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Perspective
Sin a Little
November 11, 2015
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
January 5, 2012
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
December 1, 2006
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
March 1, 2011
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
July 23, 2003
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
The 5% Solution
May 1, 2012
Institutional investors commonly target 5% real annual returns, or 7% to 8% nominal returns.
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
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
Asset Allocation and Bad Habits
September 17, 2014
This article documents the “bad habits” of investors in asset allocation practices.