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Journal Article

How Index Trading Increases Market Vulnerability

Passively managed index funds and exchange-traded funds (ETFs) have experienced accelerating growth in recent decades.

Journal Article

The Limits to Arbitrage Revisited: The Accrual and Asset-Growth Anomalies

It is puzzling that such straightforward asset pricing anomalies like the well-publicized accruals and asset-growth effects are seemingly overlooked by investors.

Journal Article

The Low-Volatility Anomaly: Market Evidence on Systemic Risk vs. Mispricing

Researchers have demonstrated a long-term connection between future stock returns and various measures of prior stock price variability.

Journal Article

Defined Contribution Retirement Plans Should Look and Feel More Like Defined Benefit Plans

Defined contribution (DC) plans have, to this point, delivered uneven and sometimes inadequate results.

Journal Article

The Limits to Arbitrage and the Low-Volatility Anomaly

Researchers have found that a strategy of buying prior low volatility stocks and selling prior high volatility risk stocks has historically generated substantial abnormal returns in the U.S.

Journal Article

Multi-Period After-Tax Reporting: A Practical Solution

We propose an after-tax performance report aimed at enhancing wealth preservation and accumulation for taxable investors.

Journal Article

Risk-Based Dynamic Asset Allocation With Extreme Tails and Correlations

Portfolio management is moving toward a more flexible approach capable of capturing dynamics in risk and return expectations across an array of asset classes.

Journal Article

Liquidity-Driven Dynamic Asset Allocation

Portfolio management is moving toward a more flexible approach capable of capturing dynamics in risk and return expectations across an array of global asset classes.

Interview

Words From the Wise: Roger Urwin on Addressing the Investment Challenge

Roger Urwin, global head of investment content at Willis Towers Watson, discusses in a Q&A how two powerful industry trends— specialization and complexity—will continue to have impact in coming years.

Interview

Words From the Wise: Martin Leibowitz Interview

A question-and-answer session with the first bond quant on Wall Street, Martin (Marty) Leibowitz of Morgan Stanley.