Journal Articles

Our original research that has been published in peer-reviewed academic and practitioner journals.

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  1. This paper examines whether local stocks hedge local investors against increases in the cost of the local consumption basket.

  2. An implementable dynamic momentum strategy based on forecasts of each momentum strategy’s mean and variance generates an unconditional Sharpe ratio approximately double that of the static momentum strategy.

  3. As life-cycle funds grow, the authors argue that they should use modern investment techniques from the institutional investing toolkit.

  4. Equity index collars are not, as conventional wisdom has it, a cost-free way to trade some potential gains for insurance against large losses, the authors of this paper contend; the collars themselves have costs beyond the prices of puts and calls used to implement them.

  5. Catastrophe-bond risk is uncorrelated with U.S. stock or bond performance, but cat bond returns are in line with the historical equity risk premium.

  6. It seems that now everyone wants to time factors, but this tempting siren song should be resisted.

  7. The authors seek best way to identify a price trend, and to compare different trend-identifying methods currently used by managed-futures investors.

  8. Our results indicate that the high returns related to low-volatility portfolios are not compensation for systematic factor risk but are more likely due to market mispricing.

  9. This article, coauthored by asset-liability-management pioneer Marty Leibowitz of Morgan Stanley and Antti Ilmanen of AQR Capital Management, analyses the many challenges U.S. corporate sponsors face when making decisions about their defined benefit (DB) pension plans.

  10. This paper presents a novel performance attribution methodology, which deconstructs the equity index covered-call strategy into three identified exposures, in order to measure each’s contribution to the covered call’s return.