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Journal Article
Embracing Downside Risk
January 15, 2017
This paper shows that downside risk tends to be the main source of long-run returns in equities and other asset classes, and argues that long-term investors may be better off embracing downside risk in certain cases.
Journal Article
Working Your Tail Off: Active Strategies vs. Direct Hedging
June 1, 2015
Economic theory and empirical evidence support the idea that investors should, over the long term, be compensated for bearing risk.
White Paper
Chasing Your Own Tail (Risk)
July 1, 2011
The financial crisis of 2008 made investors painfully aware of tail risk. We present several approaches, when used in combination, may be effective in reducing tail risk.
White Paper
Building a Better Equity Market Neutral Strategy
April 10, 2015
Equity Market Neutral (EMN) is a well-established strategy designed to seek positive performance without exposing investors to the risk of the overall equity market. We explain how systematic EMN works to potentially improve diversification and returns.
White Paper
Building a Better Core Equity Portfolio
May 1, 2013
We believe that style-based investing represents a better approach to traditional active equity portfolio management, by focusing on sources of excess returns that may be more pervasive and persistent. These factors include value, momentum and profitability.
Journal Article
Superstar Investors
December 6, 2016
Many famous investors are outspoken about their investment philosophies and use them selectively. We seek to apply their wisdom systematically to determine whether their philosophies, if applied broadly, might still generate “alpha.”
Trade Publication
Style Investing: The Long and the Long/Short of It
January 2, 2014
Many investors agree that applying systematic tilts away from a passive, capitalization-weighted portfolio is a good idea; fewer agree on how best to capture these style-based returns.
DC Solutions Series: Defensive Equity, Part 1
June 1, 2016
In part one of this two-part series, we focus on the intuition behind defensive equity and present evidence for its efficacy as part of an effective defined contribution retirement plan.
White Paper
Chasing Your Own Tail (Risk), Revisited
November 19, 2019
As investors turn to addressing the risk of a severely declining market, we summarize five approaches to building a more resilient portfolio.
DC Solutions Series: Defensive Equity, Part 2
February 15, 2017
In part two of this two-part series, we focus on the implementation of a defensive equity strategy within the context of a DC retirement plan.