- Alternative Assets
- Global Macroeconomics
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- Quarterly Global Valuations
- Wealth Management
Portfolio Management
Firm
Type
Portfolio Management
September 2026
A $40 Billion ETF Shuffle Helps Foreign Investors Dodge US Taxes
Bloomberg
Research
12 Pages
Bloomberg examines how foreign institutions rotate between nearly identical S&P 500 ETFs to avoid the 30% US withholding tax on dividends while maintaining market exposure.
Portfolio Management
September 2026
Public to Private Equity in the United States: A Long-Term Look
Morgan Stanley
Research
91 Pages
Morgan Stanley examines the 40-year shift from public to private U.S. equity markets, including buyouts, venture capital, exits, and returns.
Markets
September 2026
Europe is finally executing
Allianz
Research
4 Pages
Allianz Global Investors argues Europe is shifting from policy ambition to execution as infrastructure, energy, and industrial investment moves into construction.
Asset Allocation
August 2026
Risk Parity
Meketa
Research
13 Pages
Meketa Investment Group examines risk parity, a portfolio framework that balances risk across asset classes rather than allocating capital conventionally.
Portfolio Management
August 2026
The Smartest Money
Verdad
Research
5 Pages
Verdad examines whether corporate share issuance can act as a market- and sector-timing signal.
Dividends
August 2026
Break Free of Equity Income’s Dividend Handcuffs
Allspring
Research
11 Pages
Allspring Global Investments argues that higher interest rates have weakened the case for using dividend-heavy equities primarily as an income substitute.
Asset Allocation
August 2026
Crazy days in the stock market
Acadian
Article
5 Pages
Acadian Asset Management examines an unusually calm index masking extreme stock level volatility in July 2026.
Portfolio Management
August 2026
Investing for the Right Tail: Asymmetric Wealth Creation Across Public and Private Markets
Meketa
13 Pages
Meketa Investment Group examines “right-tail” investing, where a small minority of companies drives most long-run wealth creation.
Portfolio Management
August 2026
The 100-Year Portfolio: A State of Mind Rather Than an Allocation
AllianceBernstein
Research
19 Pages
The authors argue that a 100-year portfolio is defined more by governance and process than by a fixed allocation.
Portfolio Management
August 2026
There’s more to growth than AI
Richard Bernstein Advisors
Research
8 Pages
Richard Bernstein Advisors argues that tighter liquidity and broadening global profit growth are creating opportunities beyond AI and the Magnificent 7.
Asset Allocation
August 2026
Investing Across a New Inflation Regime
HSBC Asset Management
Research
12 Pages
HSBC Asset Management examines how persistent, more volatile inflation could reshape portfolio construction across equities, bonds, securitised credit and real assets.
Asset Allocation
August 2026
Portable Alpha: Ask the Hard Questions
Man Group
Research
16 Pages
Man Group examines why portable alpha structures that look efficient in normal markets can become fragile under stress.
Asset Allocation
August 2026
Momentum, rotation and the value in growth
Goldman Sachs
Research
15 Pages
Peter Oppenheimer dives into how global liquidity shifts are shaking up equity valuations today.
Portfolio Management
August 2026
Flying below the radar: Insider trading by executives below the top
Research
45 Pages
The authors examine whether executives below the top profit from employer stock trades that avoid public disclosure.
Diversification
August 2026
4 Ways Portfolio Diversification Has Paid Off in 2026
Morningstar
Article
8 Pages
Morningstar Indexes argues that 2026 has rewarded portfolios spread across bonds, international equities, small caps, and niche diversifiers.
Asset Allocation
August 2026
Risk Speedometers: What Are Allocators Buying and Selling?
Vanguard
Research
12 Pages
Vanguard examines how fund allocators responded to exceptional equity gains without broadly chasing risk.
AI
August 2026
AI and the return of US equity supply
Ninety One
Research
15 Pages
The authors argue that AI-driven IPOs and megacap issuance may reverse two decades of shrinking US equity supply.
Portfolio Management
July 2026
A Brief History of Financial Risk
Research
59 Pages
The authors trace how equity risk evolved from treating stocks as speculation or inflation hedges to measuring volatility and consumption correlation.
Portfolio Management
July 2026
Balancing Innovation and Inflation in Portfolios
Goldman Sachs
Research
35 Pages
Goldman Sachs examines how AI-led innovation, inflation risk, and benchmark drift are reshaping global multi-asset portfolios.
Portfolio Management
July 2026
Diversification all the Way Down: Multifactor Investing Within Factors, Across Factors and Across Time
Research
40 Pages
The authors argue that diversification improves multifactor investing at three levels: within factor definitions, across factor sleeves, and through time.
Asset Allocation
July 2026
When and how asset location matters
Vanguard
Research
10 Pages
The authors explain when placing investments across taxable and tax-advantaged accounts improves after-tax outcomes.
Asset Allocation
July 2026
Home Bias: The Hidden Cost of Staying Close to Home
CFA Institute
Research
9 Pages
CFA Institute examines how home bias can quietly reduce portfolio efficiency by concentrating investors in familiar domestic assets.
Active Management
July 2026
Passive Flows, Active Woes: Passive Investing and the Decline of Active Mutual Fund Alpha
Research
68 Pages
The author examines how the rise of passive investing may be hurting active mutual fund performance through persistent flow-driven price distortions.
Portfolio Management
July 2026
Country Risk: Determinants, Measures and Implications – The 2026 Edition!
Research
29 Pages
Aswath Damodaran updates his country-risk framework for a world where even developed markets are no longer risk-free anchors.
Portfolio Management
July 2026
Too Small to Matter?
Verdad
Research
5 Pages
Verdad argues public microcaps look neglected rather than fundamentally broken, especially versus private equity.
Portfolio Management
July 2026
Flip-Flops: When Index Membership Doesn’t Last (CFA Institute Research Foundation Series)
Research Affiliates
Research
8 Pages
Research Affiliates examines how index “flip-flops”—stocks added after big rallies and deleted after disappointment—can expose cap-weighted indexing’s buy-high/sell-low bias.
Portfolio Management
July 2026
Membership Has Its Privileges: Who Pays the Premium?(CFA Institute Research Foundation Series)
Research Affiliates
Research
9 Pages
Research Affiliates examines whether the biggest U.S. stocks deserve their valuation premium or simply benefit from index membership.
Asset Allocation
July 2026
The Perfect Hedge
One River Asset Management
Research
14 Pages
One River Asset Management presents a framework for integrating risk mitigation into a Total Portfolio Approach to improve long-term compounding rather than evaluating hedges in isolation.
Portfolio Management
July 2026
The Disappearing Overnight Drift
Federal Reserve Bank
Article
6 Pages
The authors revisit the "overnight drift" anomaly in U.S. equity futures and find that a once-profitable trading window around the European market open has effectively disappeared.
Portfolio Management
July 2026
Unlocking Tax Efficiency: The Importance of Strategic Asset Allocation and Asset Location
Goldman Sachs
Research
16 Pages
The authors examine how investors can improve after-tax outcomes by combining strategic asset allocation with asset location across taxable and tax-advantaged accounts.
Portfolio Management
July 2026
Uncle Sam’s Cut: A Century of the Federal Tax Drag on US Equity Returns
Research
44 Pages
Andrew Ang quantifies how much federal taxes have reduced the returns earned by U.S. equity investors over the past century.
Diversification
July 2026
Why Most Portfolios Are Under Diversified
Quantpedia
Article
5 Pages
Quantpedia explains why equal-weight portfolios often create the illusion of diversification by concentrating risk in a handful of correlated assets.
Asset Allocation
July 2026
Adapting asset allocation to the risk of stagflation
Schroders
Research
18 Pages
Schroders examines how investors can strengthen portfolios if stagflation becomes a more persistent market backdrop.
Pension Funds & Endowments
July 2026
Status and Trends of Unfunded Liabilities of State and Local Pension Funds 2024
Hoover Institution
Research
46 Pages
Oliver Giesecke examines the true size of U.S. state and local pension liabilities by comparing traditional actuarial accounting with market-based valuation.
Portfolio Management
July 2026
US Exceptionalism, AI and Towards the Total Portfolio
AllianceBernstein
Research
230 Pages
AllianceBernstein examines how deglobalization, AI, demographics, public debt, and climate change are reshaping the long-term investment landscape.
Portfolio Management
June 2026
Value Stocks: The Cash-Flow Case for a Continuing Comeback
AllianceBernstein
Research
11 Pages
AllianceBernstein makes the case that value stocks may still have room to recover after nearly two decades of weakness versus growth.
Portfolio Management
June 2026
Investment Advisory in the new Space and AI age
True Partner Capital
Research
11 Pages
True Partner Capital examines portfolio construction in a world where US equity dominance, weaker bond diversification, and AI disruption are reshaping traditional allocations.
Portfolio Management
June 2026
Allocating Global Equities in a Taxable Account
Dimensional
Article
11 Pages
Dimensional explores how asset location can improve after tax outcomes without changing an investor's overall global equity allocation.
Endowments & Foundations
June 2026
CalPERS: America’s Misled and Misleading Pension Leader
Benchmark Financial Services
Research
255 Pages
Benchmark Financial Services examines CalPERS’ governance, transparency, fees, and long term investment results, arguing that growing complexity has not translated into better outcomes.
AI
June 2026
Who Should Own AI? An Open Letter
AllianceBernstein
Research
6 Pages
AI’s economic gains raise urgent questions about ownership, inequality and corporate power. For investors, equities remain attractive, but rising fragility and political backlash may increase market volatility.
Pension Funds & Endowments
June 2026
University Endowments Are About to Strike It Big on the SpaceX IPO
The Wall Street Journal
Article
3 Pages
The Wall Street Journal explores how SpaceX has become one of the most consequential investments in higher education endowments.
Diversification
June 2026
When the AI Bubble Bursts, Don’t Count on the US Consumer
Man Group
Research
8 Pages
Man Group explores why investors may be overestimating the ability of U.S. consumers to cushion an eventual AI driven market downturn.
Asset Allocation
June 2026
Notes From the Road: The coming wall of issuance, commodities and TIPS
AllianceBernstein
Research
12 Pages
AllianceBernstein summarizes recurring investor questions from recent North America and Europe meetings.
China
June 2026
Diversification is becoming harder to achieve
Principal Asset Management
Research
6 Pages
Principal Asset Management explains why traditional geographic diversification is becoming harder as AI, energy shocks, and supply chains increasingly connect global markets.
Portfolio Management
June 2026
Do Podcasts Move the Stock Market?
Research
61 Pages
A study found that investing podcasts accelerate the incorporation of publicly available information into prices rather than providing an exploitable information advantage.
Portfolio Management
June 2026
The Faucet and the Well: Cash Flow With a Lower Tax Bill
Aptus Capital Advisors
Article
5 Pages
Aptus Capital Advisors argues taxable investors should think about cash flow as timing and tax control, not just yield.
Pension Funds & Endowments
June 2026
US Endowment Study: Top 17 Funds Asset Allocation, Risk, and Risk-Adjusted Returns
CAIA Association
Research
8 Pages
CAIA Association examines how the top 17 U.S. endowments differ in allocation, risk, and efficiency.
Portfolio Management
June 2026
You Won the Battle on Investment Fees. You’re Losing the War Against Taxes.
The Wall Street Journal
Article
3 Pages
Wall Street Journal argues that investors have largely won on fund fees, but taxes remain a much bigger drag.
Active Management
June 2026
The Myth of Consistency
Virtus Investment Partners
Research
3 Pages
Virtus Investment Partners argues that long term fund winners rarely look like winners in every short window.
Portfolio Management
June 2026
Could it be time for a resurgence in quality?
Schroders
Research
10 Pages
Schroders argues that international quality stocks may be near a turning point after years of value leadership.
Portfolio Management
June 2026
Failure Modes of Backtesting
LongTail Alpha
Research
7 Pages
LongTail Alpha explains why backtests can look more reliable than they really are.
Active Management
June 2026
Active versus Passive Management of Bonds (and why passive bond management is an oxymoron)
Research
66 Pages
The authors challenge the usual active versus passive investing story by focusing on bond funds.
Asset Allocation
June 2026
Multi-Asset Insights: Building resilience across regimes and regions
HSBC Asset Management
Research
20 Pages
HSBC Asset Management argues that diversification has become more regime dependent as stock bond hedges, currencies, commodities and EM exposures behave differently across shocks.
AI
June 2026
AI Disruption: Moats and Value Traps
Sparkline Capital
Research
12 Pages
Sparkline Capital examines whether beaten down software stocks are bargains or value traps as AI changes the competitive landscape.
Portfolio Management
June 2026
Heterogeneous Effects of Decomposed ETF Flows on Benchmark-Adjusted Returns: Evidence across ETF Classifications
Research
50 Pages
The authors examine whether ETF flows actually say anything useful about future benchmark-adjusted returns.
Asset Allocation
May 2026
Commodities, Real Assets and the Return of the Physical Economy
AllianceBernstein
Research
32 Pages
AllianceBernstein argues that commodities and industrial metals are becoming more strategically relevant as geopolitics, AI infrastructure, and resource nationalism revive the physical economy.
Dividends
May 2026
Investors Piled Into Dividend Stocks in Q1. Here’s Why They Might Be Disappointed
Morningstar
Research
9 Pages
In the first quarter of 2026, dividend ETFs—some focused on high-yielders, others on dividend-growers—attracted nearly $22 billion on a net basis, the most since the second quarter of 2022.
Portfolio Management
May 2026
Factoring in the Low-Volatility Factor
Research
57 Pages
The authors revisit why a factor with over $392 billion in low volatility investment solutions remains mostly absent from standard asset pricing models.
Portfolio Management
May 2026
The Active Side of Indexing
CFA Institute
Research
55 Pages
CFA Institute Research Foundation examines why index funds are not fully passive at the margins.
Active Management
May 2026
U.S. Persistence Scorecard
S&P Global
Research
16 Pages
S&P Dow Jones Indices examines whether active fund outperformance tends to persist or fade.
Portfolio Management
May 2026
Does the Foundation Still Support the Structure? Why a Portfolio Rebalance Makes Sense Now
Apollo
Research
11 Pages
Apollo argues that strong public equity levels may mask weaker portfolio foundations, including thinner risk compensation, tighter credit spreads, higher concentration, and weaker stock bond diversification.
Asset Allocation
May 2026
Putting Portfolios Together when the World is Falling Apart
Acadian
Research
5 Pages
Acadian Asset Management argues that deglobalization could make global diversification more valuable, not less. U.S. and German equity correlations rose from 0.35 before 1998 to 0.81 after 1998, showing how globalization changed the portfolio math.
Momentum
May 2026
The Intramonth Momentum Cycle
Research
53 Pages
The authors argue that U.S. equity momentum is less about slow information diffusion and more about market plumbing.
Portfolio Management
April 2026
Misplaced Anxiety? A Reassessment of Crowding in Systematic Investing
Acadian
Research
11 Pages
Acadian Asset Management revisits quant crowding and concludes current anxiety is mostly overstated.
Portfolio Management
April 2026
Robbing Peter to Pay Paul: A(nother) Look at Long/short Direct Index Tax-Loss Harvesting
Elm Wealth
Article
10 Pages
Elm Wealth revisits long/short direct indexing tax loss harvesting and finds the economics are weaker than the sales pitch suggests.
Asset Allocation
April 2026
A Positive Stock-Bond Correlation Is a Terrible Reason to Add More Equity Risk to Your Portfolio
AQR
Research
7 Pages
AQR argues that a positive stock bond correlation is not a good reason to replace bonds with more equity like assets.
Portfolio Management
April 2026
Tax-Loss Harvesting with Bonds vs. Stocks: Different Rules, Same Goal
AllianceBernstein
Article
1 Pages
AllianceBernstein explains why tax loss harvesting in bonds can differ meaningfully from stocks, particularly when investors care about future tax exposure rather than just current tax savings.
