Journal Articles

Our original research that has been published in peer-reviewed academic and practitioner journals.

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  1. Defined contribution (DC) plans have, to this point, delivered uneven and sometimes inadequate results. We believe that DC sponsors can do much better in the future by maintaining the many important advantages of DC plans while simultaneously employing the best features of defined benefit (DB) plans.

  2. This paper shows that downside risk tends to be the main source of long-run returns in equities and other asset classes, and argues that long-term investors are better off embracing downside risk.

  3. Using data spanning 80 years in the U.S. and nearly 20 years in Europe, the authors find what they characterize as strong evidence of credit risk premium.

  4. An implementable dynamic momentum strategy based on forecasts of each momentum strategy’s mean and variance generates an unconditional Sharpe ratio approximately double that of the static momentum strategy.

  5. DC savings analyses typically anchor on long-term stock and bond returns when estimating retirement income. We make the case that these historical returns may not be achievable in the future, and quantify the impact this could have on savers’ retirement income replacement ratios (RR). We find that required savings rates nearly double when return prospects are reduced by ~2% to be more in line with current yields.

  6. As life-cycle funds grow, the authors argue that they should use modern investment techniques from the institutional investing toolkit.

  7. Equity index collars are not, as conventional wisdom has it, a cost-free way to trade some potential gains for insurance against large losses, the authors of this paper contend; the collars themselves have costs beyond the prices of puts and calls used to implement them.

  8. Catastrophe-bond risk is uncorrelated with U.S. stock or bond performance, but cat bond returns are in line with the historical equity risk premium.

  9. It seems that now everyone wants to time factors, but this tempting siren song should be resisted.

  10. The authors seek best way to identify a price trend, and to compare different trend-identifying methods currently used by managed-futures investors.