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Trade Publication
Smart Beta: Not New, Not Beta, Still Awesome
September 10, 2014
Though some confusion continues regarding the subject, the term “smart beta” (including “Fundamental Indexing”) is just a new way to describe some well-known and well-tested investment ideas.
Trade Publication
Alpha Transfer in a Hedge Fund World
January 1, 2002
In theory, portable alpha is a good idea.
Working Paper
Global Return Variation
January 1, 1995
This paper presents evidence on the efficiency of global equity markets. Starting from the knowledge that markets are imperfectly efficient, our analysis seeks to determine to what degree the markets are inefficient.
Working Paper
Stock Returns, Inflation and the Volatility of Growth in the Money Supply
March 1, 1995
A large body of work documents a negative relation between expected nominal stock returns and expected inflation in the U.S. and other developed countries. We think the volatility of expected growth in the money supply is a determinant of this relation.
Journal Article
The Great Divide
January 1, 2014
The Nobel committee recently recognized work on the Efficient Market Hypothesis with a dramatic splitting of the prize between EMH pioneer Eugene Fama and EMH critic Robert Shiller.
Journal Article
Parallels Between the Cross-Sectional Predictability of Stock and Country Returns
January 1, 1997
Firm characteristics such as book-to-market ratio, market equity and one-year past return help explain the cross-section of average returns on U.S.
Journal Article
Style Timing: Value vs. Growth
January 1, 2000
A large body of academic and industry research supports the efficacy of value strategies for choosing individual stocks.
Journal Article
Balancing on the Life Cycle: Target Date Funds Need Better Diversification
July 1, 2016
Traditional life-cycle strategies have some serious shortcomings.
Journal Article
Do Hedge Funds Hedge?
September 1, 2001
Intentionally or unintentionally, hedge funds appear to price their securities at a lag, we found in a cursory examination of monthly returns from 1994-2000.