Asset Allocation
April 2026
A Second Opinion on the 60/40 Default: Just What the Doctor Ordered
GMO
Research
10 Pages
GMO argues the classic 60/40 portfolio works over very long periods but can disappoint badly when starting valuations are stretched.
Portfolio Management
April 2026
The Tax Benefits of Pre-Tax Alpha
AQR
Research
97 Pages
AQR Capital Management examines whether pre tax alpha strengthens or weakens the tax benefits of tax aware long short equity strategies.
Portfolio Management
April 2026
Share Repurchases and Investment Policies
Research
21 Pages
This study examines the claim that share repurchases lead to reductions in real investments and finds no support for the claim that repurchases lead to lower real investments.
Dividends
April 2026
Dividend Capture Returns and Their Drivers: A Bayesian Analysis of Large-Cap Stocks Over 35 Years
Research
18 Pages
This paper examines the profitability of dividend capture from 1990–2025 using Bayesian linear regression, focusing more on retail investors.
Portfolio Management
April 2026
When Resilience Resonates: The S&P 500 Resilient Shareholder Yield Index
S&P Global
Research
19 Pages
The S&P 500 Resilient Shareholder Yield Index identifies companies that balance rewarding shareholders with the financial strength needed to sustain those rewards over time.
Pension Funds & Endowments
March 2026
Annual Pension Review “First Take”
Goldman Sachs
Research
19 Pages
In its 24th year, the Pension Review “First Take” analyzes the 50 largest US Defined Benefit plans in the S&P 500 based on asset values to review the factors that impacted corporate DB plan sponsors in 2025 and share potential trends for 2026.
Portfolio Management
March 2026
SBC & Dilution Tracker Dashboard Launch
Altimeter Capital
Research
11 Pages
Thomas Reiner gives an update on quarterly stock-based compensation and dilution analytics and a live company leaderboard.
Markets
March 2026
Hope Springs Eternal
Verdad
Research
6 Pages
Verdad says after more than a decade of drought, the value premium has sprung back into positive territory, and the best years may be yet to come.
Dividends
March 2026
How Income Investors Can Avoid Dividend Traps in 2026
Morningstar
Research
7 Pages
With the Morningstar US Market Index‘s dividend yield below 1.2% (and ex-US at 2.6%), Morningstar looks at how to avoid dividend traps.
Dividends
March 2026
The Impact of Early Option Exercise on Ex-Dividend Stock Returns
Research
47 Pages
The authors revisit the well-documented stock return anomaly around ex-days and establish a novel link to early exercise of equity options.
Energy
March 2026
The Illusion of the Carbon Premium
Robeco
Research
36 Pages
Using only carbon emissions data available to investors at the time of portfolio formation, the authors find no positive relation between firms' absolute carbon emissions and stock returns.
Portfolio Management
March 2026
Why Value, Quality, and Momentum Belong Together
Research Affiliates
Research
12 Pages
Research Affiliates shows how combining value, quality, and momentum can improve the investment process by not only helping expected returns but also the experience of earning them.
Annual Report
March 2026
2025 Public Pension Funding Study
Milliman
Research
17 Pages
The Milliman Public Pension Funding Study annually explores the funded status of the 100 largest U.S. public pension plans.
Dividends
March 2026
Data Update 8 for 2026: Time for Harvesting – Dividends and Buybacks
Research
9 Pages
Professor Damodaran looks at the decision by businesses on how much cash to return to their owners, and in what form (dividends or buybacks), and how that decision played out globally in 2025.
Portfolio Management
March 2026
HOPES for Concentrated Equity: A Multi-Strategy Approach
Morgan Stanley
Research
24 Pages
Morgan Stanley's white paper on derisking concentrated public equity positions walks through the options an investor has.
Portfolio Management
March 2026
Managing Concentrated Public Stock Positions by Seeding an Exchange-Traded Fund
Research
34 Pages
Brent Sullivan explains wealth managers are increasingly seed new exchange-traded funds (ETFs) under Internal Revenue Code Section 351, allowing clients to reallocate low-basis stock into a diversified, professionally managed fund without immediate gain recognition.
Portfolio Management
March 2026
Boosting After-Tax Returns: An “All of the Above” Effort
AllianceBernstein
Article
1 Pages
AllianceBernstein examines how investors can improve after tax returns through a holistic framework rather than focusing only on pretax performance.
Asset Allocation
March 2026
Risk Speedometers: What are allocators buying and selling?
Vanguard
Research
12 Pages
Vanguard says that portfolios built around traditional risk assets should be balanced with practical expectations as interest rates, valuations, and volatility all remain higher than historical norms.
Annual Report
March 2026
2026 Global Family Office Report
J.P. Morgan Asset Management
Research
47 Pages
J.P. Morgan’s report shares a comprehensive look at today’s family office landscape. It features 333 offices from 30 countries and an average net worth of $1.65 billion.
Alternative Assets
February 2026
The Boost From the Hard Assets Rotation
Goldman Sachs
Research
22 Pages
Following a strong and volatile start for commodities in 2026, Goldman Sachs analyzes how sustained investor diversification into hard assets would affect commodity prices.
Pension Funds & Endowments
February 2026
2025 NACUBO – Commonfund Study of Endowments
Nacubo
Research
13 Pages
The 2025 NACUBO-Commonfund Study of Endowments has data based on 657 colleges managing just under $944 billion in endowment assets. NCSE reports a 10-year average annual return of 7.7% in fiscal year 2025.
Global Macroeconomics
February 2026
2025’s Implications for the Future: “Some Like it Hot”?
Research Affiliates
Research
28 Pages
Jim Masturzo says markets in a high temperature regime show unpredictable correlations and return patterns compared with stable low volatility environments.
Portfolio Management
February 2026
Capital Market Assumptions for Major Asset Classes
AQR
Research
19 Pages
AQR updates its five to ten year expected returns across major asset classes and explains how starting valuations shape the math.
Portfolio Management
January 2026
Fundamental Equity Quarterly 01 2026
Robeco
Research
17 Pages
Robeco frames early 2026 as constructive for equities as monetary conditions ease and multiple growth engines stay active, including AI capex, European spending, and emerging market catch up.
Portfolio Management
December 2025
The Dystopian Symbiosis : Passive Investing and Platform Capitalism
AllianceBernstein
Research
13 Pages
AllianceBernstein explores the uneasy relationship between dominant technology platforms and the rise of passive, cap weighted investing.
Capital Allocation
December 2025
Looking Back at M&A in 2025: Behind the Great Rebound
Bain & Company
Article
16 Pages
Bain’s “Looking Back at M&A in 2025” finds that global deal value rebounded sharply—up about 36% to an estimated $4.8 trillion—with tech and AI-related acquisitions leading growth and strategic M&A taking center stage for companies reshaping their businesses.
Asset Allocation
December 2025
Decoding Markets: The accidental death of diversification
Schroders
Research
14 Pages
Schroeders explains how the classic 60/40 portfolio became the most concentrated balanced portfolio in modern history, and how to bring genuine diversification back to life.
Annual Report
December 2025
The Asset Owner 100
Thinking Ahead Institute
Research
16 Pages
The study reveals the world’s 100 largest asset owners are now responsible for US$ 29.3 trillion as of the end of 2024; experiencing an increase in assets of 11.3% compared to the previous year.
Dividends
December 2025
Why dividend growth investing has staying power
T. Rowe Price
Research
6 Pages
T. Rowe Price explains why sticking with a dividend growth strategy can provide useful diversification while creating an opportunity to compound returns over the long term.
Portfolio Management
December 2025
Equity style: value vs growth
Meketa
Research
16 Pages
Meketa Investment Group revisits the long running debate between value and growth equity styles using United States index data and sector breakdowns.
Portfolio Management
December 2025
Hold the Dip
AQR
Research
22 Pages
AQR examines whether the popular buy the dip mantra actually beats a simple buy and hold approach over many decades.
Portfolio Management
December 2025
Equity Market Focus: Subjective Expected Returns
AQR
Research
16 Pages
Antti Ilmanen examines how subjective expected equity returns differ from model based estimates built from valuations and fundamentals.
Markets
December 2025
Tech Dilution Through Q3: Discipline Cracks at Big Tech
Platform Aeronaut
Article
10 Pages
Thomas Reiner reviews how share based dilution has evolved across tech through Q3 2025, with discipline slipping at Big Tech.
Markets
December 2025
Does Share Repurchase Legalization Really Harm Corporate Investments?
Research
56 Pages
Using staggered legalizations across countries, the authors test whether permitting open-market buybacks reduces corporate investment and real activity.
Portfolio Management
December 2025
World Equity Allocations: Global in Name Only?
Acadian
Research
6 Pages
Acadian Asset Management examines how global equity benchmarks have evolved into portfolios dominated by United States large cap and technology exposure.
Portfolio Management
December 2025
It’s Probably A Bubble, But There Is Plenty Else To Invest In
GMO
Research
10 Pages
Ben Inker lays out an agnostic playbook for investors who suspect an AI bubble yet are not fully convinced.
Asset Allocation
November 2025
Curing Paranoia
Man Group
Research
23 Pages
Man Group uses two centuries of data to compare risk parity with classic 60-40 portfolios and draw asset allocation lessons.
Alternative Assets
November 2025
Alternatives & Strategic Asset Allocation Creating a robust framework for private investors
Deutsche Bank
Research
24 Pages
Deutsche Bank explains how alternative investments can be integrated into a strategic asset allocation for private investors. The paper details the evolution of private markets, clarifies what counts as an alternative asset, and emphasizes risk factor diversification over headline outperformance.
Portfolio Management
November 2025
Diversifying Concentrated Stock Positions
Neuberger Berman
Research
9 Pages
Neuberger Berman tackles the problem of concentrated, low basis stock positions that create both portfolio risk and tax headaches.
Portfolio Management
November 2025
The Next Chapter for U.S. Corporate Pension Plans
KKR
Research
14 Pages
KKR looks at how stronger funded status and shorter liabilities are reshaping U.S. corporate pension plans.
Portfolio Management
November 2025
Diversifying Alternatives and the Rearview Mirror
AQR
Research
13 Pages
Antti Ilmanen looks at why diversifying alternatives are hard for investors to stick with. He contrasts their objective case in portfolios with the behavioral biases and rearview mirror thinking that lead to under allocation.
Portfolio Management
November 2025
Who Harvests? Tax Alpha and Heterogeneous Responses to Capital Gains Taxation
Research
65 Pages
Capital taxation is a central component of the U.S. fiscal system: realized gains totaled $1.4 trillion in 2024, and their preferential tax treatment amounted to $244 billion in foregone federal revenue.
Markets
November 2025
Capital Allocation
Morgan Stanley
Research
88 Pages
Michael Mauboussin updates his 2022 study of how public companies in the U.S. spend money.
Portfolio Management
November 2025
Momentum factor investing: Evidence and evolution
Research
47 Pages
The authors review momentum’s evolution and test it across 150 years and 46 countries, finding it is “sizable, robust, persistent, and fundamentally multi-dimensional".”
Portfolio Management
November 2025
The Rise of Alternatives
Research
67 Pages
Juliane Begenau, Pauline Liang, and Emil Siriwardane examine why U.S. public pension funds have shifted heavily into alternatives, showing that consultant influence and return expectations—not risk appetite—primarily drove the move.
Diversification
November 2025
The Agony and Ecstasy • EMEA Edition
J.P. Morgan Asset Management
Research
24 Pages
Michael Cembalest first published the ‘Agony & Ecstasy’ analysis in 2004, and the EMEA team released an updated version based on June 2025 data.
Asset Allocation
November 2025
Multi-Asset Strategies and Asset Allocation
Vanguard
Research
22 Pages
Vanguard’s Investment Strategy Group presents a tax aware multi asset construction framework that optimizes after tax outcomes by modeling income, dividend, and capital gains rates alongside rebalancing frictions.
Asset Allocation
November 2025
Strategic Style Allocation: Absolute or Relative?
Robeco
Research
17 Pages
Robeco examines how to allocate equity styles for absolute versus benchmark-relative goals, demonstrating how factor combinations can be tailored to meet different investment objectives.
Portfolio Management
November 2025
The Tension We See in Markets
Bridgewater
Article
1 Pages
Bridgewater examines the tension between relatively balanced economic conditions and major shifts in geopolitics, fiscal policy, and AI.
AI
November 2025
Why we are not in a bubble… yet
Goldman Sachs
Research
29 Pages
Peter Oppenheimer explains why he believes the markets show froth but aren’t quite yet in bubble territory.
Asset Allocation
November 2025
A New Era of Higher Inflation Risks
Bridgewater
Research
17 Pages
Bridgewater says most portfolios remain poorly equipped to manage structurally higher inflation risks than pre-COVID.
AI
November 2025
Surviving the AI Capex Boom
Sparkline Capital
Research
14 Pages
Kai Wu finds historical capital expenditure booms have typically resulted in overinvestment, excess competition, and poor stock returns.
Asset Allocation
October 2025
A Second Opinion on the 60/40 Default
GMO
Research
10 Pages
GMO reexamines the 60/40 portfolio through a valuation lens and argues that today’s starting point warrants a more dynamic approach.
Asset Allocation
October 2025
Investing in Everything, Everywhere, All at Once
Goldman Sachs
Research
44 Pages
Peter Oppenheimer's team looks at the World Portfolio, which is the sum of all investable assets globally (estimated to be roughly US$250trn, or 200% of world GDP) and has returned 7.8% nominal and 4.1% in real terms annually since 1950.
Capital Allocation
October 2025
Global economic profit bounces back to an all-time high
McKinsey & Company
Research
7 Pages
McKinsey analyzes why global economic profit rebounded sharply after years of decline, drawing on data from the four thousand largest nonfinancial companies since 2005.
Europe
October 2025
Quantitative Precision: Seeking to Unlock High Alpha Potential in European Equities
Goldman Sachs
Research
20 Pages
Goldman Sachs Asset Management outlines a systematic approach to harvesting stock selection alpha in Europe using multi signal models and strict portfolio construction. Emphasis falls on exploiting wide dispersion in quality and valuation, neutralizing unintended bets, and integrating liquidity and risk controls to make signals investable at scale.
Asset Allocation
October 2025
Long-term treasuries in diversified portfolios
Meketa
Research
18 Pages
Meketa analyzes the role of long-term U.S. Treasuries in institutional portfolios, emphasizing their unique ability to hedge equity drawdowns, dampen volatility, and enhance liquidity during stress periods.
Portfolio Management
October 2025
How Private Companies Are Reshaping Public Markets
Morningstar
Research
18 Pages
Morningstar examines how the rise of private markets is reshaping U.S. public equities—particularly the small-cap segment.
Portfolio Management
October 2025
A Wealth of Opportunity
Bridgewater
Article
1 Pages
Bridgewater examines how investors can diversify beyond increasingly concentrated US equity exposure without simply becoming more defensive.
Portfolio Management
September 2025
A Closer Look at Long-term Returns
Commonfund
Research
5 Pages
The 2024 CCSF Study shares a closer look at long-term returns for foundations.
Portfolio Management
September 2025
Global Pension Assets Study
Thinking Ahead Institute
Research
44 Pages
The Thinking Ahead Institute published their Global Pension Assets Study, covering $58 trillion across 22 markets.
Portfolio Management
September 2025
When Public Meets Private: Rethinking the Modern Market
Morningstar
Research
12 Pages
Morningstar Indexes introduces the Morningstar PitchBook US Modern Market 100 Index, a benchmark combining 90 public and 10 private companies to capture the full scope of the modern U.S. equity landscape.
