Our original research that has been published in peer-reviewed academic and practitioner journals.
What may seem like inconsequential design decisions matter a lot for style portfolios. This paper shows how skillful targeting and capturing of style premia may constitute a form of alpha on its own — referred to as “craftsmanship alpha.”
We find that carry predicts returns both in the cross section and time series for a variety of different asset classes.
We contrast two common approaches to long-only style investing: the “portfolio mix” and the “integrated portfolio.”
We seek to establish whether the strong performance of trend-following is a statistical fluke of the last few decades or a more robust phenomenon that exists over a wide range of economic conditions.
Successful market timing is a tantalizing holy grail for investors, especially when there seems to be persuasive evidence that simple valuation measures can predict subsequent market performance.
Market exposure has historically rewarded long-term investors, but market risk is only one exposure among several that can potentially deliver robust long-term returns.
In this paper, the authors find that despite their recent popularity the most common factors or styles, namely the value, momentum and defensive styles, are not, in general, markedly over-valued as measured by their value spreads.
Investors naturally think about the expected returns of bonds based on their market yields, thus assuming time-varying expected returns. Yet when it comes to equities, investors and academics have traditionally assumed constant expected returns and have estimated prospective returns based on long-run historical realized returns.
In July 2016, Antti Ilmanen spoke with members of the Journal of Investment Consulting Editorial Advisory Board about the advantages of making the equity portion of most investor portfolios less dominant, particularly in today’s environment of low expected returns.
This paper examines whether local stocks hedge local investors against increases in the cost of the local consumption basket.