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Trade Publication
Style Investing: The Long and the Long/Short of It
January 2, 2014
Many investors agree that applying systematic tilts away from a passive, capitalization-weighted portfolio is a good idea; fewer agree on how best to capture these style-based returns.
Working Paper
How Tax Efficient Are Equity Styles?
July 1, 2011
We explore the after-tax performance, tax exposure and tax efficiency of commonly used equity-style portfolios. We focus on equity styles based on size, value, growth and momentum, well known within the cross-sectional return landscape.
Journal Article
Fact, Fiction and Momentum Investing
September 23, 2014
Momentum is the phenomenon that securities that have performed well relative to peers (winners) on average continue to outperform, and securities that have performed relatively poorly (losers) tend to continue to underperform.
Working Paper
Trading Costs
August 23, 2018
Using live trade data from a large institutional money manager over a 19-year period, we find actual trading costs to be an order of magnitude smaller than previous studies suggest.
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.
Working Paper
Trading Costs of Asset Pricing Anomalies
December 5, 2012
We examine the trading costs, net-of-cost returns and break-even fund sizes of equity strategies designed to capture several of the main asset pricing anomalies documented in the literature.
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.
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
Craftsmanship Alpha: An Application to Style Investing
December 31, 2017
What may seem like inconsequential design decisions can actually matter a lot for style portfolios. In fact, the skillful targeting and capturing of style premia may constitute a form of alpha on its own—one we refer to as “craftsmanship alpha.”
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.