Portfolio Management
September 2025
Adapting to the Terrain: 2025 Family Office Investment Insights
Goldman Sachs
Research
44 Pages
Goldman Sachs published their 2025 Family Office Investment Insights report.
Portfolio Management
August 2025
American Unexceptionalism
GMO
Research
15 Pages
GMO challenges the long-held belief in U.S. equity superiority by breaking down the S&P 500’s outperformance into key sources—80% derived from dollar strength and valuation expansion, not sustained fundamental growth.
Markets
August 2025
The Calculus of Value
Oaktree
Article
1 Pages
Oaktree explains how investment success depends on understanding the relationship between price and intrinsic value rather than price alone.
Portfolio Management
August 2025
Navigating Through a Time of Extraordinary Change
Bridgewater
1 Pages
Bridgewater examines how modern mercantilism, concentrated US exposure, and technological disruption are reshaping the investment landscape.
Portfolio Management
July 2025
Equity Market Focus: Objective Expected Returns
AQR
Research
2 Pages
AQR examines how “objective” valuation-based models—such as equity yields or cyclically adjusted metrics—predict multi-year U.S. equity returns.
Portfolio Management
July 2025
The Risk, Reward, and Asset Allocation of Nonprofit Endowment Funds
Research
79 Pages
The authors analyze more than 800 U.S. nonprofit endowments to assess their performance, asset allocation, and risk-adjusted outcomes over two decades.
Portfolio Management
July 2025
Equity Market Focus: Interrogating the Historical Data
AQR
Research
12 Pages
In the fifth post from Antti Ilmanen’s series, he examines long-run U.S. equity returns and the pitfalls of relying on historical averages.
Portfolio Management
July 2025
Fundamental Growth
Research Affiliates
Research
49 Pages
Research Affiliates challenges the idea that expensive stocks should automatically be treated as growth stocks.
Portfolio Management
July 2025
Buffett’s Intangible Moats
Sparkline Capital
Research
15 Pages
Sparkline captures how Warren Buffett’s success stems from evolving beyond traditional value investing toward companies rich in intangible assets—such as brand equity, IP, and network effects.
Portfolio Management
July 2025
In an Unsteady World, Time to (Finally) Tilt Away from U.S. Equities?
Acadian
Research
5 Pages
Acadian argues that post‑Global Financial Crisis tailwinds that favored U.S. equities have diminished, making a case to rebalance toward non‑U.S. equities.
Portfolio Management
June 2025
The International Rebalance
Morgan Stanley
Research
7 Pages
Morgan Stanley highlights the entrenched home‑country bias among U.S. investors, with nearly 15 years of U.S. equity dominance masking broader opportunities abroad.
Portfolio Management
June 2025
How Did We Get Here? A Brief History of Expected Returns Formation
AQR
Research
16 Pages
In the fourth post from Antti Ilmanen’s series, he analyzes how investors have formed long-run return expectations over time, and how academics have perceived that investors do it (or ought to do it).
Portfolio Management
June 2025
Balancing Act: Building Resilient Portfolios in a Changing Landscape
PIMCO
Research
6 Pages
PIMCO’s mid-2025 asset allocation outlook outlines a systematic approach to building resilient portfolios amid policy uncertainty and shifting global growth dynamics.
Portfolio Management
June 2025
Risk Speedometers: What are allocators buying and selling?
Vanguard
Research
12 Pages
Vanguard shares what allocators are buying and selling across more than 100 sub-asset classes, durations, styles, sectors and thematic investment strategies.
Quantitative Investing
June 2025
What makes thematic investing a strong alternative in volatile markets
Robeco
Research
32 Pages
Robeco analyzes how thematic investing can provide diversification and resilience during volatile markets by aligning with structural megatrends.
Portfolio Management
June 2025
Seizing fundamental and quant alpha in developed equity markets
Robeco
Research
17 Pages
Robeco compares quantitative and fundamental equity strategies in developed markets, finding a combined approach offers diversification and enhances consistency in alpha generation.
Portfolio Management
May 2025
Is the Best Dividend Strategy to Avoid Them?
Cambria Investments
Research
11 Pages
Cambria examines whether investors can improve after tax wealth by avoiding dividend paying stocks and emphasizing value instead.
Portfolio Management
May 2025
What is the Safest Invesment Asset?
Cambria Investments
Research
6 Pages
Cambria explores whether traditional safe assets truly preserve wealth after inflation and argues that diversification matters more than many investors assume.
Portfolio Management
May 2025
Can We All Invest Like Yale?
Cambria Investments
Research
10 Pages
Cambria examines whether individual investors can realistically replicate Yale University's legendary endowment strategy using public markets.
Portfolio Management
May 2025
The Investment Pyramid
Cambria Investments
Research
8 Pages
Cambria explores what an effective investment hierarchy should look like as decades of market knowledge reshape traditional portfolio thinking.
Portfolio Management
May 2025
The Bear Market in Diversification
Cambria Investments
Research
7 Pages
Cambria examines why globally diversified portfolios have struggled against the S&P 500 since the Global Financial Crisis despite long term evidence supporting diversification.
Portfolio Management
May 2025
What if You Owned No U.S. Stocks?
Cambria Investments
Research
5 Pages
Cambria examines whether investors truly need US stocks to build long term wealth.
Portfolio Management
May 2025
Worried About the Market? It Might Be Time for this Strategy
Cambria Investments
Research
22 Pages
Cambria explains how investors can use tail risk strategies to navigate an 8 year bull market.
Portfolio Management
May 2025
What Has Private Equity Done to Small-Cap Stocks?
Marquette Associates
Research
6 Pages
Marquette Associates examines how the expansion of private equity is reshaping small‑cap public markets: firms now stay private longer, capturing growth privately and shrinking the small‑cap universe.
Portfolio Management
May 2025
Alternatives & Strategic Asset Allocation Creating a robust framework for private investors
Deutsche Bank
Research
24 Pages
Deutsche Bank outlines a strategic framework for incorporating alternatives into long-term asset allocation, emphasizing their role in diversification and risk balance.
Portfolio Management
May 2025
Go Small or Go Home
AQR
Research
9 Pages
AQR explores why small caps, especially in the international and emerging regions, present a compelling investment opportunity driven by the potential for higher expected market returns, attractive earnings growth, strong diversification benefits, and rich alpha opportunities.
Portfolio Management
May 2025
Active Management Is Suited to Uncertain Times
Morgan Stanley
Research
7 Pages
The report emphasizes the growing importance of active management in fixed income investing.
Portfolio Management
May 2025
Buffer Madness
AQR
Research
10 Pages
Cliff Asness follows up on AQR’s recent piece, which was critical of options-based strategies such as "defined outcome funds" and "buffered ETFs".
Alternative Assets
May 2025
The Demise of Alternative Investments
Research
21 Pages
Richard Ennis argues that alternative investments bring extraordinary costs but ordinary returns.
Portfolio Management
May 2025
Exceptional Expectations: U.S. vs. Non-U.S. Equities
AQR
Research
12 Pages
Part II in the series by Antti Ilmanen applies the ideas to expectations for U.S. equities versus the rest of the world by analyzing the drivers of relative performance—in particular the different roles of fundamentals and valuations—and assessing the most likely implications for future returns.
Portfolio Management
May 2025
Passive Aggressive: The Risks of Passive Investing Dominance
Research Affiliates
Research
14 Pages
Chris Brightman and Campbell Harvey explore the systemic risks associated with the growing dominance of passive, capitalization-weighted index funds.
Portfolio Management
May 2025
Why Are Bond Investors Contrarian While Equity Investors Extrapolate?
AQR
Research
15 Pages
In Part III of the series from Antti Ilmanen, he explores why equity investors tend to extrapolate recent trends in returns and earnings growth, while bond investors tend to expect mean reversion in rates.
Portfolio Management
April 2025
Market Timing: More than a Mirage
Man Group
Research
12 Pages
Man Group says market timing, when executed with skill and discipline, is a powerful tool that allocators should use in seeking to deliver returns to their investors across the cycle.
Portfolio Management
April 2025
Capital Market Assumptions: Redefined
Man Group
Research
33 Pages
Man Group critiques the conventional use of 10-year Capital Market Assumptions (CMAs), arguing they’re often inaccurate and misapplied.
Portfolio Management
April 2025
Small Caps, Big Opportunities: Investing Beyond Large-Cap Stocks
Research Affiliates
Research
13 Pages
Research Affiliates says the current valuation gap favoring small-cap stocks signals the potential to unlock value and outperform.
Portfolio Management
April 2025
Playing a Bigger Game
MFS
Research
16 Pages
MFS President Carol Geremia addresses the pervasive short-termism in the investment industry and advocates for a transformative shift towards long-term value creation.
Portfolio Management
April 2025
What Should You Do When You Don’t Know What to Do?
Man Group
Research
14 Pages
Man Group emphasizes that in the face of heightened market uncertainty, investors should focus on three core principles: diversification, volatility-based exposure management, and systematic risk controls.
Portfolio Management
April 2025
Choosing to Lose: Country Misallocation in Discretionary EM Investing
Acadian
Research
9 Pages
Acadian studies the country positioning of emerging market equity managers, finding it didn’t help returns and was infected by return chasing.
Portfolio Management
April 2025
How Do Investors Form Long-Run Return Expectations?
AQR
Research
16 Pages
This paper is Part I in a series from Antti Ilmanen, which tries to understand how investors actually form long-run return expectations.
Portfolio Management
March 2025
The World Is Changing. Is Your Portfolio Ready?
Bridgewater
Article
1 Pages
Bridgewater examines how investors can prepare for a changing market regime after an exceptional run in US equities.
Portfolio Management
March 2025
Rebuffed: A Closer Look at Options-Based Strategies
AQR
Research
5 Pages
AQR critically evaluates the performance of popular options-based investment strategies, such as buffered and defined outcome funds, over the period from 2020 to early 2025.
Portfolio Management
March 2025
Dividends and Buybacks – Inertia and Me-tooism!
Research
23 Pages
Professor Aswath Damodaran provides a framework for thinking about how much cash a business can return to its owners, and then argues that, in reality, this decision is affected by inertia and me-tooism.
Portfolio Management
March 2025
Concentrated portfolio managers: Courageously losing your money
Acadian
Research
10 Pages
Acadian Asset Management critically examines the widespread belief in concentrated portfolios, arguing that such strategies often lead to significant wealth destruction due to overconfidence and a misunderstanding of risk.
Portfolio Management
February 2025
Why Total Shareholder Yield Matters More Than Dividends
Morningstar
Article
6 Pages
Morningstar explains why total shareholder yield, which combines dividends and buybacks, may be a more useful framework than focusing on dividends alone.
Portfolio Management
February 2025
Why You Should Go Beyond Tax Loss Harvesting in SMAs
Dimensional
Article
1 Pages
Dimensional explains why tax management in separately managed accounts can extend well beyond simple tax loss harvesting.
Markets
February 2025
Investor Perspectives: Intangible Assets
CFA Institute
Research
144 Pages
CFAI provides an analysis of the rise of intangible assets relative to the market capitalization of firms today.
Portfolio Management
February 2025
A New Paradigm in Active Equity
AQR
Research
17 Pages
AQR covers two hot topics in today’s market: equity market concentration and technological innovation.
Portfolio Management
January 2025
2035: An Allocator Looks Back Over the Last 10 Years
AQR
Research
6 Pages
Cliff Asness presents a fictional endowment manager reflecting on a decade of underwhelming investment performance, emphasizing the enduring value of diversification, disciplined asset allocation, and contrarian investing, especially when such approaches are out of favor.
Portfolio Management
January 2025
Can Private Markets Be the Alternative to Lofty Public Market Valuations?
Apollo
Research
10 Pages
With both stocks and bonds becoming more correlated and trading at elevated valuations, Apollo looks at whether or not private markets can enhance potential returns and improve diversification.
Portfolio Management
December 2024
The Red Thread: The Diversification Edition
UBS
Research
45 Pages
UBS’ latest edition of The Red Thread delves into the complexities of diversification, emphasizing that while diversification remains a foundational investment principle, its practical application is increasingly nuanced in today's market environment.
Portfolio Management
December 2024
Formula Investing
Robeco
Research
13 pages Pages
Marcel Schwartz and Matthias Hanauer evaluated the effectiveness of four popular investing formulas—the F-Score, Magic Formula, Acquirer's Multiple, and Conservative Formula.
Portfolio Management
December 2024
Choosing the Right Diversifying Strategies for your Portfolio
NEPC
Research
14 Pages
NEPC looks at true diversifying strategies - those that utilize investment processes that produce returns driven by idiosyncratic risk rather than factor risk.
Portfolio Management
November 2024
The rise of passive ownership across the S&P 500 and its impact on company valuation and performance
Goldman Sachs
Research
37 Pages
Goldman Sachs assesses the impact of passive investing on the stock market and says, "for stock pickers the share of passive ownership of a company is much less important for valuation multiples than fundamental attributes."
Asset Allocation
November 2024
Negative Correlations, Positive Allocations
PIMCO
Research
8 pages Pages
PIMCO discusses the resurgence of the inverse relationship between bonds and stocks, highlighting its potential to enhance risk-adjusted returns in multi-asset portfolios.
Markets
November 2024
The Asset Owner 100
Thinking Ahead Institute
Research
69 Pages
Explore the global asset management landscape through an analysis of the world’s 100 largest asset owners, uncovering their scale, influence, and the key themes reshaping the investment world today.
Portfolio Management
October 2024
Against Apathy
Man Group
Research
9 Pages
Man advocates for a balanced investment strategy that includes asset and regional diversification and selective market timing to manage risk and reduce potential losses during market downturns, challenging the idea that a purely passive, U.S.-focused stock approach is always best.
Portfolio Management
October 2024
Buybacks for US, Dividends for EU
Verdad
Research
4 Pages
Verdad’s deep dive on shareholder yield finds it “does a relatively good job of spreading returns in a linear fashion, both in the US and abroad.”
Markets
October 2024
Diversify to Amplify
Goldman Sachs
Research
19 Pages
Peter Oppenheimer’s team says economic growth alongside lower policy rates creates a more favorable environment for equities, though high valuations and rising long-term rates may limit index-level gains, making alpha generation and diversification key drivers of future returns.
Portfolio Management
October 2024
A Second Opinion Is Just What the Doctor Ordered
GMO
Research
9 Pages
GMO shares where they see opportunity if you are willing to look different than a standard, capitalization-weighted 60/40 portfolio.
Portfolio Management
October 2024
A Historic Opportunity in Deep Value Stocks
GMO
Research
3 Pages
GMO shares an update on deep value stocks, which is their highest conviction idea and are trading at a valuation in the bottom decile of its history relative to the overall market.
Portfolio Management
October 2024
Broad Strategic Asset Allocation: Sizing Allocations to Liquid and Illiquid Alternatives Alongside Traditional Assets
AQR
Research
21 pages Pages
AQR's Portfolio Solutions Group explores the integration of liquid and illiquid alternative investments into traditional portfolios, aiming to enhance diversification and improve risk-adjusted returns.
Portfolio Management
October 2024
Concentrated Equity: Practice Versus Premise
Acadian
Research
12 pages Pages
Acadian critically examines the efficacy of concentrated equity strategies, which focus on a limited number of high-conviction holdings, to determine if they deliver superior active returns compared to more diversified approaches.
Portfolio Management
October 2024
Leveraging the Low-Volatility Effect
Robeco
Research
13 pages Pages
Robeco provides an explanation of the low-volatility effect and explores five use cases to leverage upon the low-volatility effect to unlock the full potential of this underutilized factor.
Portfolio Management
September 2024
Are private assets worth the effort? A study of their impact on endowments and foundations’ returns and spending
Fidelity Investments
Research
9 Pages
Fidelity’s analysis shows nonprofits can potentially both improve investment performance and reduce spending volatility by accessing above-median private market managers.
