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Perspective

Response to Thomas Hoenig’s “Why ‘Risk-Based’ Capital Is Far Too Risky”

My colleagues have written a response to Thomas Hoenig's recent WSJ op-ed "Why 'Risk-Based' Capital Is Far Too Risky." Hoenig's recommended approach to managing leverage risk using a "simple" notional leverage limit reminds us of Einstein's famous purported comment to make things as simple as possible, but not simpler. The authors believe that Hoenig's approach fails to meet the Einstein test.

Trade Publication

Taking Control of Your Risk Allocation

Investors who choose risk parity are able to more fully realize the benefits of that strategy by targeting diversification and consistent total portfolio risk at each point in time.

Journal Article

Risk-Based Dynamic Asset Allocation With Extreme Tails and Correlations

Portfolio management is moving toward a more flexible approach capable of capturing dynamics in risk and return expectations across an array of asset classes.

Journal Article

Understanding Expected Returns

Investors tend to think of expected returns as a function of asset class risk, but this thinking may have led them to take on too much equity risk.

Journal Article

Which Risks Have Been Best Rewarded?

An empirical study examines the consistency of rewards for bearing various types of risks in U.S.

Journal Article

A Historical Perspective on Time-Varying Expected Returns

Investors naturally think about the expected returns of bonds based on their market yields, thus assuming time-varying expected returns.

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.

Journal Article

Deactivating Active Share

The authors investigate Active Share, a measure meant to determine the level of active management in investment portfolios, and find it wanting.

Journal Article

The Past and Future of Quantitative Asset Management

The defining element in quant management is diversification.

Journal Article

Multi-Period After-Tax Reporting: A Practical Solution

We propose an after-tax performance report aimed at enhancing wealth preservation and accumulation for taxable investors.