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Journal Article

The Future of Life-Cycle Saving and Investing

Life-cycle finance is the branch of finance that affects everyone.

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.

Alternative Thinking

Why Do Most Investors Choose Concentration Over Leverage?

Return-seeking investors must take risks—the question is which to take and to understand the tradeoffs involved. Most investors choose concentration risk, but we present arguments for a different approach.

Alternative Thinking

Tail-Hedging Strategies

Tail hedges are one way to potentially limit losses in adverse markets—but at a substantial cost. We discuss alternative approaches, such as trend-following strategies, which are more cost-effective and may offer portfolio protection in market downdrafts

Alternative Thinking

Estimating Long Term Expected Returns

Diversification is underutilized in most institutional portfolios but may improve risk-adjusted returns, active returns and total returns more reliably than concentrated positions.

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.”

Alternative Thinking

Strategic Portfolio Construction

When it comes to portfolio construction, many investors seek guidance on “putting it all together.” We discuss our systematic approach and examine how investor-specific beliefs and constraints can inform and interact with formal optimization methods.

Alternative Thinking

Should Investors Worry About Rising Real Yields?

We document the response of various asset classes and strategies in historical episodes of sharply rising real bond yields—and found that investor portfolios tend to suffer less in bond-related tail events than in equity-related tail events.

Trade Publication

Measuring Portfolio Factor Exposures: A Practical Guide

Regression analysis can help investors better understand the risk factors present in their portfolios, which has multiple benefits.

Trade Publication

The Alpha in Portfolio Construction

We believe that portfolio construction, risk management and cost control are the “low-hanging fruit” of managing a long-term portfolio.