Our original research that has been published in peer-reviewed academic and practitioner journals.
This article describes an analytical tool developed at the Bank of Canada, a portfolio-management model developed to help policy-makers manage Canada’s foreign reserves.
We find that gender does not seem to negatively affect female analysts’ career outcomes as defined by their “star” rankings and job mobility among brokerage firms.
An explanation of how the returns of Managed Futures funds and CTAs can be explained by time series momentum strategies.
This paper provides a quantitative risk analysis of leveraged ETFs (LETFs) with a focus on the impact of leverage and investment horizon.
Why the Norway model has become a coherent and compelling alternative to the Yale model for endowment investment.
We outline a model to assess the relative usefulness of accounting and equity market based information to explain corporate credit spreads.
Selling insurance and selling lottery tickets have delivered positive long-run rewards in a wide range of investment contexts. Conversely, buying financial catastrophe insurance and holding speculative lottery-like investments have delivered poor long-run rewards. Thus, bearing small risks is often well rewarded, bearing large risks not.
Modifying asset allocation according to a market risk barometer offers investors the promising opportunity to meaningfully enhance portfolio performance across market environments.
Sell-side analysts hired as independent directors are more optimistic than average. Post-appointment data suggests firms deliberately seek management-friendly board members.
A portfolio strategy that focuses solely on “opportunistic” traders yields value-weighted abnormal returns of 82 basis points per month, while abnormal returns associated with routine traders are essentially zero.