Global Macro
Fundamental Trends and Dislocated Markets: An Integrated Approach to Global Macro Investing
April 16, 2019
We explore the benefits of combining two approaches to Global Macro investing – one systematic and the other opportunistic – into a single integrated strategy.
Tax Aware
Understanding the Tax Efficiency of Relaxed-Constraint Equity Strategies
April 5, 2019
A guide to tax-aware relaxed constraint strategies that also tries to enlighten investors on the nuances around tax benefits by comparing different tax-aware strategies with an equity beta of one.
Alternative Investing
Demystifying Illiquid Assets: Expected Returns for Private Real Estate
January 31, 2019
We try to demystify the risk and return of private real estate, considering theoretical arguments, historical average returns, and forward-looking yield-based analysis.
Alternative Investing
Demystifying Illiquid Assets: Expected Returns for Private Equity
January 31, 2019
We lay out a framework for expected returns for private equity that is based on a discounted cashflow framework similar to what we use for public stocks and bonds.
Alternative Investing
Trend Following in Focus
September 19, 2018
We use live data of trend-focused managers starting in 2000 via the SG Trend Index to contextualize recent performance and to re-affirm the merits of the strategy.
Portfolio Construction
Transactions Costs: Practical Application
September 17, 2018
We offer guidance on understanding transactions costs, including a discussion of the practical aspects of measuring them and the pitfalls one might face when trying to compare costs across managers.
Volatility
Understanding the Volatility Risk Premium
May 11, 2018
The volatility risk premium (VRP) represents the compensation that investors earn for providing protection against market losses. We explain the reasons why it may exist and explore its historical performance with a simple option-selling strategy.
Tax Aware
Style Investing and Tax Efficiency: Building a More Tax Efficient Global Equity Portfolio for Australian Investors
May 1, 2018
We evaluate the performance of long-only style-based equity strategies after accounting for taxes. We and find that style investing can be efficiently implemented in a tax-aware manner for Australian investors.
Alternative Investing
Understanding Alternative Risk Premia
March 13, 2018
With its many potential benefits, including generally low-to-no correlation to a traditional 60/40 or hedge fund portfolio, we believe an ARP strategy may serve as a core alternative solution in investors’ portfolios.
Risk Parity
Not Risk Parity Funds
February 7, 2018
The source of the recent market disruption may not be fully understood yet, but we can reveal what it wasn’t.