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Journal Article
Fact, Fiction and Value Investing
November 5, 2015
Value investing has been a part of the investment lexicon for at least the better part of a century, yet confusion about it remains.
Working Paper
Should Taxable Investors Shun Dividends?
June 13, 2019
We evaluate the tax benefit of dividend avoidance for quantitative multi-style strategies and find that dividend avoidance generally reduces implementation efficiency, thus lowering expected pre-tax returns.
Journal Article
Size Matters, If You Control Your Junk
January 22, 2015
When it comes to equity investing, size matters—and in a bigger way than once thought—but only when controlling for junk. We examine seven challenges that have been hurled at the size effect and dismantle each one by controlling for a firm's quality.
Working Paper
Implementing Momentum: What Have We Learned?
December 26, 2017
We use seven years of live data to evaluate the implementability of momentum investing.
White Paper
Building a Better Alternatives Portfolio
October 1, 2011
Alternative strategies are valuable tools for potentially enhancing portfolio returns and are becoming widely accessible in mutual funds. We delve into alternatives and discuss why we beleive multistrategy alternatives should be at the core of an alternatives allocation.
Journal Article
The Role of Shorting, Firm Size and Time on Market Anomalies
May 1, 2013
The pervasiveness, robustness and magnitude of return premia associated with size, value and momentum has made them the focal point for discussions of market efficiency, etc.
White Paper
Building a Better Alternatives Portfolio (European Version)
September 1, 2011
Alternative strategies are valuable tools for potentially enhancing portfolio returns and are becoming widely accessible. We delve into alternatives and discuss why we believe multistrategy alternatives should be at the core of an alternatives allocation.
White Paper
A Better Approach to Alternative Investing
May 1, 2013
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.
Journal Article
Understanding Style Premia
December 8, 2014
Four investment “styles" have emerged as compelling sources of alternative returns, backed by economic theory and decades of data across geographies and asset groups.
Journal Article
Investing with Style
January 2, 2015
Investors are bombarded with a variety of investment strategies and alternatives from an ever-growing and increasingly complex financial industry, each claiming to improve returns and reduce risk.