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White Paper

Building a Better Global Macro Portfolio

March 1, 2014 - Jordan Brooks April Frieda David Kupersmith Lars N. Nielsen

Trade Publication

Ahead of the Curve: Time to Embrace Downside Risk

February 15, 2016 - Roni Israelov Lars N. Nielsen

Buying equity put options to reduce a portfolio’s downside risk exposure is so attractive that the high cost of doing so all but offsets the benefit, the authors contend.

White Paper

Avoiding Unintended Country Bets in Global Equity Portfolios

April 1, 2011 - Michele L. Aghassi Cliff Asness Oktay Kurbanov Lars N. Nielsen

Country risk is a key driver of individual stock returns, especially in emerging markets. We present several approaches to constructing active global stock portfolios as failing to control for country membership in stock returns may lead to significant misallocation of risk.

White Paper

Chasing Your Own Tail (Risk)

July 1, 2011 - Lars N. Nielsen Daniel Villalon Adam Berger

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

Are Defensive Stocks Expensive? A Closer Look at Value Spreads

November 20, 2015 - Antti Ilmanen Lars N. Nielsen Swati Chandra

Investors have been concerned about the rich valuation of defensive stocks and how that may crimp returns. Using value spreads, we analyze the relative prices of defensive stocks and discuss the difficulties in predicting style returns.

Journal Article

Embracing Downside Risk

January 15, 2017 - Roni Israelov Lars N. Nielsen Daniel Villalon

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

Covered Call Strategies: One Fact and Eight Myths

October 21, 2014 - Roni Israelov Lars N. Nielsen

Call overwriting is a method of simultaneously expressing a view on a security and its volatility, and the CBOE S&P 500 BuyWrite Index (BXM) is one of many ways to get exposure to the equity and volatility risk premia.

Journal Article