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Perspective
Virtue is its Own Reward: Or, One Man’s Ceiling is Another Man’s Floor
May 18, 2017
We examine negative screening in Environmental/Social/Governance (ESG) investing, often promoted as virtuous because it avoids “sin stocks” and other assets deemed undesireable. But does it also enhance expected returns?
White Paper
Assessing Risk through Environmental, Social and Governance Exposures
February 24, 2017
ESG investing may have a role in portfolios that extends beyond ethical considerations, particularly for investors interested in tilting toward safer stocks, and in a way that complements what is captured by traditional statistical risk models.
Bibliography
Value Investing Bibliography
June 4, 2014
We have compiled a list of books, journal articles and working papers that were helpful in developing our research around value strategies.
White Paper
Systematic Credit Investing
November 18, 2016
This paper aims to increase familiarity of the credit asset class and provide an overview of our approach to systematic credit investing. We introduce credit instruments and outline a framework for understanding sources of credit excess returns.
Journal Article
Investing with Style
January 2, 2015
Investors are bombarded with a variety of investment strategies and alternatives from an ever-growing and increasingly complex financial industry, each claiming to improve returns and reduce risk.
Journal Article
Fact, Fiction and Value Investing
November 5, 2015
Value investing has been a part of the investment lexicon for at least the better part of a century, yet confusion about it remains.
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.
Journal Article
Fact, Fiction and Momentum Investing
September 23, 2014
Momentum is the phenomenon that securities that have performed well relative to peers (winners) on average continue to outperform, and securities that have performed relatively poorly (losers) tend to continue to underperform.
White Paper
Market Neutral Investing
August 5, 1998
Hedge fund fees may be fair for a fund that is truly market-neutral. However, paying typical hedge fund fees for a strategy that is not market-neutral is dubious as passive market exposure is available far cheaper than at hedge fund prices.