- Filter By
-
Topic (${ Topics.length })
-
-
Type (${ ContentTypes.length })
-
Contributor (${ Contributors.length })
- Relevance
- Newest
- Oldest
White Paper
Driving with the Rear-View Mirror
December 5, 2023
U.S. equities enjoyed a banner past decade. To analyze what assumptions investors need to have about the next ten years to expect a repeat performance, we decompose U.S. equity market excess-of-cash returns into four components – dividend yield, real earnings growth, multiple expansion, and the real return on cash.
Key Design Choices in Long/Short Equity
December 5, 2023
Investors are looking for resilient sources of return in the face of mounting headwinds for equity markets. Long/short and market-neutral equity strategies deserve consideration. We review the case for allocating to long/short equity and address several key choices faced by investors and by managers.
Data Set
Time Series Momentum: Factors, Monthly
October 31, 2023
We have updated and extended our data set for “Time Series Momentum" (Moskowitz, Ooi and Pedersen, 2012), in which we document an asset-pricing anomaly that is consistent across different asset classes and markets. We update the returns monthly.
Tax Matters
Looking Under the Hood of Long/Short Tax-Aware Strategies
October 27, 2023
Our recent paper discusses gain deferral and the benefits of tax-aware long/short equity factor strategies. It also suggests that when it comes to a diversified long/short equity factor strategy, the difference between a portfolio that cares about taxes and one that doesn’t may be smaller than you think.
Working Paper
Loss Harvesting or Gain Deferral? A Surprising Source of Tax Benefits of Tax-Aware Long-Short Strategies
September 26, 2023
We explore the mechanism for how tax-aware long-short factor strategies, within their first three years since inception, can realize cumulative net capital losses exceeding 100% of initially invested capital, all while generating a significant pre-tax alpha – a result shown in previous research. Surprisingly, we find in these strategies that net capital losses arise not from an increased realization of capital losses but rather from the deferral of capital gains, especially short-term gains on long positions.
Data Set
Commodities for the Long Run: Index Level Data, Monthly
August 31, 2023
We have updated the data set for the paper “Commodities for the Long Run”, in which we analyze a novel data set of commodity futures prices going back to 1877, allowing us to show that returns of commodity futures indices have, on average, been positive over the long run. We update the data monthly.
White Paper
Rethinking DC Portfolio Diversification
August 25, 2023
We make the case for an allocation to liquid alternatives as a viable and versatile complement to existing DC portfolios.
Quick Takes
What to Expect from Your Diversifier
June 16, 2023
This Quick Take on diversifying alternatives tackles the question of what investors should expect from their diversifiers. In other words, how should something that’s supposed to behave differently than traditional asset classes actually behave?
Alternative Thinking
Key Design Choices When Building a Risk-Mitigating Portfolio
June 12, 2023
After 2022 showed the downside of traditional portfolios’ reliance on equity risk, many investors have recently begun to reconsider the role of risk-mitigating portfolios within their broader asset allocations. We show why we believe trend following deserves a prominent place in any serious risk-mitigation portfolio.
White Paper
Corporate Arbitrage
May 18, 2023
We introduce the main corporate arbitrage strategies, make the case for a multi-strategy approach, and review the role of a corporate arbitrage allocation within a broader portfolio.