Portfolio Management
September 2024
The Great Rotation: Part II
Verdad
Research
3 Pages
This follow-up explores the historical context behind the current record-high U.S. market weight in global indices and highlights the growing imbalance between equity representation and economic output.
Portfolio Management
September 2024
Risk Speedometers: What are allocators buying and selling?
Vanguard
Research
12 Pages
Vanguard analyzes allocators' risk appetite and what they’re buying and selling across more than 100 sub-asset classes, durations, styles, sectors, and thematic investment categories.
Portfolio Management
September 2024
The Great Rotation: Part I
Verdad
Research
6 Pages
This research highlights the growing imbalance in U.S. equity allocations, arguing that emerging valuation risks could prompt investors to rebalance toward international markets.
Portfolio Management
August 2024
Nixed: The Upside of Getting Dumped
Research Affiliates
Research
11 Pages
This paper examines the long-term performance of stocks deleted from major cap-weighted indexes, finding that such "nixed" companies tend to outperform post-removal due to mean reversion and liquidity-driven mispricing.
Portfolio Management
August 2024
A guide to 130/30 loss harvesting
BlackRock
Research
15 Pages
Apiero analyzes the effects of leverage on tax-managed public equity strategies by comparing 130/30 long/short portfolios to traditional long-only portfolios.
Portfolio Management
August 2024
A Rose by Any Other Name Would Smell as Sweet
GMO
Research
5 Pages
GMO explains why deep value stocks are their highest conviction long-only investment idea.
Portfolio Management
August 2024
Considerations for active fund investing
Vanguard
Research
17 Pages
Vanguard provides a framework for investors considering active fund strategies, emphasizing the importance of aligning such investments with specific market segments and individual goals.
Asset Allocation
August 2024
The Risk and Reward of Investing
Robeco
Research
44 Pages
Ronald Doeswijk and Laurens Swinkels analyze the risks and rewards of investing by constructing a comprehensive global market portfolio valued at $150 trillion, covering the period from 1970 to 2022.
Markets
July 2024
Which One Is It?
Morgan Stanley
Research
20 Pages
This report examines how public companies manage equity issuance and buybacks, highlighting the importance of aligning actions with intrinsic value. Firms engaging in both simultaneously may undermine shareholder returns if price and value diverge.
Portfolio Management
July 2024
The Yieldy Put: To Infinity and Beyond Bonds
Man Group
Research
8 Pages
Man suggests that liquid alternative strategies, specifically trend-following and long/short quality stocks, could be viewed as the new bonds, providing both diversification and defensiveness.
Portfolio Management
July 2024
The Art of Patient Investing
Meketa
Research
15 Pages
Meketa makes the long-term case for a diversified portfolio and explores various areas where investors may want to remain patient in the current market.
Portfolio Management
July 2024
Worth the Weight
S&P Global
Research
19 Pages
S&P Dow Jones Indices examines the S&P 500 Equal Weight Index’s historical outperformance, identifying the structural and factor-based drivers behind its returns relative to the traditional market-cap-weighted benchmark.
Portfolio Management
June 2024
Should Your Stock Portfolio Consider Your Career?
Morningstar
Research
35 Pages
Morningstar explores how investors can improve risk-adjusted returns by aligning stock portfolios with their nontradable wealth, such as human capital and restricted stock units.
Portfolio Management
June 2024
The Cross-Section of Stock Returns before CRSP
Robeco
Research
96 Pages
Robeco examines whether well known equity factors remain valid using a newly built database of U.S. stocks from 1866 to 1926.
Portfolio Management
May 2024
Tapping Private Market Insights for Public Market Investments
Man Group
Research
11 Pages
This paper explores how data and frameworks from private equity markets can enhance public equity investing. It presents a methodology for extracting valuation insights from private transactions to inform factor exposures in public portfolios.
Portfolio Management
May 2024
Analysis of Large US University Endowment Outperformance
True North Institute
Research
29 Pages
Stan Miranda analyzed the performance of 12 large US university endowments and shares four key takeaways.
Portfolio Management
March 2024
FY2023 Ivy Report Card: Volatility Laundering and the Hangover from Private Markets Investing
Research
10 Pages
Fiscal year 2023 proved challenging for Ivy and elite endowments, which underperformed both smaller endowments and global benchmarks.
Portfolio Management
March 2024
2024 Diversification Landscape
Morningstar
Research
52 Pages
Morningstar offers a deep dive into the diversification potential of several major asset classes.
Portfolio Management
March 2024
The Cockroach Approach
Mutiny Funds
Research
86 Pages
The Mutiny team wrote a long paper on the cockroach portfolio, which shares their framework for portfolio construction to compound wealth in both boom and bust environments.
Portfolio Management
March 2024
Why capital allocation matters for companies and investors
T. Rowe Price
Research
6 Pages
David Giroux gives an overview of capital allocation, with examples from Danaher, GE & AutoZone, and explains why he believes finding companies that deploy capital well is still an inefficiency that can be exploited.
Portfolio Management
March 2024
Record Highs…But We’re Still Excited
GMO
Research
2 Pages
This brief piece from GMO explains why an abundance of cheap assets and appealing valuation spreads within asset classes presents the best relative asset allocation opportunity they’ve seen in 35 years.
Portfolio Management
February 2024
Don’t Blame Indexing for Your Problems
Acadian
Research
6 Pages
Owen Lamont thinks the discussion about passive investing is misguided. He argues an increase in passive investing does not necessarily mean the market becomes less efficient.
Portfolio Management
February 2024
Top Three Investment Ideas to Consider for 2024
AQR
Research
4 Pages
AQR revisits their top three investment ideas from 2023 and explains why they still like the set up for all three in 2024.
Portfolio Management
February 2024
Where Can Investors Find Geographic Diversification Today?
Bridgewater
Research
9 Pages
Bridgewater investigates which countries outside the U.S. are most beneficial from a diversification standpoint. They highlight China, Japan, Brazil & India as four countries that can be valuable diversifiers to a US-centric portfolio.
Portfolio Management
February 2024
Risk Parity with Trend Following
LongTail Alpha
Research
17 Pages
This paper evaluates how augmenting traditional risk-parity portfolios with trend-following strategies—especially those incorporating carry filters—can improve risk-adjusted performance.
Portfolio Management
February 2024
Magnificently Concentrated: Your active managers are more competent than they look
GMO
Research
10 Pages
GMO's Q1 2024 letter discusses the extreme concentration of U.S. equities, particularly the dominance of the “Magnificent Seven,” and suggests this dynamic favors active managers who deviate from cap-weighted benchmarks.
Portfolio Management
February 2024
Regime-Based Investing
Man Group
Research
11 Pages
Henry Neville introduces a regime-based investment framework that segments macro conditions—like inflation levels, growth trends, yield curve shapes, and market sentiment—to help investors understand how various strategies and asset classes behave across different environments.
Portfolio Management
January 2024
Value investing: “The reports of my death have been greatly exaggerated”
Robeco
Research
11 Pages
Robeco explores the resurgence of the Value factor since the Covid-19 vaccine announcement roughly three years ago, with insights from ten key graphs.
Portfolio Management
January 2024
The Quality Anomaly: The Weirdest Market Inefficiency in the World
GMO
Research
10 Pages
Ben Inker of GMO explores the enduring and puzzling “quality anomaly,” where higher quality equities and bonds—despite being lower risk—have historically delivered better returns.
Portfolio Management
December 2023
Inflation and Tax Efficiency
AQR
Research
3 Pages
AQR explains the relationship between inflation and taxes, and why tax-efficiency becomes more valuable as inflation rises.
Portfolio Management
December 2023
Constructing return-target portfolios: A time-varying, valuation-aware approach to asset allocation
Vanguard
Research
14 Pages
Vanguard presents a framework for building return target portfolios that link medium term return goals to evolving market valuations.
Portfolio Management
December 2023
Endowment asset allocations: insights and strategies
Research
20 Pages
This paper highlights the importance of asset allocation in portfolio performance, along with the relevance of various asset classes (including International Equity, Real Estate, and Natural Resources) over time.
Markets
December 2023
Searching for Great Dividend Funds
Morningstar
Research
19 Pages
Morningstar analyzes various dividend strategies: dividend income, dividend growth, and dividend growth & income. Then they share a “how to” guide with what to focus on when trying to identify dividend funds that will perform well over the long run.
Portfolio Management
November 2023
Pricing Power Everywhere
Research
16 Pages
Bloomberg Indices examines how corporate pricing power can be defined and measured across global equity markets.
Markets
November 2023
Total Shareholder Return: Linking The Drivers of Total Returns to Fundamentals
Morgan Stanley
Research
32 Pages
Morgan Stanley Investment Management explores how total shareholder return ties stock price, earnings, valuation and capital distributions back to fundamentals.
Portfolio Management
November 2023
Beyond the Status Quo: A Critical Assessment of Lifecycle Investment Advice
Research
29 Pages
This paper challenges two central tenets of lifecycle investing — savers should diversify across stocks and bonds and the young should invest more heavily in stocks than the old.
Portfolio Management
October 2023
Inching Toward Equilibrium
Bridgewater
Article
1 Pages
The authors examine how the U.S. economy is moving closer to equilibrium while financial markets remain more imbalanced.
Portfolio Management
October 2023
Honey, the Fed Shrunk the Equity Premium
AQR
Research
18 Pages
AQR Capital Management examines how higher interest rate levels affect equity risk premia and strategic asset allocation.
Portfolio Management
September 2023
The Cross-Section of Factor Returns
Robeco
Research
33 Pages
Robeco Quantitative Investments analyzes more than 150 equity factors to understand how they behave across market environments.
Portfolio Management
September 2023
Breaking Down the Sources of US Economic Resilience
Bridgewater
Article
1 Pages
Bridgewater Associates examines why the US economy remained resilient despite aggressive monetary tightening, focusing on income, borrowing, and savings.
Portfolio Management
September 2023
Valuations, economy may favor value stocks
Vanguard
Research
4 Pages
Vanguard argues that value stocks look notably cheap relative to growth after a long stretch of underperformance.
Markets
August 2023
The Difference of Dividends
WisdomTree
Research
6 Pages
WisdomTree analyzes how dividends have driven long run equity returns and how its dividend indexes compare with the S&P 500.
Portfolio Management
August 2023
Empirical evidence on the stock-bond correlation
Robeco
Research
57 Pages
The authors examine long run stock bond correlations across major markets to understand when bonds hedge or move with equities.
Portfolio Management
July 2023
The Road Ahead: Of Rocks and Hard Places
Man Group
Research
7 Pages
Man Institute explores how long only equity and bond investors can navigate an unappealing valuation backdrop using portfolio construction tools.
Portfolio Management
June 2023
Assessing Alternative Value Metrics
Dimensional
Research
16 Pages
Dimensional Fund Advisors investigates whether alternative valuation ratios add value beyond traditional price to book.
Portfolio Management
June 2023
Intangible Value: A Sixth Factor
Sparkline Capital
Research
8 Pages
Sparkline Capital introduces the Intangible Value factor as an additional building block alongside market, size, value, quality and momentum.
Portfolio Management
June 2023
The Quality Spectrum: Stability in an Unstable World
GMO
Research
7 Pages
GMO explores how quality companies and junk companies sit at opposite ends of the equity risk spectrum in a fragile macro backdrop.
Portfolio Management
May 2023
Value investing: avoiding climate traps
Robeco
Research
12 Pages
Robeco discusses how traditional value portfolios can fall into climate traps when cheap looking companies face rising environmental costs.
Portfolio Management
May 2023
International Diversification— Still Not Crazy after All These Years
AQR
Research
12 Pages
AQR Capital Management revisits international equity diversification and argues it still makes sense even after a long stretch of US outperformance.
Portfolio Management
March 2023
Risk Mitigating Strategies (RMS) Framework
Meketa
Research
10 Pages
Meketa Investment Group lays out a risk mitigating strategies framework that groups defensive tools by how they behave in equity stress.
Portfolio Management
March 2023
What To Do With Your Next Dollar: A quantitative framework
Vanguard
Research
18 Pages
Vanguard presents a quantitative framework for deciding how to allocate each additional dollar across investing, debt repayment, and tax advantaged accounts.
Portfolio Management
February 2023
A Century of Asset Allocation Crash Risk
Samonov & Sorokina
Research
56 Pages
Samonov and Sorokina analyze one century of asset allocation crash risk across popular portfolio frameworks.
Portfolio Management
February 2023
Tax-loss Harvesting Municipal Bonds: A Primer
Research
9 Pages
This paper examines why tax loss harvesting in municipal bonds is more complicated than simply selling positions with losses.
Portfolio Management
January 2023
Don’t Lose Faith in the 60/40 Portfolio
Morningstar
Research
13 Pages
Morningstar reassesses the classic 60/40 mix and argues its core logic still holds.
Portfolio Management
January 2023
After a Timeout, Back to the Meat Grinder!
GMO
Research
10 Pages
GMO argues the first and easiest leg of a speculative bubble has burst, but risks remain.
Portfolio Management
January 2023
Quarterly Letter 4Q 2022
GMO
Research
9 Pages
GMO reviews how 2022 rewarded patience as speculative assets deflated and unfashionable exposures held up.
Portfolio Management
January 2023
Functional Allocation Framework
Meketa
Research
18 Pages
Meketa outlines a portfolio design that groups assets by what they do rather than by traditional labels.
Markets
December 2022
Capital Allocation: Results, Analysis and Assessment
Morgan Stanley
Research
85 Pages
Morgan Stanley explains why capital allocation is the CEO’s most important job and a major driver of long term value per share.
Portfolio Management
December 2022
Growth Versus Value: End of an Era?
Acadian
Research
9 Pages
Acadian Asset Management argues the 2022 value comeback story is messier than headlines suggest because common value benchmarks now embed big sector bets.
Portfolio Management
December 2022
Part 1: THE VALUE OPPORTUNITY UPDATED After a Good Run, Value Looks Anything but Exhausted
GMO
Research
12 Pages
GMO revisits value versus growth and argues the value opportunity still looks unusually compelling, even after a strong relative run.
Portfolio Management
November 2022
Investing in Influence
Sparkline Capital
Research
14 Pages
Sparkline Capital argues political influence is an overlooked intangible asset that investors can quantify and potentially monetize.
Portfolio Management
November 2022
Quality Time in Small Cap
GMO
Research
6 Pages
GMO argues small cap quality is finally offering both long term appeal and near term valuation support.
Portfolio Management
November 2022
What Really Matters?
Oaktree
Article
1 Pages
Oaktree Capital explains why successful investing depends far less on forecasting, trading, and short term results than most investors believe.
Dividends
November 2022
Dividend Timing and Global Dividend Premium
Research
63 Pages
This paper examines why dividend paying stocks have historically outperformed nonpayers across global equity markets.
Portfolio Management
November 2022
Investing Through a Structurally Inflationary Regime
Bloomberg
Research
23 Pages
Bloomberg examines how portfolio construction changes when inflation is structural rather than fleeting.
Portfolio Management
November 2022
How Conditions Today Compare to Past Equity Market Bottoms
Bridgewater
Article
1 Pages
Bridgewater Associates compares 2022 market conditions with past inflation driven equity bottoms, arguing that several historical ingredients for a durable turn were still missing.
Portfolio Management
September 2022
Liquid Venture Capital
Sparkline Capital
Research
17 Pages
Sparkline Capital argues investors can capture much of venture capital’s innovation premium with liquid public equities, and complement blockchain exposure with crypto tokens.
Portfolio Management
September 2022
Is Value Just an Interest Rate Bet?
AQR
Research
7 Pages
AQR argues the popular idea that value is simply an interest rate trade is mostly wrong.
