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Working Paper

Bubble Logic: Or, How to Learn to Stop Worrying and Love the Bull

A bull market produces stories, often absorbed by investors engaged in wishful thinking, that encourage the purchase or retention of stocks or mutual funds. This has led them to bid up stocks so high that even long-term investors will be disappointed.

Journal Article

Long Horizon Predictability: A Cautionary Tale

We show there is much less evidence of long-horizon return predictability than existing research suggests, casting doubt over claims about forecasts based on stock market valuations and factor timing.

Working Paper

The Bubble Has Not Popped

Many called the stock market “undervalued” in 2002, based on how far and fast it had fallen over the prior two years. But this 2002 article contends that stocks are not necessarily cheap after the decline.

Working Paper

One Reason Not to Avoid Market Timing

Market timing should be undertaken only to the extent an investor feels his skills overcome the hurdles.

White Paper

Enhanced Portfolio Optimization

We show how to identify the portfolios that cause problems in standard mean-variance optimization (MVO) and develop an enhanced portfolio optimization (EPO) method that addresses the problems. Applying EPO on several realistic datasets, we find significant gains relative to standard benchmarks.

White Paper

Implementing Portable Alpha: A Case Study

This 2007 case study examines what happens when a fictional public pension plan faces an equity market slump, lower expected equity-market returns and a legislature-mandated increase in the investment portfolio’s target real rate of return.

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.

Journal Article

Demystifying Illiquid Assets: Expected Returns for Private Equity

We lay out a framework for expected returns for private equity that is based on a discounted cashflow framework similar to what we use for public stocks and bonds.

Journal Article

Why Not 100% Equities

In a 1994 article “College and University Endowment Funds: Why Not 100% Equities?” Richard H.