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Trade Publication
Ahead of the Curve: Time to Embrace Downside Risk
February 15, 2016
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
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.
Journal Article
Are Stocks Real Assets? Sticky Discount Rates in Stock Markets
February 1, 2017
Local stock markets adjust sluggishly to changes in local inflation.
White Paper
Avoiding Unintended Country Bets in Global Equity Portfolios
April 1, 2011
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
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.
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
Are Defensive Stocks Expensive? A Closer Look at Value Spreads
November 20, 2015
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
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.