Journal Articles

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

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  1. Our results indicate that the high returns related to low-volatility portfolios are not compensation for systematic factor risk but are more likely due to market mispricing.

  2. This article, coauthored by asset-liability-management pioneer Marty Leibowitz of Morgan Stanley and Antti Ilmanen of AQR Capital Management, analyses the many challenges U.S. corporate sponsors face when making decisions about their defined benefit (DB) pension plans.

  3. This paper presents a novel performance attribution methodology, which deconstructs the equity index covered-call strategy into three identified exposures, in order to measure each’s contribution to the covered call’s return.

  4. The authors analyze institutional investors’ net-of-cost returns to active relative to passive management across equity markets that vary in their levels of efficiency.

  5. This article focuses on the habits that may hinder long-term investment performance: multiyear return chasing, under-diversification and comfort seeking. It also offers suggestions for mitigating some of these pitfalls in moving toward seeking improved investment outcomes.

  6. This paper investigates the relationship between option richness and volatility across 10 global equity indices. The conclusion: Option prices may be low, but their expected values tend to be even lower.

  7. Using data on the private-equity (PE) investments of defined-benefit pension plans, the authors find that investors with substantial PE holdings outperform investors with smaller PE holdings.

  8. We provide evidence that both extends and contrasts with existing research on low-risk investing.

  9. This study compares two basic approaches for hedging the equity tails of a U.S. 60/40 portfolio: one that uses options markets and another that alters the starting portfolio.

  10. This paper investigates the empirical performance of widely used versions of simulated method of moments (SMM), a computationally tractable method for estimating complex structural models.