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White Paper

Portable Beta?

We believe investors are not optimally diversified across betas. We suggest greater exposure to low-volatility betas (such as fixed income risk premia) and levering this optimal combination of betas to the desired risk level.

White Paper

It's Alpha to You

Many investors think of alpha as excess returns from active management accessed through manager skill in security selection. We discuss a different, more systematic method of increasing expected returns.

Alternative Thinking

Why Do Most Investors Choose Concentration Over Leverage?

Return-seeking investors must take risks—the question is which to take and to understand the tradeoffs involved. Most investors choose concentration risk, but we present arguments for a different approach.

Bibliography

Momentum Bibliography

We have compiled a list of books, journal articles and working papers that were helpful in developing our research around momentum strategies.

Bibliography

Style Bibliography

We have compiled a list of books, journal articles and working papers that were helpful in developing our research around style investing.

Bibliography

Defensive Equity Bibliography

We have compiled a list of books, journal articles and working papers that were helpful in developing our research around defensive equity investing.

Alternative Thinking

Active and Passive Investing — The Long-Run Evidence

More careful thinking is needed to separate facts from fiction in the hotly contested debate between active and passive investing.