Portfolio Management
August 2022
Why Fundamentals Matter
O’Shaughnessy Asset Management
Research
9 Pages
O’Shaughnessy Asset Management argues fundamentals reassert themselves when cheap money fades and narratives stop doing the heavy lifting.
Portfolio Management
August 2022
Equity Markets Aren’t Pricing in the Next Stage of the Tightening Cycle
Bridgewater
1 Pages
Bridgewater examines why equities may not fully reflect the economic and earnings consequences of monetary tightening.
Portfolio Management
August 2022
Alternative Thinking – New Rules of Diversification
AQR
Research
18 Pages
AQR looks at why 2022 felt like a “different kind” of recession risk, where inflation and tightening can pressure both stocks and bonds at once.
Portfolio Management
July 2022
I Beg to Differ
Oaktree
Article
1 Pages
Oaktree Capital explores why consistently outperforming requires thinking differently from the crowd rather than simply following consensus.
Portfolio Management
July 2022
Something of Value
Oaktree
Article
1 Pages
Oaktree Capital explores how value investing should evolve in a world dominated by technology, intangible assets, and rapid innovation.
Portfolio Management
July 2022
Investing in Deflation, Inflation, and Stagflation Regimes
Robeco
Research
38 Pages
Robeco examines how stocks, bonds, and factor premiums behave across deflation, inflation, and stagflation regimes.
Portfolio Management
July 2022
The Stock/Bond Correlation
AQR
Research
18 Pages
AQR Capital Management explains why the stock and bond correlation may turn positive again and why that matters.
Portfolio Management
June 2022
Growth Traps Snap Shut: More portfolio pain to come?
GMO
Research
5 Pages
GMO explains what growth traps are and why they have been especially painful for investors recently.
Portfolio Management
June 2022
Conservative investing stands the test of time
Robeco
Research
6 Pages
Robeco explains conservative investing as “winning by losing less” and tests it using a US stock database stretching back to 1866.
Portfolio Management
June 2022
Who Need TIPS When You’ve Got Friends Like This?
GMO
Research
9 Pages
GMO argues that resource equities can still help protect portfolios from inflation even after a powerful commodity rally.
Portfolio Management
May 2022
Long-Only Value Investing: Does Size Matter?
Alpha Architect
Research
29 Pages
Alpha Architect studies how firm size affects the value premium when investors hold long only portfolios rather than academic long short factors.
Portfolio Management
May 2022
Investing in Innovation
Sparkline Capital
Research
17 Pages
Sparkline Capital builds a long history of innovation investing using patent data and natural language processing to track emerging technologies.
Pension Funds & Endowments
April 2022
Endowments Record Their Best Performance Since 1989
Pictet
Research
5 Pages
Pictet Wealth Management examines why US university endowments delivered their strongest results in decades.
Pension Funds & Endowments
April 2022
Endowment and Foundation Annual Newsletter
Meketa
Research
9 Pages
Meketa Investment Group reviews the extraordinary 2021 market environment and how it translated into outcomes for endowments and foundations.
Pension Funds & Endowments
April 2022
2021 NACUBO-TIAA Study of Endowments
Nacubo
Research
16 Pages
TIAA and NACUBO analyze how US college and university endowments invested and performed in fiscal 2021.
Portfolio Management
January 2022
Let The Wild Rumpus Begin – (Approaching the End of) The First U.S. Bubble Extravaganza: Housing, Equities, Bonds, and Commodities
GMO
Research
12 Pages
GMO argues U.S. markets are in a late-stage “superbubble,” where extreme valuations across multiple asset classes could unwind simultaneously.
Portfolio Management
December 2021
Time To Diversify – But Into What?
AQR
Research
9 Pages
AQR argues that traditional portfolios face structurally lower returns and explores where investors can realistically diversify beyond equities and bonds.
Portfolio Management
December 2021
Quarterly Letter 3Q 2021
GMO
Research
10 Pages
GMO examines why relying on historical returns can mislead investors, using bond markets to show how return components matter more than averages.
Portfolio Management
December 2021
Seven Black Swans a Swimming: Tail Events That Could Shape Markets
Man Group
Research
15 Pages
Man Institute explores a range of potential “black swan” events that could disrupt global markets, focusing on low-probability, high-impact risks that traditional models tend to underestimate.
Portfolio Management
November 2021
The Great Inflation, Factors, And Stock Returns
O’Shaughnessy Asset Management
Research
16 Pages
O’Shaughnessy Asset Management examines how inflation regimes shape the relative performance of U.S. stocks and bonds over more than a century.
Portfolio Management
November 2021
The Role Of Income In Portfolios
Verus Investments
Research
11 Pages
Verus Investments explores how income versus price appreciation shapes portfolio construction, especially in a low-rate world where dependable cash flows have become more central to outcomes.
Global Macroeconomics
October 2021
A Factor-Based Approach To Currency Management
Insight Investment
Research
12 Pages
Insight Investment explores how a factor-based framework can improve currency management by capturing drivers like carry, value, and momentum.
Portfolio Management
October 2021
Life Cycle Investing
O’Shaughnessy Asset Management
Research
10 Pages
O’Shaughnessy Asset Management presents the Life Cycle Canvas, a framework for mapping decisions across an investment or project lifecycle from idea to execution.
Portfolio Management
October 2021
Cash Flows Matter For Tail Hedging Strategies
LongTail Alpha
Research
11 Pages
LongTail Alpha argues that traditional return metrics can misrepresent tail hedging by ignoring the timing and magnitude of cash flows, framing these strategies more like insurance than investments.
Portfolio Management
October 2021
How Does Quality Work?
Verdad
Research
8 Pages
Verdad explores what drives the quality factor, arguing that persistent outperformance is less about stability and more about how profitability, growth, and reinvestment interact over time.
Portfolio Management
October 2021
When Stock-Bond Diversification Fails
AQR
Research
17 Pages
AQR Capital Management examines how stock and bond diversification can break down when inflation shocks drive both assets lower at the same time.
Portfolio Management
September 2021
Dispelling Myths In The Value Vs. Growth Debate
GMO
Research
11 Pages
GMO examines the value versus growth debate, arguing recent growth leadership does not invalidate long term value investing.
Portfolio Management
September 2021
Did I Miss The Value Turn?
Research Affiliates
Research
11 Pages
Research Affiliates examines whether investors missed the recent value rebound and what today’s extreme valuation spreads imply for future returns.
Portfolio Management
August 2021
Are Value Stocks Cheap For A Fundamental Reason?
AQR
Research
8 Pages
AQR Capital Management examines whether value stocks are cheap due to genuinely weaker fundamentals or simply mispricing driven by investor expectations.
Portfolio Management
July 2021
Mid-Year Letter For 2021
GMO
Research
7 Pages
GMO’s mid-year 2021 letter outlines a turning point in equity markets, arguing that the long-awaited reversal from Growth to Value has begun and could extend for years.
Portfolio Management
May 2021
Spring Has Sprung For Value Investing
Robeco
Research
13 Pages
Robeco examines whether value investing is staging a durable comeback after years of underperformance, arguing that improving fundamentals and sentiment may signal a turning point.
Portfolio Management
May 2021
Asset Allocation: Private Markets In Global Multi-Asset Portfolios
Pantheon
Research
17 Pages
Pantheon explores how private markets can enhance a global portfolio by improving diversification, return potential, and resilience across cycles.
Portfolio Management
April 2021
Countercyclical Investing – Foundations of a Cycle-Driven Approach to Asset Allocation
Verdad
Research
50 Pages
Verdad Advisors examines countercyclical asset allocation, arguing that disciplined rebalancing into underperforming assets can enhance long-term returns despite short-term discomfort.
Portfolio Management
April 2021
The Duration of Value and Growth – Much closer to each other than you’d guess
GMO
Research
9 Pages
GMO explores the duration characteristics of value versus growth stocks, arguing that growth equities behave like long-duration assets while value stocks are shorter duration and more sensitive to near-term cash flows.
Portfolio Management
April 2021
History Rhymes, Opportunity Knocks: Thoughts On Bubbles, Inflation, And Timely Allocations
Wellington Management
Research
12 Pages
Wellington Management examines how asset bubbles and rising inflation can emerge together, driven by prolonged monetary stimulus and excess liquidity.
Portfolio Management
March 2021
The Long Run is Lying to You
AQR
Research
16 Pages
AQR challenges the idea that long run averages are reliable guides for investors, arguing that starting valuations and economic conditions heavily distort realized outcomes over practical investment horizons.
Portfolio Management
March 2021
Taxes – It’s Not What You Make, It’s What You Keep
BlackRock
Research
13 Pages
BlackRock outlines how investors should interpret fund distributions and tax documents, focusing on how income, capital gains, and return of capital flow through to taxable accounts.
Portfolio Management
March 2021
Value Investing is Dead? No, Long Live Value!
DoubleLine
Research
21 Pages
DoubleLine Capital examines the case for a potential revival in value investing after a prolonged period of growth dominance. The paper argues that extreme valuation spreads and rising inflation expectations could tilt the playing field, though timing remains uncertain.
Portfolio Management
February 2021
Russell Growth and Value Indexes: the enduring utility of style
FTSE Russell
Research
30 Pages
Russell examines the long standing cycle between growth and value investing, arguing that extreme valuation spreads may signal a potential turning point.
Portfolio Management
February 2021
Is Diversification Dead?
Research Affiliates
Research
17 Pages
Research Affiliates questions whether diversification still works in a world where asset class correlations have risen and valuations are elevated across markets.
Portfolio Management
January 2021
Why Investors Should Hold a Diversified Portfolio of Commodities
Bridgewater
Article
1 Pages
The authors argue that commodities can diversify portfolios against different forms of inflation, but broad exposure matters because individual markets respond to different economic forces.
Portfolio Management
January 2021
Design Choices and Risk Factor Performance
Two Sigma
Research
21 Pages
Two Sigma explores how subtle construction decisions materially change the performance of risk factor strategies, even when targeting the same factor.
Portfolio Management
January 2021
Five Reasons To Invest In Value Equities
Prospector Partners
Research
9 Pages
Prospector Partners argues value equities may be poised for a comeback after years of lagging growth, framing the opportunity around valuation dispersion and income potential.
Portfolio Management
December 2020
A Gut Punch
AQR
Research
11 Pages
AQR looks at why a multi factor quant portfolio still struggled even as value finally bounced in late 2020.
Portfolio Management
December 2020
Quarterly Letter 3Q 2020
GMO
Research
20 Pages
GMO argues that value stocks are trading at historically extreme discounts after their worst 12-month stretch on record, setting up a potential reversal versus growth.
Wealth Management
December 2020
The Role of Taxes in the Rise of ETFs
Research
148 Pages
This paper argues that a lesser-known yet economically significant tax-deferral feature of ETFs’ security design is crucial to their success.
Portfolio Management
November 2020
Diversifying Diversification
LongTail Alpha
Research
19 Pages
LongTail Alpha explores how combining multiple diversification strategies can improve downside protection in equity-heavy portfolios.
Portfolio Management
November 2020
The Risk Report
Northern Trust
Research
19 Pages
Northern Trust Asset Management examines why institutional equity portfolios often fail to deliver intended outcomes, focusing on hidden risk exposures and portfolio construction decisions.
Portfolio Management
September 2020
Sales And Distributions
Verdad
Research
8 Pages
Verdad examines what actually drives equity returns by breaking companies into growth and value creation buckets, arguing that distributions matter more than investors assume.
Portfolio Management
September 2020
Upside-Down Markets: Profits, Inflation and Equity Valuation in Fiscal Policy Regimes
O’Shaughnessy Asset Management
Research
94 Pages
O’Shaughnessy Asset Management explores how aggressive fiscal policy can flip traditional market logic, creating “upside-down” markets where bad news drives gains and good news can weigh on equities.
Portfolio Management
September 2020
Risk and Reward: Research And Investment Strategies
Invesco
Research
37 Pages
Invesco explores how traditional risk metrics can mislead investors and introduces “Internal Portfolio Risk” as a better way to understand true return potential in a low-rate, low-volatility world.
Alternative Assets
August 2020
Public To Private Equity In The United States: A Long-Term Look
Morgan Stanley
Research
82 Pages
Morgan Stanley examines the long-term shift from public to private equity markets in the U.S., exploring why capital, companies, and returns have increasingly migrated away from public listings.
Portfolio Management
August 2020
Risk Parity: Methods And Measures Of Success
Resolve Asset Management
Research
21 Pages
ReSolve Asset Management explains how risk parity aims to build portfolios that can perform across different economic regimes by balancing risk rather than capital.
Portfolio Management
July 2020
2019 Endowment Update
Yale University
Research
32 Pages
Yale Investments outlines its endowment strategy, emphasizing long-term investing, illiquid assets, and disciplined spending to balance growth with stability.
Portfolio Management
June 2020
Factor Investing Has Changed
Instinet
Research
17 Pages
Instinet examines how factor investing has evolved as crowding, structural shifts, and changing market dynamics weaken traditional premia and challenge static implementations.
Portfolio Management
June 2020
The COVID-19 Crash And The Abandonment Of The Pensioner
Research Affiliates
Research
14 Pages
Research Affiliates examines how the COVID-19 market shock exposed and accelerated structural weaknesses in pension systems, particularly through collapsing interest rates and rising liabilities.
Portfolio Management
June 2020
The Big Picture – Eyes Wide Shut
Invesco
Research
39 Pages
Invesco examines how markets may be misreading the post-COVID environment, arguing equities are pricing in recovery while overlooking a severe earnings collapse.
Portfolio Management
June 2020
Quarterly Letter 1Q 2020
GMO
Research
11 Pages
GMO’s Q1 2020 quarterly letter explores the disconnect between collapsing economic fundamentals and sharply rebounding financial markets during the early pandemic.
Portfolio Management
June 2020
A Quick Survey Of “Broken” Asset Classes
Research Affiliates
Research
11 Pages
Research Affiliates explores why asset classes labeled “broken” after weak performance often aren’t structurally impaired but simply experiencing normal cycles.
Portfolio Management
June 2020
Re-examining Diversification: 20/20 Perspective
Acadian
Research
8 Pages
Acadian Asset Management revisits diversification, arguing that despite recent disappointment, it remains essential but widely misunderstood in modern portfolios.
Portfolio Management
May 2020
Is (Systematic) Value Investing Dead?
AQR
Research
18 Pages
AQR Capital Management challenges the idea that systematic value investing is “dead,” arguing that recent underperformance reflects an unusual disconnect between prices and fundamentals rather than a structural breakdown.
Portfolio Management
May 2020
The Facts Behind Factor Performance
Invesco
Research
12 Pages
Invesco examines how major equity factors behaved through recent market cycles, focusing on their persistence, cyclicality, and diversification benefits across regimes.
Portfolio Management
May 2020
Value And Interest Rates: Are Rates To Blame For Value’s Torments?
AQR
Research
30 Pages
AQR Capital Management examines whether low interest rates actually explain value investing’s long stretch of underperformance.
Portfolio Management
April 2020
Crisis Investing: How To Maximize Return During Market Panics
Verdad
Research
77 Pages
Verdad analyzes how investors can systematically exploit market panics by studying every major U.S. crisis since 1970, focusing on which assets and factors drive returns during extreme drawdowns.
Portfolio Management
April 2020
It’s Always Darkest Before The Dawn
GMO
Research
6 Pages
GMO explores how bear markets unfold and why deeply discounted assets may offer opportunity even during extreme volatility.
Portfolio Management
April 2020
Equity Styles And the Spanish Flu
Robeco
Research
5 Pages
Robeco analyzes how equity factor styles behaved during the Spanish Flu alongside World War I, using extended historical data to study market stress before modern datasets.
Portfolio Management
April 2020
Benefits Of Global Diversification
Cambridge Associates
Research
10 Pages
Cambridge Associates examines whether global diversification still works when markets become more synchronized and dominated by US assets.
