and distress of a significant part of the financial sector reduces the availability of credit which in turn may adversely affect the real economy.

Journal Article

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

February 1, 2003 - Darrell Duffie Lasse H. Pedersen Kenneth J. Singleton

In this paper, we construct a model for pricing sovereign debt that accounts for the risks of both default and restructuring, and allows for compensation for illiquidity.

Journal Article