White papers and commentaries explaining our investment strategies.
We identify two shortcomings in most TDFs: excess equity concentration and risk management that does not adjust for market conditions.
In this briefing for Financial Advisors, we discuss how it is easier and more reliable to forecast risk (volatility) than it is to forecast returns.
Four investment strategies — Value, Momentum, Carry and Defensive — have delivered positive long-term returns with low correlation across a multitude of asset classes, markets, and time periods. We discuss the intuition and evidence for “style investing,” and describe a strategy to capture these premia through liquid securities.
The current Shiller P/E level suggests that average annual real stock market returns over the next decade will not exceed 1%.
Cost-effective, proactive tail hedging strategies, together with drawdown control rules, can offer valuable downside protection for portfolios when most needed.
We present two ways to look at liquid alternatives and ideas for combining them into a portfolio.
Investors can make potentially significant improvements in their commodity portfolios by incorporating risk balancing, risk control, and tactical tilts
An updated paper that finds what once appeared to be unique "alpha" becomes "beta" as strategies become better-understood. This applies directly to hedge funds.
The rationale, economic intuition, and evidence for a defensive approach to equity investing, and potential roles for portfolios.
We consider one of the most significant tradeoffs investors face: leverage versus concentration.