Portfolio Management
March 2020
Examining Share Repurchasing and the S&P Buyback Indices in the U.S. Market
S&P Global
Research
27 Pages
S&P Dow Jones Indices examines how share repurchases evolved into the dominant corporate payout method and how related indices behave.
Portfolio Management
March 2020
Dare To Be Different
GMO
Research
7 Pages
GMO argues traditional portfolios are unlikely to meet investor return expectations, pushing the case for contrarian investing and global diversification.
Portfolio Management
February 2020
Value Is In The Eye Of The Beholder
Man Group
Research
9 Pages
Man Group explores how traditional value investing struggles in modern markets, arguing that intangible assets and accounting distortions may obscure true company value.
Portfolio Management
February 2020
When Equity Factors Drop Their Shorts
Robeco
Research
30 Pages
Robeco examines whether equity factor investing really needs short positions, breaking down factor returns into long and short components across decades of data.
Portfolio Management
February 2020
The Factor Archives: Value
O’Shaughnessy Asset Management
Research
10 Pages
O’Shaughnessy Asset Management explores the long history and empirical foundation of value investing, arguing that price remains one of the strongest predictors of future returns.
Portfolio Management
December 2019
The Presumed End Of The Value Premium
StarCapital Research
Research
8 Pages
StarCapital examines whether the long-standing value premium has structurally disappeared, questioning one of investing’s most durable anomalies.
Portfolio Management
December 2019
The Factor Archives: Momentum
O’Shaughnessy Asset Management
Research
9 Pages
O’Shaughnessy Asset Management explores how momentum investing works in practice, focusing on how behavioral biases and trend persistence can be systematically captured in equity portfolios.
Portfolio Management
November 2019
It’s Time For A Venial Value-Timing Sin
AQR
Research
16 Pages
AQR Capital Management examines whether interest rates are responsible for value investing’s prolonged underperformance, ultimately arguing the relationship is weaker and less reliable than many assume.
Portfolio Management
November 2019
The Science And Art Of Risk Management
Guggenheim Investments
Research
20 Pages
Guggenheim Investments explores how risk management frameworks can help investors navigate late-cycle markets, emphasizing downside protection as valuations stretch and volatility regimes shift.
Portfolio Management
November 2019
The Factor Archives: Shareholder Yield
O’Shaughnessy Asset Management
Research
7 Pages
O’Shaughnessy Asset Management explores shareholder yield as a more complete lens for evaluating equity returns, combining dividends, buybacks, and debt reduction to better capture how firms return capital.
Portfolio Management
November 2019
Chasing Your Own Tail (Risk), Revisited
AQR
Research
23 Pages
AQR Capital Management challenges the widespread use of tail-risk hedging, arguing that buying downside insurance is structurally costly and often counterproductive for long-term investors.
Portfolio Management
November 2019
Standing Alone Against the Crowd: Abandon Value? Now?!?
Research Affiliates
Research
13 Pages
Research Affiliates examines whether investors should abandon value investing after a prolonged growth led market.
Portfolio Management
October 2019
Appraising Home-Bias Exposure
FTSE Russell
Research
54 Pages
Russell Investments examines how home bias shapes portfolio outcomes, focusing on the tendency for investors to overweight domestic equities despite global diversification benefits.
Portfolio Management
September 2019
The Art and Science of Knowing What You Own
Magnetar
Research
22 Pages
Magnetar explores how investors can better understand the true risks embedded in modern portfolios as financial innovation expands investment complexity.
Portfolio Management
September 2019
Global Pension Assets Study 2019
Thinking Ahead Institute
Research
41 Pages
Thinking Ahead Institute explores the evolution of global pension systems, focusing on funding challenges, shifting asset allocations, and the rise of defined contribution structures across major markets.
Portfolio Management
September 2019
What To Do When Nothing Looks Attractive?
Rocaton
Research
7 Pages
Rocaton explores how investors should respond when traditional asset classes all appear unattractive, emphasizing that discomfort is often a feature of markets rather than a signal to disengage.
Portfolio Management
August 2019
Equity Outlook – It’s Too Late to Get Bearish
Invesco
Research
68 Pages
Invesco examines equity positioning in a late-cycle environment shaped by slowing growth, policy uncertainty, and elevated valuations.
Portfolio Management
July 2019
Value Is Dead, Long Live Value
O’Shaughnessy Asset Management
Research
20 Pages
O'Shaughnessy Asset Management explores whether value investing’s long stretch of underperformance signals structural decline or a cyclical phase tied to technological change.
Portfolio Management
July 2019
Risk and Premium – A Tale of Value
GMO
Research
13 Pages
GMO analyzes why the value premium has lagged, breaking returns into growth, income, rebalancing, and valuation components.
Portfolio Management
July 2019
Value Is Dead, Long Live Value
O’Shaughnessy Asset Management
Research
20 Pages
O’Shaughnessy Asset Management explores the long history and empirical strength of value investing, arguing that price remains one of the most reliable predictors of future returns despite long periods of underperformance.
Portfolio Management
July 2019
Mispriced Innovation – Patents as a Leading Indicator for Earnings Growth
O’Shaughnessy Asset Management
Research
24 Pages
O’Shaughnessy Asset Management explores how innovation, measured through patent activity, may be systematically underappreciated by markets and linked to future earnings growth.
Portfolio Management
June 2019
Junk or Jewel? Assessing The Role of High-Yield Bonds in a Diversified Portfolio
Vanguard
Research
17 Pages
Vanguard examines whether high-yield bonds deserve a place in diversified portfolios, framing them as a hybrid between equities and traditional fixed income.
Portfolio Management
June 2019
The Earnings Mirage: Why Corporate Profits are Overstated and What It Means for Investors
O’Shaughnessy Asset Management
Research
108 Pages
O’Shaughnessy Asset Management explores how inflation and accounting conventions distort reported earnings, arguing that corporate profits may systematically overstate economic reality.
Portfolio Management
May 2019
Systematic Value
Newfound Research
Research
19 Pages
Newfound Research presents a systematic value investing framework designed to reduce specification and timing risk by combining multiple valuation approaches.
Portfolio Management
May 2019
The Best of Strategies for the Worst of Times: Can Portfolios be Crisis Proofed?
Man Group
Research
26 Pages
Man Group examines whether portfolios can be structured to withstand major crises by analyzing historical drawdowns and common hedging strategies.
Portfolio Management
May 2019
Value Investing: Bruised by 1000 Cuts
GMO
Research
4 Pages
GMO examines why value investing has lagged for over a decade, arguing the weakness reflects multiple cyclical pressures rather than a structural breakdown.
Markets
April 2019
Stock Buybacks: Freeing the Invisible Hand, or Legitimising the Fat Finger
Man Group
Research
10 Pages
Man GLG examines stock buybacks through the lens of market efficiency versus execution risk, questioning whether they genuinely enhance shareholder value or introduce hidden distortions.
Portfolio Management
April 2019
GMO Quarterly Letter 1Q 2019
GMO
Research
7 Pages
GMO explores how investors often optimize portfolios in isolation, missing the bigger picture of liabilities and external assets that ultimately determine success.
Portfolio Management
March 2019
Reconsidering Returns
Research
66 Pages
Investors' perception of performance is biased because the relevant measure, returns, is rarely displayed. Major indices ignore dividends, inducing mechanical underperformance on ex-dividend days.
Markets
March 2019
Misperceptions surrounding corporate cash spending priorities and the economics of share repurchases
Goldman Sachs
Research
16 Pages
Goldman Sachs challenges the common narrative that corporations prioritize buybacks over investment, arguing that growth spending has consistently dominated cash allocation.
Portfolio Management
March 2019
Misperceptions Surrounding Corporate Cash Spending Priorities and The Economics of Share Repurchases
Goldman Sachs
Research
16 Pages
Goldman Sachs explores the mechanics, timing, and market impact of corporate buybacks, framing them as one of the most influential yet misunderstood drivers of equity performance.
Portfolio Management
February 2019
Positively Negative: Stock-Bond Correlation and Its Implications for Investors
D.E. Shaw & Co.
Research
16 Pages
D. E. Shaw examines how the shift to negative stock-bond correlation reshaped portfolio construction and bond pricing.
Portfolio Management
February 2019
Geographic Diversification Can Be a Lifesaver
Bridgewater
Research
10 Pages
Bridgewater Associates explores how geographic diversification shapes portfolio resilience, emphasizing that concentrating in a single country can expose investors to prolonged drawdowns and uneven recoveries across global markets.
Portfolio Management
February 2019
Verdad Weekly Research: Lessons from Oregon
Verdad
Research
3 Pages
Verdad examines the long-term private equity experience of the Oregon Public Employee Retirement Fund, highlighting how industry evolution has reshaped returns over time.
Portfolio Management
January 2019
Fragility Case Study: Dual Momentum GEM
Newfound Research
Research
20 Pages
Newfound Research examines how small implementation choices can materially alter outcomes in a popular dual momentum strategy.
Portfolio Management
January 2019
Is Volatility a Friend or Foe?
Intech
Research
10 Pages
Intech explores whether market volatility should be avoided or harnessed, arguing that while large drawdowns can damage compounding, disciplined rebalancing can turn volatility into a potential return driver.
Portfolio Management
January 2019
Is Volatility A Friend Or A Foe?
Research
10 Pages
Intech explores whether volatility is truly captured by standard deviation and why that assumption may mislead investors.
Portfolio Management
December 2018
Factor Momentum Everywhere
AQR
Research
31 Pages
AQR explores how momentum extends beyond individual stocks into the factors that drive returns, arguing that factor performance itself follows persistent trends.
Portfolio Management
December 2018
Alternative Risk Premia: Crisis or Opportunity?
Research Affiliates
Research
18 Pages
Research Affiliates examines whether the 2018 breakdown in alternative risk premia signals structural failure or a reset opportunity.
Portfolio Management
October 2018
It Was the Worst of Times: Diversification During a Century of Drawdowns
AQR
Research
19 Pages
AQR examines how diversification holds up during major equity drawdowns using nearly 100 years of data, focusing on whether shifting away from stocks actually protects portfolios.
Portfolio Management
October 2018
The Yale Endowment 2018
Yale University
Research
32 Pages
Yale University outlines how its endowment model drives long-term investment success through diversification, illiquidity, and disciplined spending policies.
Markets
September 2018
O’Shaughnessy Quarterly Investor Letter Q3 2018
O’Shaughnessy Asset Management
Research
12 Pages
O’Shaughnessy Asset Management explores how traditional factor investing has become commoditized and argues that alpha now comes from identifying signals within factors, using buybacks as a case study.
Portfolio Management
September 2018
Size Matters, if You Control Your Junk
AQR
Research
32 Pages
The authors revisit the long debated size factor and argue its weak historical record largely disappears once firm quality, or “junk,” is controlled for.
Portfolio Management
August 2018
Opportunity Zone Funds Offer New Tax Incentive for Long-Term Investment in Low-Income Communities
Skadden
Research
10 Pages
Skadden, Arps, Slate, Meagher & Flom LLP examines how Opportunity Zone funds create a tax-advantaged pathway for reinvesting capital gains into designated low-income areas.
Portfolio Management
August 2018
The Portfolio Currency-Hedging Decision, by Objective and Block by Block
Vanguard
Research
22 Pages
Vanguard presents a framework for making currency hedging decisions at the total portfolio level rather than by asset class, arguing that investor objectives and strategic allocation should drive outcomes.
Portfolio Management
June 2018
Factor Fimbulwinter
Newfound Research
Research
12 Pages
Newfound Research explores whether prolonged underperformance in factor investing truly signals failure or just statistical noise.
Portfolio Management
April 2018
Common Factors in Corporate Bond Returns
AQR
Research
30 Pages
Ronen Israel, Diogo Palhares, and Scott Richardson examine whether familiar equity style factors can also explain corporate bond returns.
Portfolio Management
March 2018
Is Your Alpha Big Enough to Cover Its Taxes?
Research Affiliates
Research
27 Pages
Rob Arnott looks back at his famous paper, which says taxes are the single largest source of portfolio management inefficiency, often far outweighing the benefits of active management.
Portfolio Management
February 2018
Global Pension Assets Study 2018
Thinking Ahead Institute
Research
38 Pages
Thinking Ahead Institute explores the evolution of global pension assets across major markets, focusing on growth, allocation shifts, and concentration risks.
Portfolio Management
February 2018
Is 5% The Right Return Target For Institutional Investors?
Vanguard
Research
15 Pages
Vanguard examines whether institutional investors can realistically sustain a 5% real return in a lower return world.
Portfolio Management
January 2018
GMO Quarterly Letter
GMO
Research
15 Pages
GMO explores how “price insensitive” buyers like central banks, pensions, and passive vehicles may be distorting asset prices across markets.
Portfolio Management
January 2018
Global In the Flow
Morgan Stanley
Research
52 Pages
Morgan Stanley reviews the cross asset trends that defined 2017, from surging EM equities to record low volatility and tightening credit spreads.
Portfolio Management
December 2017
The Deep Value
AQR
Research
59 Pages
AQR Capital Management examines “deep value” periods when valuation spreads between cheap and expensive assets become extreme across equities, bonds, and currencies.
Portfolio Management
November 2017
Betting on Unpredictability
Verdad
Research
6 Pages
Verdad Advisors argues that investors systematically overestimate their ability to predict the future, creating opportunities in volatile, deeply unpopular companies.
Portfolio Management
November 2017
A Conversation with David Swensen
Council on Foreign Relations
Video
1 Pages
Council on Foreign Relations hosts David Swensen discussing how long term investors should navigate low return environments, liquidity risk, and market complacency.
Portfolio Management
October 2017
Factor Investing with Factor Expert Lu Zhang
Alpha Architect
Research
12 Pages
Alpha Architect explores the growing debate around factor investing through an extended discussion with Lu Zhang, whose research challenges the durability of many published anomalies.
Portfolio Management
October 2017
Replicating Anomalies
Alpha Architect
Research
6 Pages
This paper examines whether hundreds of widely cited market anomalies actually survive replication under stricter testing standards.
Portfolio Management
October 2017
Reconciling Individual Stock Returns and Factor Portfolio Returns
Alpha Architect
Research
6 Pages
Alpha Architect examines why individual stock outcomes often look disastrous while diversified factor portfolios still outperform over time.
Portfolio Management
October 2017
Is the Dividend Trade Cracking?
AllianceBernstein
Article
1 Pages
AllianceBernstein examines whether crowded dividend strategies had become overstretched in 2017 as investors chased yield despite weakening fundamentals.
Portfolio Management
October 2017
Factoring For Fire
The Leuthold Group
Article
1 Pages
Leuthold Group examines how leadership within equity factors may shift as the post crisis recovery matures and markets transition toward full employment, firmer inflation, and rising rates.
Portfolio Management
October 2017
Volatility and the Alchemy of Risk
Artemis Capital Management
Research
19 Pages
Artemis Capital Management explores how ultra low volatility, central bank stimulus, and systematic trading strategies may be creating hidden fragility across financial markets.
Portfolio Management
October 2017
Can Momentum Investing Be Saved?
Research Affiliates
Research
20 Pages
Research Affiliates examines why momentum investing has looked exceptional in backtests yet disappointed in live portfolios.
Portfolio Management
August 2017
Asset Allocation in a Low Yield Environment
AQR
Research
20 Pages
AQR examines whether historically low bond yields justify major asset allocation changes or reinforce diversification across return streams.
Portfolio Management
August 2017
A Half Century of Macro Momentum
AQR
Research
24 Pages
AQR examines macro momentum, a systematic strategy using economic trends across equities, currencies, bonds, and rates to position portfolios.
