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Alternative Thinking
The Illusion of Active Fixed Income Diversification
December 7, 2017
We examine popular active fixed income categories and find that a persistent overweight to high yield credit explains the majority of fixed-income managers’ active returns. We then discuss some key implications for asset owners.
Alternative Thinking
Strategic Portfolio Construction
2Q 2015
When it comes to portfolio construction, many investors seek guidance on “putting it all together.” We discuss our systematic approach and examine how investor-specific beliefs and constraints can inform and interact with formal optimization methods.
Bibliography
Style Bibliography
May 13, 2015
We have compiled a list of books, journal articles and working papers that were helpful in developing our research around style investing.
Bibliography
Trend Following
January 8, 2015
Here is a selected list of books, journal articles and working papers that we found helpful in developing our research around Trend Following strategies.
Alternative Thinking
Challenges of Incorporating Tactical Views
4Q 2014
Tactical timing is inherently more difficult than it seems. We explore which types of tactical views may be worth taking.
Bibliography
Value Investing Bibliography
June 4, 2014
We have compiled a list of books, journal articles and working papers that were helpful in developing our research around value strategies.
Bibliography
Momentum Bibliography
May 28, 2014
We have compiled a list of books, journal articles and working papers that were helpful in developing our research around momentum strategies.
Bibliography
Carry Bibliography
May 28, 2014
We have compiled a list of books, journal articles and working papers that were helpful in developing our research around carry investing.
Bibliography
Defensive Equity Bibliography
May 28, 2014
We have compiled a list of books, journal articles and working papers that were helpful in developing our research around defensive equity investing.
Alternative Thinking
Strategic Risk Allocation
2Q 2014
We believe investors should broadly diversify and risk balance as a starting point to asset allocation, but perhaps then mildly overweight assets with high Sharpe ratios or good diversification benefits if they can identify these.