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Interview
Words From the Wise: Roger Urwin on Addressing the Investment Challenge
October 10, 2016
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
March 19, 2015
A question-and-answer session with the first bond quant on Wall Street, Martin (Marty) Leibowitz of Morgan Stanley.
Interview
Words From the Wise: Charley Ellis on Challenges Facing Investors
June 5, 2015
Charles D. Ellis, founder of Greenwich Associates and author of Winning the Loser’s Game and other books on investing, participates in a Q&A with Antti Ilmanen and Rodney N. Sullivan of AQR, discussing a range of contemporary investment challenges.
Interview
Words From the Wise: Jack Bogle on Building a Better Investment Industry
December 11, 2015
An executive summary of the main themes explored in a question-and-answer session with John C. Bogle.
Journal Article
Risk-Based Dynamic Asset Allocation With Extreme Tails and Correlations
July 2, 2012
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
Sharpening the Arithmetic of Active Management
February 22, 2018
Does the dictum that the return to active management must equal that of passive management hold in the real world? This paper explores the assumptions and possible market impact.
Journal Article
An Alternative Option to Portfolio Rebalancing
March 5, 2018
We explore how investors can use an implementable option selling overlay to improve portfolio rebalancing.
Journal Article
Liquidity-Driven Dynamic Asset Allocation
April 2, 2013
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.
Journal Article
Measuring Global Systemic Risk: What Are Markets Saying About Risk?
October 1, 2010
Systemic market events arise with increasing frequency in our complex, adaptive and highly interconnected markets.
Journal Article
Modelling the Asset-Allocation and Liability Strategy for Canada’s Foreign Exchange Reserves
April 2, 2013
The 2007‒2009 global financial crisis led to rapid accumulation of foreign reserves in both developed and emerging countries and triggered discussions of how these reserves should be managed.