Showing 1 - 10 of 804 results for 'Portfolio Risk and Performance'

Trade Publication

Where the Wild Things Aren't: Using Derivatives and Leverage to Improve Portfolio Performance

In the current world of modest risk premia, investors face a choice to limit their investment options, or diversify and build more stable portfolios.

White Paper

Portfolio Rebalancing, Part 1: Strategic Asset Allocation

We discuss the main considerations when designing a rebalancing process, and use a simple empirical analysis to demonstrate the drivers of relative performance over four decades.

Working Paper

Liquidity and Risk Management

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.

White Paper

Understanding Risk Parity

This paper describes a simple risk parity strategy and compares its performance to the typical 60/40 portfolio over nearly 40 years of historical data.

Journal Article

Accruals and Future Performance: Can It Be Attributed to Risk?

We decompose broad based measures of accruals into firm specific and related firm components.

Working Paper

Is Bigger Better? Size and Performance in Pension Plan Management

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.

Journal Article

Leverage Aversion and Risk Parity

In recent years, a new approach to asset allocation called risk parity (RP) has been gaining in popularity among practitioners.

Journal Article

Sell-Side Analysts and Gender: A Comparison of Performance, Behavior, and Career Outcomes

Sell-side analysts are prominent figures in the investment arena.

Working Paper

Risk Everywhere: Modeling and Managing Volatility

This paper finds similarities in realized volatility patterns across assets and asset classes, based on a high-frequency dataset for more than 50 commodities, currencies, equity indices and fixed income instruments spanning more than two decades.

White Paper

Portfolio Construction Matters: A Simple Example Using Value and Momentum Themes

We compare two portfolio construction approaches, “mix” and “integrate,” and examine some examples to demonstrate how their differences may have important implications for practice.