Portfolio Management
August 2017
The S&P 500: Just Say No
GMO
Research
12 Pages
GMO argues investors chasing recent U.S. equity dominance may be extrapolating unusually strong S&P 500 performance into the future.
Portfolio Management
August 2017
GMO Quarterly Letter
GMO
Research
15 Pages
GMO examines why emerging market value stocks remained unusually attractive even after an 18% rally in emerging equities during 2017.
Portfolio Management
July 2017
Improving U.S. stock return forecasts: A “fair-value” CAPE approach
Vanguard
Research
15 Pages
Vanguard examines whether adjusting the CAPE ratio for interest rates improves long term U.S. equity return forecasts.
Portfolio Management
July 2017
A Benchmark for Efficient Asset Allocation
Northern Trust
Research
4 Pages
Northern Trust examines whether the global market portfolio offers a benchmark for efficient asset allocation.
Portfolio Management
June 2017
Quality Minus Junk
AQR
Research
80 Pages
The authors examine whether investors pay enough for profitable, growing, safe companies and whether quality predicts returnAs.
Portfolio Management
June 2017
Historical Returns of the Market Portfolio
Robeco
Research
51 Pages
This paper reconstructs the global market portfolio from 1960 through 2015, tracking returns across equities, real estate, and bonds to examine how the average investor actually performed.
Portfolio Management
June 2017
A Factor Alpha Approach to REITs
O’Shaughnessy Asset Management
Research
6 Pages
O’Shaughnessy Asset Management argues public REITs are an overlooked area for factor investing, particularly through value, momentum, and quality signals.
Portfolio Management
May 2017
Two Decades of Winning by Not Losing
FPA
Research
20 Pages
First Pacific Advisors explores how long term investment success often comes more from avoiding catastrophic losses than chasing market leaders.
Portfolio Management
May 2017
Global Asset Allocation: Investment and Business Themes for 2017 and Beyond
Northern Trust
Research
21 Pages
Northern Trust examines how global asset allocation may evolve amid rising rates, expensive equities, and shifting political regimes entering 2017.
Portfolio Management
May 2017
America Is Great. Home Country Bias Ain’t.
GMO
Research
4 Pages
GMO examines how home country bias may push investors toward expensive U.S. equities despite stronger opportunities abroad.
Portfolio Management
May 2017
Equity Factor Based Investing: A Practitioner’s Guide
Vanguard
Research
23 Pages
Vanguard examines how factor investing can shape portfolio construction, risk management, and long term performance through systematic equity strategies.
Portfolio Management
April 2017
For Whom the Bond Tolls: Low Rate Beneficiaries in a Rising Rate Environment
GMO
Research
8 Pages
GMO examines how years of ultra low interest rates inflated valuations across bond proxies, leveraged firms, and growth stocks.
Portfolio Management
March 2017
Understanding The High Returns in a Low Return Environment
Bridgewater
Research
4 Pages
Bridgewater Associates examines how elevated global wealth relative to income constrains future investment returns, arguing that financial assets ultimately represent claims on future income.
Portfolio Management
January 2017
How Not to Get Fired with Smart Beta Investing
Research Affiliates
Research
14 Pages
Research Affiliates examines how institutional incentives push investors toward “safe” smart beta allocations that may protect careers more than portfolios.
Portfolio Management
January 2017
Smoother Path to Outperformance with Multi-Factor Smart Beta Investing
Research Affiliates
Research
10 Pages
Research Affiliates examines how combining multiple smart beta factors can potentially improve returns while reducing tracking error and drawdowns.
Portfolio Management
December 2016
Superstar Investors
AQR
Research
13 Pages
AQR examines why active fixed income managers have outperformed benchmarks and argues much of the excess return stems from persistent high yield credit exposure rather than pure security selection.
Portfolio Management
November 2016
When a “Value” Company is Not a Value
O’Shaughnessy Asset Management
Research
7 Pages
OSAM examines why price to book ratios may increasingly misclassify value stocks as growth stocks, particularly after decades of rising share repurchases.
Portfolio Management
November 2016
The Dividend Disconnect
Research
56 Pages
Many individual investors, mutual funds and institutions trade as if dividends and capital gains are disconnected attributes, not fully appreciating that dividends result in price decreases.
Portfolio Management
November 2016
GMO Quarterly Letter 3Q 2016
GMO
Research
26 Pages
GMO’s quarterly letter explores whether today’s elevated asset prices reflect temporary distortions or a lasting decline in global discount rates.
Portfolio Management
October 2016
Take the 5% Challenge!
Research Affiliates
Research
9 Pages
Research Affiliates argues that investors are dramatically underestimating how difficult earning a 5% real return may be over the next decade.
Portfolio Management
October 2016
The Carry and Value Pendulum
PIMCO
Research
6 Pages
PIMCO examines whether combining carry and trend following across 20 markets and four asset classes can improve returns and diversification.
Portfolio Management
September 2016
Timing “Smart Beta” Strategies? Of Course! Buy Low, Sell High!
Research Affiliates
Research
20 Pages
Research Affiliates examines whether investors can improve smart beta returns by leaning into cheaper factors and avoiding crowded ones.
Portfolio Management
July 2016
The Global Case for Strategic Asset Allocation and An Examination of Home Bias
Vanguard
Research
20 Pages
Vanguard examines how strategic asset allocation, active management, and home country bias shape portfolio outcomes across major global markets.
Portfolio Management
July 2016
A Case Study for Using Value and Momentum at the Asset Class Level
Elm Wealth
Research
15 Pages
Elm Wealth examines how combining value and momentum signals across asset classes may improve long term portfolio outcomes. The paper argues simple, long only allocation shifts added roughly 266 basis points annually from 1975 to 2013, challenging the idea that passive diversification alone is sufficient.
Portfolio Management
July 2016
My Factor Philippic
AQR
Research
30 Pages
AQR Capital Management examines whether popular factor investing strategies have become overcrowded, overpriced, and potentially misunderstood.
Portfolio Management
July 2016
The Trinity Portfolio: A Long-Term Investing Framework Engineered for Simplicity, Safety, and Outperformance
Cambria Investments
Research
24 Pages
Cambria presents a long term portfolio framework that combines global diversification, value, momentum, and trend following into one investing approach.
Portfolio Management
June 2016
To Win With “Smart Beta” Ask If the Price Is Right
Research Affiliates
Research
19 Pages
Research Affiliates examines how rising valuations may distort the historical success of smart beta strategies and factor investing.
Portfolio Management
May 2016
The Long Run Drivers of Stock Returns: Total Payouts and the Real Economy
Research
31 Pages
Roger Ibbotson examines how stock returns are ultimately tied to total payouts and economic productivity rather than valuation changes alone.
Portfolio Management
April 2016
Alpha or Assets? Factor Alpha vs. Smart Beta
O’Shaughnessy Asset Management
Research
12 Pages
O'Shaughnessy Asset Management examines why many smart beta strategies prioritize scalability over excess returns, arguing concentrated factor investing offers stronger long term advantages.
Portfolio Management
April 2016
The Free Lunch Effect: The Value of Decoupling Diversification and Risk
Salient
Research
12 Pages
Salient Capital Advisors examines why diversification and risk reduction are not the same, arguing many balanced portfolios simply lower volatility rather than improve efficiency.
Portfolio Management
February 2016
How Can “Smart Beta” Go Horribly Wrong?
Research Affiliates
Research
14 Pages
Research Affiliates examines how soaring investor demand for smart beta strategies may distort valuations and weaken future returns.
Portfolio Management
December 2015
Portfolio Rebalancing Part 1 of 2: Strategic Asset Allocation
AQR
Research
16 Pages
AQR examines how strategic portfolio rebalancing shapes diversification, risk, and long term returns across multiple asset classes.
Portfolio Management
December 2015
Putting Parity Performance Into Perspective
AQR
Research
7 Pages
Cliff Asness examines why risk parity strategies have struggled versus traditional 60/40 portfolios during the post 2008 equity rally.
Portfolio Management
October 2015
Learning to Play Offense and Defense: Combining Value and Momentum from the Bottom Up, and the Top Down
Cambria Investments
Research
10 Pages
Cambria Investment Management explores how combining value and momentum stock selection with simple market hedging can improve long term investing.
Portfolio Management
October 2015
Keys to improving the odds of active management success
Vanguard
Research
20 Pages
Vanguard examines whether active management is becoming more successful, arguing that shifting market conditions may be improving the odds for active managers after a long period of underperformance.
Portfolio Management
October 2015
Global Risk Parity
Resolve Asset Management
Research
16 Pages
ReSolve explains how risk parity portfolios aim to balance risk exposure across asset classes rather than capital allocation alone.
Portfolio Management
September 2015
How NOT to Wipe Out with Momentum
Research Affiliates
Research
6 Pages
Research Affiliates examines momentum investing, why its historical success can be difficult to capture in practice, and how implementation risks can undermine results.
Portfolio Management
September 2015
Our Thoughts about Risk Parity and All Weather
Bridgewater
Research
13 Pages
This paper explains the logic behind Bridgewater’s risk parity and All Weather approach, arguing that balancing risk rather than capital can improve diversification.
Portfolio Management
September 2015
It’s Not Easy
Oaktree
Research
15 Pages
Oaktree explains why consistently outperforming in investing is inherently difficult because markets adapt, competition eliminates easy opportunities, and superior results require uncommon thinking.
Portfolio Management
August 2015
Absolute Strength: Exploring Momentum in Stock Returns
Research
73 Pages
Huseyin Gulen and Ralitsa Petkova examine a new form of momentum investing called absolute strength momentum, which classifies winners and losers using historical return thresholds rather than relative rankings.
Wealth Management
August 2015
Who Ate Joe’s Retirement Money?
GMO
Research
11 Pages
GMO examines sequence risk during retirement saving and how return timing can shape outcomes despite identical long term returns.
Portfolio Management
August 2015
High Conviction Buybacks
O’Shaughnessy Asset Management
Research
6 Pages
O’Shaughnessy Asset Management examines whether the size of a company’s share repurchase program matters more than buybacks themselves.
Portfolio Management
July 2015
Market Timing with Value and Momentum
Alpha Architect
Research
1 Pages
Alpha Architect examines whether combining valuation signals with momentum signals can improve market timing outcomes.
Portfolio Management
July 2015
Adaptive Asset Allocation: A Primer
Resolve Asset Management
Research
32 Pages
ReSolve Asset Management explores adaptive asset allocation and why traditional portfolio optimization often breaks under changing market conditions.
Portfolio Management
June 2015
Rethinking the Equity Risk Premium
Research
164 Pages
This paper brings together leading academics and practitioners to reconsider how investors should think about the equity risk premium.
Portfolio Management
April 2015
Why do Family-Controlled Public Companies Outperform? The Value of Disciplined Governance
UBS
Research
44 Pages
This paper examines why family controlled public companies have historically outperformed peers, arguing that disciplined governance and long term ownership may create advantages markets do not fully recognize.
Portfolio Management
April 2015
A Five-Factor Asset Pricing Model
Research
52 Pages
This paper expands the traditional Fama French three factor framework by adding profitability and investment to explain average stock returns.
Portfolio Management
February 2015
… and the Cross-Section of Expected Returns
Research
101 Pages
This paper examines whether the explosion of proposed investment factors has made traditional statistical significance standards too easy to pass.
Portfolio Management
January 2015
Capital Allocation Outside the U.S.
Credit Suisse
Research
83 Pages
Credit Suisse examines how companies outside the U.S. allocate capital and why management decisions often matter more than growth itself.
Portfolio Management
December 2014
Efficient Frontier “Theory” for the Long Run
AQR
Research
12 Pages
AQR revisits modern portfolio theory by examining how stocks, bonds, and commodities behaved across rolling five year periods versus a 45 year horizon.
Portfolio Management
December 2014
Interest Rates & Active Management’s Outlook
Nomura
Research
13 Pages
Nomura examines how interest rate trends may influence active equity manager performance and whether rising rates could improve conditions for active investing.
Portfolio Management
October 2014
Juicing the Dividend Yield: Mutual Funds and the Demand for Dividends
Research
49 Pages
This paper presents evidence consistent with a subset of mutual funds engaging in significant trading to artificially increase their dividend yields, by buying stocks shortly before ex-dividend dates and selling them afterwards.
Portfolio Management
October 2014
Six Months of Nothing
Absolute Return Partners
Research
11 Pages
Absolute Return Partners examines a world shaped by slowing credit growth, deflation risks, and geopolitical conditions after a seven month publishing hiatus.
Portfolio Management
October 2014
The Great Divide
AQR
Research
29 Pages
AQR Capital Management explores the long standing debate between efficient markets and behavioral investing, arguing reality likely lies somewhere in between.
Portfolio Management
September 2014
Annual Endowment Report: Message from the CEO
Harvard Management Company
Research
7 Pages
Harvard Management Company examines how the Harvard endowment recovered after the financial crisis through active management, direct investing, and shifting asset allocations.
Portfolio Management
August 2014
Capital Allocation: Evidence, Analytical Methods, and Assessment Guidance
Credit Suisse
Research
73 Pages
Credit Suisse examines how corporate capital allocation decisions shape long term value creation, arguing many CEOs struggle to deploy cash effectively.
Portfolio Management
July 2014
Free Lunches and the Food Truck Revolution
GMO
Research
13 Pages
GMO explores how investors often mistake risky strategies for “free lunches,” arguing that put selling, merger arbitrage, and credit investing simply disguise equity and liquidity risk in different forms.
Portfolio Management
July 2014
What is Quality?
Northern Trust
Research
20 Pages
Northern Trust examines how “quality” investing should actually be defined and why high quality stocks have historically outperformed despite lower risk.
Portfolio Management
July 2014
The Agony & The Ecstasy: The Risks and Rewards of a Concentrated Stock Position
J.P. Morgan Asset Management
Research
46 Pages
J.P. Morgan examines the long term risks and rewards of concentrated stock ownership, arguing that even exceptional businesses face disruption, competition, and permanent decline.
Portfolio Management
July 2014
Actively Tracking Active Investors
Novus
Article
1 Pages
Novus examines how activist hedge funds built scale, generated excess returns, and absorbed illiquidity risk through a composite portfolio of 60 managers.
Portfolio Management
June 2014
The Power of Share Repurchases
O’Shaughnessy Asset Management
Research
8 Pages
OSAM explores why share repurchases became a dominant corporate payout tool and how investors can separate value creating buybacks from financial engineering.
Portfolio Management
May 2014
Fact, Fiction and Momentum Investing
AQR
Research
26 Pages
AQR Capital Management examines momentum investing by challenging ten persistent myths around performance, risk, turnover, and implementation.
Portfolio Management
April 2014
Dare to Be Great II
Oaktree
Research
10 Pages
Oaktree Capital explains why consistently outperforming requires investors to think and act differently from the crowd.
Portfolio Management
February 2014
When Growth Beats Value: Removing Tail Risk From Global Equity Momentum Strategies
AQR
Research
30 Pages
AQR examines how value, growth, relative momentum, and trend following interact across global equity markets using MSCI smart beta indices.
Portfolio Management
January 2014
Betting Against Beta
AQR
Research
25 Pages
The authors examine why lower beta assets have historically delivered stronger risk adjusted returns than traditional theory suggests.
Portfolio Management
January 2014
Volatility: The Market Price of Uncertainty
Artemis Capital Management
Research
12 Pages
Artemis Capital argues volatility is not just a hedge, but a standalone asset class shaped by psychology, policy, and market structure.
Portfolio Management
December 2013
The Myth of the Most Efficient Market
O’Shaughnessy Asset Management
Research
6 Pages
O'Shaughnessy Asset Management challenges the belief that U.S. large cap stocks are too efficient to outperform consistently.
Portfolio Management
November 2013
The All Weather Strategy
Bridgewater
Article
Video
1 Pages
Bridgewater explains the thinking behind the All Weather strategy and how balancing risk across different economic environments shaped its portfolio design.
