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Trade Publication

Smart Beta: Not New, Not Beta, Still Awesome

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

In theory, portable alpha is a good idea.

Working Paper

Global Return Variation

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

An Anomaly in the Topix-Nikkei Spread

Working Paper

Stock Returns, Inflation and the Volatility of Growth in the Money Supply

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

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

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

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

Traditional life-cycle strategies have some serious shortcomings.

Journal Article

Do Hedge Funds Hedge?

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.