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Tax Matters

A 3-for-1 Solution for Concentrated Stock

Long/short tax-aware factor strategies may provide the means to offset gains resulting from a transition from a concentrated stock to a diversified portfolio.

Data Set

Commodities for the Long Run: Index Level Data, Monthly

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.

Data Set

Time Series Momentum: Factors, Monthly

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.

Quick Takes

Top Three Investment Ideas to Consider for 2024

We highlight value, alternative trend strategies, and emerging market equities as top three investment ideas to consider for 2024.

White Paper

Is Your Equity Hedge Fund Portfolio Resilient Enough for Uncertain Times?

We analyze the historical macroeconomic sensitivity of traditional asset classes and major hedge fund strategies. We show that the average hedge fund is unlikely to provide meaningful diversification during periods of macro uncertainty, which are also typically difficult for traditional assets. However, long/short low-risk strategies have tended to exhibit low macro sensitivity.

White Paper

A Fresh Look at Multi-Strategy Alternatives

In this short piece, we review the case for multi-strategy alternatives, explaining why liquid, diversifying alternative strategies may have a decisive role to play in the tougher investment environment ahead.

Alternative Thinking

2024 Capital Market Assumptions for Major Asset Classes

We update our estimates of medium-term (5- to 10-year) expected returns for major asset classes. We also include a section on estimating expected returns and risk for private credit, as well as a feature on the key decisions that underpin any capital market assumptions framework.

Quick Takes

Alternative Trend Following in Tough Times

In our latest Quick Take, we make the case for trend following in alternative markets and show how alternative trend following can complement a private assets allocation.

Key Design Choices in Long/Short Equity

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.

White Paper

Driving with the Rear-View Mirror

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.