Portfolio Management
November 2013
buffet’s alpha
AQR
Research
45 Pages
AQR Capital Management examines what really drove Warren Buffett’s long term outperformance, arguing it was not extraordinary stock picking alone but a repeatable combination of leverage, value, quality, and low risk investing.
Portfolio Management
September 2013
Global Equities: Can Dividends Signal Growth?
FWD
Research
8 Pages
This paper examines how dividend policies can provide valuable clues about future earnings growth rather than simply serving as a source of income.
Portfolio Management
September 2013
Restoring Value to Minimum Variance
BlackRock
Research
12 Pages
Aperio Group examines why minimum variance investing historically outperformed the market and argues much of its success came from unintended factor exposures rather than low volatility alone.
Portfolio Management
September 2013
What Makes Alternative Beta Smart?
Research Affiliates
Research
8 Pages
Research Affiliates examines what truly makes alternative beta strategies “smart,” arguing that simplicity, transparent implementation, and efficient portfolio construction matter more than marketing labels.
Portfolio Management
August 2013
Quality Minus Junk
AQR
Research
80 Pages
AQR Capital Management examines whether markets fully price company quality, arguing that profitable, growing, and safer businesses have historically generated stronger risk adjusted returns.
Portfolio Management
August 2013
212 Years of Price Momentum
Research
46 Pages
Geczy explains whether the momentum investing anomaly has persisted across more than two centuries of U.S. market history.
Portfolio Management
July 2013
Risk Parity in a Rising Rates Regime
Salient Capital Advisors
Research
15 Pages
Salient examines how risk parity strategies have historically performed during sharply rising interest rate environments and whether today's lower starting yields change the outcome.
Portfolio Management
July 2013
A Study of Real Real Returns
Thornburg Investment Management
Research
8 Pages
Thornburg Investment Management examines how inflation, taxes, and investment expenses reduce investors' actual wealth creation despite strong nominal returns.
Portfolio Management
June 2013
How Not to Invest in Dividend Stocks: Seven Mistakes Investors Commonly Make
Forward Management
Research
1 Pages
Forward Management explains why successful dividend investing depends on more than simply buying the highest yielding stocks.
Portfolio Management
June 2013
Why Buyback Stocks beat the market
Article
1 Pages
The Buyback Letter explains why companies repurchasing their own shares have historically outperformed firms issuing new equity, drawing on academic research and market evidence.
Portfolio Management
May 2013
Assessing the Nuances in an “Out of Sample” World
Cornerstone Macro
Research
14 Pages
Cornerstone Macro examines why traditional market relationships became less reliable after the financial crisis, arguing investors were operating in an unprecedented macroeconomic environment.
Portfolio Management
May 2013
The Trillion Dollar Mistake: Why The Allocation in Portfolios to The S&P 500 is Sub-optimal and what to do about it
Research
6 Pages
John Del Vecchio explains how market capitalization weighted investing can systematically push investors toward the market's most expensive companies.
Portfolio Management
April 2013
More Scary Headlines, New Market Highs: Are investors finally embracing this market?
Janiczek & Company
Research
5 Pages
Janiczek & Company explains why strong equity performance in early 2013 can coexist with persistent economic fears, arguing that improving fundamentals outweigh alarming headlines.
Portfolio Management
November 2012
Value and Momentum Everywhere
AQR
Research
72 Pages
AQR examines whether value and momentum strategies work consistently across equities, bonds, currencies, and commodities worldwide.
Portfolio Management
November 2012
Value and Momentum Everywhere
AQR
Research
72Value and Momentum Everywhere Pages
This paper examines value and momentum strategies across eight markets and asset classes, asking whether these familiar effects share common global drivers.
Portfolio Management
November 2012
Global Style Counselling: Some simple tricks to boost price momentum performance
Societe Generale
Research
25 Pages
Societe Generale examines how traditional price momentum can become unreliable when macro forces dominate markets and introduces improved momentum techniques.
Portfolio Management
October 2012
More Logical Four-factor Model of Stock Returns?
CXO Advisory
Research
2 Pages
CXO Advisory discusses research proposing a new four factor stock return model that replaces book to market and momentum with investment and return on equity factors.
Portfolio Management
October 2012
Diversification—still the only free lunch?
J.P. Morgan Asset Management
Research
12 Pages
J.P. Morgan Asset Management examines whether risk parity can remain effective as markets evolve by replacing traditional asset classes with diversified risk factors.
Portfolio Management
October 2012
The Dividend Month Premium
Research
55 Pages
We document an asset-pricing anomaly whereby companies have positive abnormal returns in months when a dividend is predicted. The premium is consistent with price pressure from dividend-seeking investors.
Portfolio Management
September 2012
Improving on Risk Parity: Hedging forecast uncertainty
J.P. Morgan Asset Management
Research
8 Pages
J.P. Morgan Asset Management argues that Risk Parity succeeds because it avoids unreliable return forecasts, not because equal risk allocation is inherently superior.
Portfolio Management
September 2012
Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets?
AQR
Article
1 Pages
AQR examines whether investors are better rewarded for buying or selling investments with insurance and lottery like payoffs.
Portfolio Management
August 2012
Global Value: Building Trading Models with the 10 Year CAPE
Cambria
Research
15 Pages
Cambria explores how the 10 year CAPE ratio can identify attractively valued global equity markets and build systematic country allocation models.
Value Investing
June 2012
It’s All a Big Mistake
Oaktree
Research
10 Pages
Oaktree Capital explains why superior investing depends less on finding obvious winners and more on recognizing the mistakes made by other market participants.
Portfolio Management
June 2012
The Winners Curse: Too Big to Succeed?
Research Affiliates
Research
18 Pages
Research Affiliates examines why the largest companies often become difficult investments despite outstanding businesses.
Portfolio Management
May 2012
Time Series Momentum
AQR
Research
23 Pages
The authors examine whether an asset's own return history can help predict its future performance across global futures markets.
Portfolio Management
May 2012
The 5% Solution
AQR
Article
1 Pages
AQR examines why the traditional 60 40 portfolio may struggle to deliver a 5% real return in today’s environment and explores broader portfolio construction alternatives.
Portfolio Management
March 2012
Global Equity Allocation
MSCI
Research
102 Pages
MSCI examines how large institutional investors approach global equity allocation, focusing on geographic diversification, home bias, and long-term portfolio construction.
Portfolio Management
January 2012
The All Weather Story
Bridgewater
Article
1 Pages
Bridgewater explains how the All Weather strategy was developed to build a portfolio designed for changing economic environments rather than specific forecasts.
Miscellaneous
September 2011
The Lessons of History – Endowment and Foundation Investing Today
Research
15 Pages
This paper examines what 15 years of endowment investing can teach about portfolio construction, risk, and future returns.
Portfolio Management
June 2011
What if 8% is Really 0%? Pension Funds Investing with Fingers-Crossed and Eyes Closed
Cambria Investments
Research
9 Pages
Cambria Investment Management examines why public pension funds relying on 8% return assumptions may underestimate long term funding risks.
Portfolio Management
April 2011
Presidential Address: Discount Rates
Research
58 Pages
This paper argues that changing discount rates, rather than changing cash flow expectations, have become the central organizing idea in asset pricing.
Portfolio Management
May 2010
The Other Side of Value: Good Growth and the Gross Profitability Premium
Research
56 Pages
This paper argues that gross profitability is a powerful predictor of stock returns, rivaling book to market while identifying attractive growth companies.
Portfolio Management
April 2010
Yale’s Endowment Returns: Manager Skill or Risk Exposure?
Waterline Partners
Research
10 Pages
Waterline Partners examines whether Yale’s legendary endowment returns came from manager skill or simple exposure to equity risk factors.
Portfolio Management
April 2010
Relative Strength Strategies for Investing
Cambria Investments
Research
22 Pages
Cambria Investment Management explains how simple relative strength, or momentum, strategies can improve risk adjusted returns across equity sectors and global asset classes.
Portfolio Management
January 2010
Politics and Profit: Combining the Presidential Cycle and the January Effect
Cambria Investments
Research
7 Pages
Cambria examines two well known seasonal market tendencies, the Presidential Cycle and the January Effect, and explores whether combining them has historically created favorable conditions for small cap stocks.
Portfolio Management
November 2009
Beyond Cap-Weight: The Search for Efficient Beta
Research
25 Pages
The authors compare capitalization weighting with economic scale, equal weight, and minimum variance approaches to rethink what passive exposure can look like.
Portfolio Management
January 2009
Deciphering the Liquidity and Credit Crunch 2007–2008
Research
24 Pages
This paper explains how relatively contained mortgage losses cascaded into a broader financial crisis through securitization, fragile funding structures, and tightening liquidity.
Portfolio Management
February 2007
A Quantitative Approach to Tactical Asset Allocation
Cambria Investments
Research
70 Pages
Cambria Investment Management explains how a simple quantitative trend following strategy can improve risk adjusted returns by combining global diversification with tactical market timing.
Portfolio Management
October 2006
Can Noise Create Size and Value Effects?
Research Affiliates
Research
32 Pages
Research Affiliates explores whether random pricing noise alone can explain the long observed size and value premiums.
Portfolio Management
September 2006
Dare to Be Great
Oaktree
Research
14 Pages
Oaktree Capital explains why consistently outperforming requires more than simply avoiding mistakes.
Portfolio Management
June 2006
Dissecting Anomalies
Research
37 Pages
This paper examines whether five well known stock market anomalies hold consistently across firms of different sizes.
Portfolio Management
March 2006
The Worldwide Equity Premium: A Smaller Puzzle
Research
41 Pages
This paper examines more than a century of global market history to reassess the equity risk premium across 17 countries.
Portfolio Management
May 2005
The Cross-Section of Volatility and Expected Returns
Research
56 Pages
This paper examines how aggregate and firm specific volatility relate to expected stock returns.
Portfolio Management
October 2004
Fundamental Indexation
Research Affiliates
Research
35 Pages
The authors examine whether weighting equity indexes by company fundamentals instead of market capitalization can improve long term portfolio characteristics.
Alternative Assets
October 2004
Hedge Funds: A Case for Caution
Oaktree
Research
14 Pages
Oaktree examines whether hedge funds had become investing's latest "silver bullet" after years of strong performance and rapid asset growth.
Portfolio Management
August 2004
The Biggest Mistake in Investing
Bridgewater
Article
1 Pages
Bridgewater Associates argues that portfolios often look diversified by dollars but remain heavily concentrated in equity risk
Portfolio Management
November 2003
Investor Sentiment and the Cross-Section of Stock Returns
Research
52 Pages
This paper examines how investor sentiment influences which stocks outperform or underperform, particularly when valuations are subjective and arbitrage is difficult.
Active Management
September 2003
What’s Your Game Plan?
Oaktree
Research
8 Pages
Oaktree explains why long term investment success depends more on avoiding major mistakes than chasing spectacular wins.
Portfolio Management
September 2003
Fight The Fed Model
AQR
Research
15 Pages
AQR challenges the popular Fed Model, arguing that comparing stock earnings yields with Treasury yields is a flawed way to value equities.
Active Management
November 2002
Returns and How They Get That Way
Oaktree
Research
15 Pages
Oaktree Capital explains where long term equity returns actually come from, arguing that earnings growth rather than ever higher valuations ultimately drives investment results.
Portfolio Management
September 2002
Bond Risk Premia
Research
45 Pages
The authors examine whether forward rates can predict excess bond returns through a common risk premium.
Portfolio Management
January 2002
Does Dividend Policy Foretell Earnings Growth?
Research
34 Pages
This paper examines whether dividend payout policy helps predict future earnings growth, challenging the assumption that retaining more profits fuels faster growth.
Portfolio Management
July 2001
What’s It All About, Alpha?
Oaktree
Research
10 Pages
Oaktree Capital Management explains what alpha really means by separating investment skill from market exposure and revisiting concepts like market efficiency, risk, and diversification.
Portfolio Management
March 2001
Investor Psychology and Asset Pricing
Research
92 Pages
This paper examines how investor psychology reshapes asset pricing by making expected returns a function of both risk and misvaluation.
Portfolio Management
June 2000
The Limits of Arbitrage
Research
27 Pages
This paper explains why professional arbitrage can fail when mispricing becomes most extreme.
Portfolio Management
December 1998
Investor Psychology and Security Market Under‐ and Overreactions
Research
47 Pages
The authors develop a behavioral model explaining why markets can underreact and overreact to information.
Portfolio Management
November 1998
Boys Will Be Boys: Gender, Overconfidence, and Common Stock Investment
Research
39 Pages
This paper examines whether gender differences in overconfidence influence stock trading and investment results.
Portfolio Management
January 1996
Why Not 100% Equities
AQR
Research
7 Pages
AQR examines whether investors seeking higher long term returns should allocate 100% to equities or instead pursue greater risk through broader diversification.
Portfolio Management
April 1993
Is Your Alpha Big Enough To Cover Its Taxes?
Research Affiliates
Research
13 Pages
Research Affiliates examines whether active portfolio managers generate enough excess return to overcome the tax costs created by frequent trading.
Portfolio Management
October 1992
A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades
51 Pages
The authors explain how rational people can ignore private information and follow earlier decisions, creating informational cascades that produce conformity, fads, booms, and crashes.
Portfolio Management
December 1991
Efficient Capital Markets: II
Research
43 Pages
This paper revisits market efficiency, examining how decades of empirical research changed what investors know about return behavior.
Portfolio Management
December 1991
Efficient Capital Markets: II
Research
43 Pages
This paper revisits market efficiency and argues that evidence cannot cleanly separate inefficient pricing from flawed asset pricing models.
Portfolio Management
October 1990
The Route to Performance
Oaktree
Research
3 Pages
Oaktree Capital Management examines how superior long term investment performance comes from avoiding major mistakes rather than making heroic bets.
Portfolio Management
February 1988
Stock Prices, Earnings, and Expected Dividends
Research
42 Pages
The authors examine whether stock prices reflect the discounted value of future dividends using US market data from 1871 through 1986.
Portfolio Management
March 1985
The Equity Premium Puzzle
Research
17 Pages
This paper examines why the historical return advantage of U.S. stocks over relatively riskless securities is far larger than standard economic models can explain.
Portfolio Management
December 1984
Does the Stock Market Overreact?
Research
14 Pages
The authors test whether investors overreact to dramatic news, creating predictable stock price reversals.
Portfolio Management
June 1980
Determinants of Portfolio Performance
Research
6 Pages
The authors examine how investment policy, market timing, and security selection shaped pension portfolio performance.
Portfolio Management
June 1980
On the Impossibility of Informationally Efficient Markets
Research
16 Pages
The authors examine why perfectly informationally efficient markets cannot exist when acquiring information is costly.
Portfolio Management
February 1980
Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends?
Research
40 Pages
This paper examines whether stock prices fluctuate more than changes in future dividends can reasonably justify.
Portfolio Management
May 1976
Trading Is Hazardous to Your Wealth
Research
34 Pages
The authors examine how trading frequency affects individual investor performance, using brokerage records to test whether active trading adds value.
Portfolio Management
May 1976
A Model of Investor Sentiment
Research
44 Pages
This paper models how investor psychology can produce both short term underreaction and long term overreaction in stock prices.
Portfolio Management
May 1973
The Pricing of Options and Corporate Liabilities
Research
19 Pages
The authors derive a theoretical framework for valuing options using hedged portfolios and no arbitrage principles.
Portfolio Management
September 1964
Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk
Research
19 Pages
This paper develops a theory linking expected investment returns to risk under market equilibrium.
Portfolio Management
March 1952
Portfolio Selection
Research
16 Pages
This paper introduces a framework for choosing portfolios by balancing expected return against variance rather than simply maximizing returns.