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White Paper
Active Extension
November 24, 2025
This paper explores how Active Extension (AE)—a long-short framework—may enhance portfolio performance. By allowing skilled managers to short unattractive stocks and overweight more attractive ones, AE offers a liquid, capital-efficient path to improved active returns and long-term wealth outcomes.
White Paper
Equity Market Focus: Subjective Expected Returns
August 21, 2025
Part 7: While objective expectations are typically inferred from market prices or yields, subjective expectations are best inferred from survey data. This paper highlights interesting differences across investor groups in their tendency to overextrapolate or to be overoptimistic.
White Paper
Equity Market Focus: Objective Expected Returns
July 31, 2025
Part 6: This paper reviews the strengths and weaknesses of using valuation-based metrics like CAPE and CAEY to estimate long-run equity market returns. While these models remain the most robust objective tools available, their predictive power is nuanced and often overstated.
White Paper
Equity Market Focus: Interrogating the Historical Data
July 10, 2025
Part 5: We discuss how historical average returns can be useful estimates of future expected returns (only) if expected returns are constant and the sample is unbiased.
Perspective
(So) What If You Miss the Market’s N Best Days?
June 5, 2025
This post revisits and refutes a long-standing argument against market timing—that missing just a few of the market’s best days can devastate returns—by demonstrating its logical flaws and statistical irrelevance. Using both historical and out-of-sample data, it shows that the risks and rewards of market timing are more symmetric than commonly portrayed.
White Paper
Why Are Bond Investors Contrarian While Equity Investors Extrapolate?
May 27, 2025
Part 3: This article explores the contrast in how investors form long-run expectations in equity and bond markets. It also examines very long run trends in financial market variables and potential implications for the future.
White Paper
Go Small or Go Home
May 6, 2025
This article explores why small caps, especially in the international and emerging regions, present a compelling investment opportunity driven by the potential for higher expected market returns, attractive earnings growth, strong diversification benefits, and rich alpha opportunities.
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.
Quick Takes
Exploring Portable Alpha
September 23, 2024
Long-only active management has been challenging. Portable alpha provides investors with more ways to incorporate alpha into their equity exposure.