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Journal Article

Derivatives Strategies for Endowment and Foundation Portfolios: The Manager Perspective

Many endowment and foundation funds automatically maintain a mix of 60% stocks and 40% bonds, and numerous researchers will tell them they are wrong.

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

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.

Journal Article

The Norway Model

By 2011, Norway’s Government Pension Fund Global (GPFG) was ranked the largest investor in the world.

Journal Article

The Past and Future of Quantitative Asset Management

The defining element in quant management is diversification.

White Paper

Changing Spaces Emerging Markets Investing

Over the past decade, emerging-market equities have become a meaningful portion of global equity markets. We provide some key insights to help investors evaluate their exposure.

White Paper

Seven Thoughts on Running Big Money for the Long-Term

Although there is no silver bullet in asset management, there are several fundamental principals. Taking risk and having a long-term perspective are the keys to investment success and the most important predictors of long-term returns.

White Paper

Demystifying Illiquid Assets: Expected Returns for Private Real Estate

We try to demystify the risk and return of private real estate, considering theoretical arguments, historical average returns, and forward-looking yield-based analysis.

Journal Article

Market Timing: Sin a Little

Is market timing an easy source of added value or a sin to be avoided? We examine the evidence and find that adding a dose of momentum is a practical way to enhance value timing strategies. Investors may benefit from a modest amount of market timing.