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White Paper

Rethinking DC Portfolio Diversification

We make the case for an allocation to liquid alternatives as a viable and versatile complement to existing DC portfolios.

White Paper

Corporate Arbitrage

We introduce the main corporate arbitrage strategies, make the case for a multi-strategy approach, and review the role of a corporate arbitrage allocation within a broader portfolio.

Journal Article

A Changing Stock-Bond Correlation

For the past two decades, the stock/bond correlation – a fundamental detriment of risk in traditional portfolios – has been consistently negative. However, this hasn’t always been the case, and a positive stock/bond correlation could reappear due to macroeconomic changes. In this article, we assess the broad implications this would have for investors and set out practical steps to prepare for such an outcome.

White Paper

Building a Better Commodities Portfolio

Interest in commodities is rising again, thanks to their tendency to be particularly strong diversifiers during periods of rising or volatile inflation. We review what a “best-in-class” commodity portfolio looks like by exploring three potential enhancements to a passive approach to the asset class.

White Paper

When Stock-Bond Diversification Fails

The events of 2020 to 2021 have increased uncertainty around the future path of inflation. We review how different inflationary outcomes can impact investor portfolios and evaluate what assets and strategies may enhance portfolio resilience to inflation.

Journal Article

Value and Interest Rates: Are Rates to Blame for Value’s Torments?

Some have blamed the interest rate environment for value stocks’ underperformance of growth stocks from 2017 to early 2020, as well as the stretch of lackluster performance for some value factors since Global Financial Crisis. We find the performance of value is not easily assessed based on the interest rate environment, and that factor timing strategies based on interest rate-related signals are likely to perform poorly.

White Paper

More Superstar Investors: Neil Woodford and Terry Smith

We examine the track records of two renowned U.K. fund managers: Neil Woodford and Terry Smith and find that a large part of their long-term success is due to patient exposure to well-rewarded factor premia.

White Paper

More Superstar Investors: Francisco Garcia Parames

We examine the track record of Spanish investor Francisco Garcia Parames, leading Portfolio Manager of Bestinver Asset Management, and find that a large part of his success is attributable to patient exposure to well-rewarded factor premia.

White Paper

Understanding Alternative Risk Premia

With its many potential benefits, including generally low-to-no correlation to a traditional 60/40 or hedge fund portfolio, we believe an ARP strategy may serve as a core alternative solution in investors’ portfolios.

Journal Article

Asset Allocation in a Low Yield Environment

In 2016, bond yields dropped to unprecedented low levels in major developed markets. Even in a low rate environment, we think it’s important to diversify across many return sources.