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Trade Publication

Seagate Technology Buyout

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

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

Do Bad Bidders Become Good Targets?

The stock market’s reaction to a corporate merger can be a useful signal about whether the transaction will succeed as well as whether the acquiring company may itself become a takeover target. In reviewing the stock price movements of 1,158 firms from 1980 through July 1988 to gauge market reactions to transactions from 1982 to 1986, we found the average stock price move after acquisition announcements was not significantly different from zero. However, there was a significant difference in market reactions to acquisitions that subsequently were sold off compared with those that were not subsequently divested.

Journal Article

Do Hedge Funds Add Value?

If an investor can find an asset that is uncorrelated with his or her portfolio and has a positive expected return, that asset may be very valuable at improving the risk-adjusted return of the entire portfolio.

Journal Article

Do Hedge Funds Hedge?

Intentionally or unintentionally, hedge funds appear to price their securities at a lag, we found in a cursory examination of monthly returns from 1994-2000.

White Paper

Understanding Managed Futures

Many investors have shied away from managed futures, perhaps due to a lack of understanding of how and why they work. This paper shows how such a strategy can be implemented. We then discuss their performance and diversification benefits historically

White Paper

The Limits of Convertible Bond Arbitrage

Convertible bond arbitrage suffered abysmally after the collapse of Lehman Brothers in 2008. This case study looks at how these strategies can break down in times of crisis, and the opportunities they offer in the aftermath.

White Paper

Building a Better Alternatives Portfolio

Alternative strategies are valuable tools for potentially enhancing portfolio returns and are becoming widely accessible in mutual funds. We delve into alternatives and discuss why we beleive multistrategy alternatives should be at the core of an alternatives allocation.

White Paper

Chasing Your Own Tail (Risk)

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

Trend Following and Rising Rates

Can trend followers benefit from the impact of rising yields on asset class returns? We explore a simple trend-following strategy during rising rates and find that the strategy may benefit investors when markets experience gradual, persistent changes