White papers and commentaries explaining our investment strategies.
Implications of QE2 for inflation, TIPS, and institutional investor portfolios.
This paper provides an introduction to managed futures, an alternative investment strategy that has historically achieved strong performance in both up and down markets and exhibited low correlation to traditional investments. The paper discusses the economic intuition behind the strategy and illustrates how it performs across various market environments.
Thoughts on the proper allocation to emerging market equities, evidence for active vs. passive management and inflation hedging potential.
This paper provides an introduction to a risk parity strategy, which is an asset allocation strategy that seeks to diversify portfolios by risk, rather than by capital. This paper describes a Simple Risk Parity Strategy and illustrates its consistent outperformance over a traditional portfolio over nearly 40 years of historical data.
Empirical evidence for inflation-hedging potential of various traditional and real assets, encompassing both rising inflation regimes and inflation surprises.
Summary of major risk-based and non-risk-based (behavioral) explanations for price momentum.
We outline some of the main issues surrounding the inflation debate, and seek to clarify some of the major misconceptions about inflation and inflation-linked assets.
An explanation of major arbitrage strategies, and their potential roles in a diversified portfolio.
We describe “portfolio alpha” that is free from the challenges (and costs) of identifying active managers who can deliver persistent outperformance.
Financing concerns limit arbitrage in a liquidity crisis, but also offer extraordinary opportunistic returns to potential liquidity providers.