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Working Paper

Measuring Systemic Risk

We present a simple model of systemic risk and show how each financial institution’s contribution to systemic risk can be measured and priced—its propensity to be undercapitalized when the system as a whole is undercapitalized, which increases in its leverage, volatility, correlation, and tail-dependence.

Journal Article

A Framework for Identifying Accounting Characteristics for Asset Pricing Models, with an Evaluation of Book-to-Price

We provide a framework for identifying accounting numbers that indicate risk and expected return.

Working Paper

Embedded Leverage

Embedded leverage—the amount of market exposure per unit of committed capital—has become an important feature of financial instruments. We study embedded leverage in equity options, index options and ETFs, and how it affects the required returns.

Working Paper

The August of Our Discontent

The summer of 2007 caused some turmoil in the world of quantitative investing, leading to questions about quant investing in general and specific questions about what happened in July and August. We've tried to answer some of those questions here.

Journal Article

How Index Trading Increases Market Vulnerability

Passively managed index funds and exchange-traded funds (ETFs) have experienced accelerating growth in recent decades.

White Paper

Trend Following and Rising Rates

Can trend followers benefit from the impact of rising yields on asset class returns? We explore a simple trend-following strategy during rising rates and find that the strategy may benefit investors when markets experience gradual, persistent changes

White Paper

New QE Not Just Another QE

We examine the Fed’s stance on quantitative easing and inflation during periods of both market turmoil (including the fall of 2008) and relative calm, as well as the motivation behind key decisions that were made.

White Paper

Diversification Revisited

Many investors argue that diversification failed them during the market turmoil of 2007 and 2008. We challenge that line of thinking by examining the performance of different asset allocations through that market downturn.

Book

Scorecasting: The Hidden Influences Behind How Sports Are Played and Games Are Won

Tobias Moskowitz teams up with Sports Illustrated writer L. Jon Wertheim, to overturn some of the most cherished truisms of sports. They reveal the hidden forces that shape how basketball, baseball, football, and hockey games are played, won and lost.

Journal Article

Still Not Cheap: Portfolio Protection in Calm Markets

This paper investigates the relationship between option richness and volatility across 10 global equity indices.