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Alternative Thinking
Ideas for a Low-Expected-Return World
1Q 2012
There are different ways to achieve ambitious real return targets, but we think risk-balanced diversification across well-chosen return sources is the most reliable, strategic approach.
Alternative Thinking
Strategic Risk Allocation
2Q 2014
We believe investors should broadly diversify and risk balance as a starting point to asset allocation, but perhaps then mildly overweight assets with high Sharpe ratios or good diversification benefits if they can identify these.
Trade Publication
Hit 'Em Where It Hurts, ESG Investing 2.0
November 1, 2018
We suggest a new approach to ESG investing that we believe may be more effective in making negative investor views known to management — while at the same time potentially improving portfolio expected returns.
Alternative Thinking
Portfolio Protection? It’s a Long (Term) Story…
April 23, 2020
Investors have a natural urge to protect their portfolios from sudden crashes, even though bad outcomes that unfold over longer periods are more detrimental to reaching long-term goals. We show risk-mitigating and diversifying strategies have added value more consistently than options-based hedging over the more important, longer drawdowns.
Trade Publication
Alpha Transfer in a Hedge Fund World
January 1, 2002
In theory, portable alpha is a good idea.
Trade Publication
The Alpha in Portfolio Construction
January 1, 2013
We believe that portfolio construction, risk management and cost control are the “low-hanging fruit” of managing a long-term portfolio.
Trade Publication
The 5% Solution
May 1, 2012
Institutional investors commonly target 5% real annual returns, or 7% to 8% nominal returns.
Trade Publication
Seagate Technology Buyout
March 1, 2002
In March 2000, the computer disc-drive maker Seagate Technology, Inc., owned shares of the software company Veritas valued at roughly $21.6 billion.
Trade Publication
Risk Parity: A Supplement to Traditional Portfolios, Not Their Replacement
January 1, 2012
It is often said that long-term investors can rely on equity returns since they can withstand short-term periods of underperformance and still survive to realize the benefits in the long-term.
Journal Article
Arbitrage Crashes and the Speed of Capital
May 27, 2011
Modern finance theory rests on the ability of arbitrageurs to ensure that substantially similar assets trade at substantially similar prices.