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Alternative Thinking

The Role of Alternative Beta Premia

Alternative beta premia—dynamic long-short strategies—offer effective diversified sources of return. To us, the most useful classifications are hedge fund strategy premia and style premia, two complementary approaches

Alternative Thinking

Active and Passive Investing — The Long-Run Evidence

More careful thinking is needed to separate facts from fiction in the hotly contested debate between active and passive investing.

Journal Article

Superstar Investors

Many famous investors are outspoken about their investment philosophies and use them selectively. We seek to apply their wisdom systematically to determine whether their philosophies, if applied broadly, might still generate “alpha.”

Alternative Thinking

Challenges of Incorporating Tactical Views

Tactical timing is inherently more difficult than it seems. We explore which types of tactical views may be worth taking.

Journal Article

Common Factors in Corporate Bond and Bond Fund Returns

This paper undertakes a comprehensive analysis of cross-sectional determinants of corporate bond excess returns. We find strong evidence of positive risk-adjusted returns to measures of carry, defensive, momentum and value.

Journal Article

Overinvestment of Free Cash Flow

This paper focuses on using accounting information to better explain the relationship between free cash flow and overinvestment.

Alternative Thinking

Mapping Investable Return Sources to Macro Environments

We explore the empirical relationships between investable strategies (asset classes and style premia) and macroeconomic environments. We find that style premia have meaningfully less macro exposure than do asset classes

Journal Article

Parallels Between the Cross-Sectional Predictability of Stock and Country Returns

Firm characteristics such as book-to-market ratio, market equity and one-year past return help explain the cross-section of average returns on U.S.

Alternative Thinking

Systematic vs. Discretionary

Systematic and fundamental investing approaches are not opposites. Both pursue the same objective and can be fundamentally-oriented. They can use similar inputs, but in different ways, to try to improve investment performance. Neither is necessarily better than the other.

Journal Article

Craftsmanship Alpha: An Application to Style Investing

What may seem like inconsequential design decisions can actually matter a lot for style portfolios. In fact, the skillful targeting and capturing of style premia may constitute a form of alpha on its own—one we refer to as “craftsmanship alpha.”