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Journal Article
Which Risks Have Been Best Rewarded?
December 1, 2004
An empirical study examines the consistency of rewards for bearing various types of risks in U.S.
Journal Article
Working Your Tail Off: Active Strategies vs. Direct Hedging
June 1, 2015
Economic theory and empirical evidence support the idea that investors should, over the long term, be compensated for bearing risk.
Journal Article
The Past and Future of Quantitative Asset Management
January 1, 2008
The defining element in quant management is diversification.
Trade Publication
Taking Control of Your Risk Allocation
June 3, 2015
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
Understanding Expected Returns
January 1, 2012
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
Efficiently Inefficient Markets for Assets and Asset Management
September 21, 2015
We consider a model where investors can invest directly or search for an asset manager, information about assets is costly. If investors can find managers more easily, more money is allocated to active management, fees are lower, and asset prices are more efficient.
Podcast
Taking Stock of Stock Myths
September 19, 2018
There is risk in every investment. This episode delves into three specific kinds of equity risks that tend to weigh on investors: home bias, market timing and inflation.
Working Paper
Measuring the Risk-Return Trade-Off With Time-Varying Conditional Covariances
January 5, 2015
We explore strategies for estimating the price of risks in Merton’s intertemporal capital asset pricing model (ICAPM). Prior literature finds insignificant estimates of the risk-return tradeoff when using only the market return—but we find otherwise.
Working Paper
Is Bigger Better? Size and Performance in Pension Plan Management
June 1, 2011
Using a proprietary dataset, we examine the relationship between size and performance of asset management within defined benefit pension plans. We find a larger plan size is associated with better performance of the entire pension plan portfolio.
Working Paper
Liquidity and Risk Management
February 1, 2007
This paper provides a model of the interaction between risk-management practices and market liquidity. We find that a feedback effect can arise: Tighter risk management leads to market illiquidity, which then further tightens risk management.