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Alternative Thinking
Strategic Portfolio Construction
2Q 2015
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.
Trade Publication
The Alpha in Portfolio Construction
January 1, 2013
We believe that portfolio construction, risk management and cost control are the “low-hanging fruit” of managing a long-term portfolio.
White Paper
Portfolio Construction Matters: A Simple Example Using Value and Momentum Themes
November 1, 2017
We compare two portfolio construction approaches, “mix” and “integrate,” and examine some examples to demonstrate how their differences may have important implications for practice.
Journal Article
Long-Only Style Investing: Don't Just Mix, Integrate
June 30, 2016
We contrast two common approaches to long-only style investing: the “portfolio mix” and the “integrated portfolio.” Our results suggest that long-only factor or smart beta investors should consider integrating styles in portfolio construction.
Journal Article
A Note on REIT Bankruptcy and Intra-Industry Information Transfers: An Empirical Analysis
December 1, 1991
In this article, we review the capital markets’ response to the bankruptcy of Residential Resources (Res Res), a Real Estate Investment Trust (REIT), less than a year after its initial public offering in 1988. We find a significant event day value decline for a broad portfolio of REITs.
White Paper
Measuring Factor Exposures: Uses and Abuses
July 15, 2017
A growing number of investors have come to view their portfolios (especially equity portfolios) as a collection of exposures to risk factors.
Journal Article
An Alternative Option to Portfolio Rebalancing
March 5, 2018
We explore how investors can use an implementable option selling overlay to improve portfolio rebalancing.
Alternative Thinking
Responsible Asset Selection: ESG in Portfolio Decisions
December 3, 2019
We discuss how Environmental, Social, and Governance (ESG) considerations may be incorporated in a portfolio and how they may affect risk and return outcomes.