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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.

Working Paper

Deep Value

We examine the efficacy of a hypothetical deep value strategy—where the valuation spread between cheap and expensive securities is wide relative to its history—across global asset classes and also provide new evidence on competing theories for the value premium.

Journal Article

International Diversification Works (Eventually)

Critics of international diversification observe that it does not protect investors against short-term market crashes because markets become more correlated during downturns.