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Alternative Thinking
The Role of Alternative Beta Premia
3Q 2012
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
Journal Article
Superstar Investors
December 6, 2016
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
Style Premia / Bond Returns
3Q 2013
We review how style premia have historically generated attractive long-run returns in virtually every place we have studied them, and may help reduce risk through better diversification. We then look at fixed income returns in different environments
Alternative Thinking
Style Investing in Fixed Income
3Q 2016
Systematic investing is often applied in equity markets but less so in fixed income. Here, we show that classic-style premia—typically applied in stock selection and equity country allocation—could have also work in fixed income markets.
Trade Publication
We're Not Dead Yet
November 12, 2008
Some argue that quantitative investing techniques cannot work in the uncharted waters of the current market environment.
Trade Publication
Style Investing: The Long and the Long/Short of It
January 2, 2014
Many investors agree that applying systematic tilts away from a passive, capitalization-weighted portfolio is a good idea; fewer agree on how best to capture these style-based returns.
Trade Publication
Alpha Transfer in a Hedge Fund World
January 1, 2002
In theory, portable alpha is a good idea.
Trade Publication
Measuring Portfolio Factor Exposures: A Practical Guide
March 2, 2016
Regression analysis can help investors better understand the risk factors present in their portfolios, which has multiple benefits.
Trade Publication
How Can a Strategy Still Work If Everyone Knows About It?
October 15, 2015
Some people assert that once a strategy is “discovered” it can’t work anymore. Others, often implicitly, assume the future will look as wonderful as the past.
Trade Publication
The Value of Fundamental Indexing
October 16, 2006
Proponents of “fundamental indexes” claim that an investment-management revolution is afoot.