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Perspective

Sin a Little

We apply value and momentum investing—which we believe to be the strongest empirical regularities in finance—to the age-old task of market timing, long been regarded by many as an investing sin. We find that investors may benefit from a modest amount of marketing timing.

Book

Expected Returns on Major Asset Classes

Expected returns are arguably the most important input into investment decisions. By broadening the traditional paradigm of expected return estimation, we think investors have the ability achive better-diversified portfolios and more forward-looking analysis.

Book

Global Perspectives on Investment Management: Learning From the Leaders

This book features an array of perspectives from financial industry luminaries to cover topics at the forefront of the global asset management industry, including risk management and ethics.

Book

Expected Returns: An Investors Guide to Harvesting Market Rewards

Finance theories have changed dramatically over the past 30 years, away from the restrictive theories of the single-factor CAPM, efficient markets, and constant expected returns.

Book

Takeovers, Restructuring and Corporate Governance

Mergers and acquisitions play an important role for companies and economies, yet a high number of M&A investments fail to earn their cost of capital. This book seeks to improve the success rate of M&A activities.

Trade Publication

Back in the Hunt

Market timing is very hard.

Trade Publication

The 5% Solution

Institutional investors commonly target 5% real annual returns, or 7% to 8% nominal returns.

Journal Article

An Alternative Option to Portfolio Rebalancing

We explore how investors can use an implementable option selling overlay to improve portfolio rebalancing.

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

Asset Allocation and Bad Habits

This article documents the “bad habits” of investors in asset allocation practices.