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White Paper
Portable Alpha: Why Now?
February 20, 2025
As stock market valuations continue to rise and expected returns correspondingly fall, many investors are hoping to rely more on alpha from active management to make up for a potential future return gap. Unfortunately, long-only active management has struggled during recent history. We review why portable alpha may be an attractive alternative solution in today’s market environment. We also discuss what aspects of a portable alpha solution are important for investors to consider when selecting between implementations.
White Paper
A New Paradigm in Active Equity
February 5, 2025
Equity market concentration and technological innovation are two hot topics for active equity investors today. We argue that a systematic approach is uniquely positioned to capitalize on these topics.
White Paper
Portable Alpha: Still A Great Solution For Improving Return Outcomes
July 30, 2024
In the face of lower-than-average expected returns for equities, some investors may be considering adding active management to their equity allocations. However, the evidence supporting active long-only equities has long been underwhelming. We review an alternative approach – portable alpha.
Journal Article
Levering Up to Do Good: Direct Long-Short Investing and Charitable Giving
April 23, 2024
We use historical strategy simulations to evaluate the advantages of donating appreciated stock in the context of tax-aware long-short factor strategies. We find long-short strategies exhibit several advantages over long-only investments.
Quick Takes
Top Three Investment Ideas to Consider for 2024
February 26, 2024
We highlight value, alternative trend strategies, and emerging market equities as top three investment ideas to consider for 2024.
Perspective
Why Not 100% Equities
February 12, 2024
Recently, a new paper has been making a big splash in our small pond of academic/quant investing. By “new,” I just mean “recently written,” as much of it ain’t new. In this piece, I offer a concise (relative to my norm) rebuttal, as this is well-trod ground.
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.
Journal Article
Beyond Direct Indexing: Dynamic Direct Long-Short Investing
May 3, 2023
On average, net losses realized by direct indexing loss-harvesting strategies taper off within the first few years after their inception, and these strategies also exhibit a high dispersion of net loss outcomes. We show that long-short strategies motivated by factor investing can significantly outperform direct indexing strategies from both a pre-tax and tax perspective.
Journal Article
International Diversification—Still Not Crazy after All These Years
May 3, 2023
International diversification has hurt US-based investors for over 30 years, but the long-run case for it remains relevant. We show that both financial theory and common sense favor international diversification, buttressed by empirical supportive evidence. Additionally we show it would be dangerous to extrapolate the post-1990 outperformance of US equities.