Increasingly, consultants for fund management firms care about the riskiness of fund managers’ investment strategies. Fund managers themselves must care about the riskiness of their investment strategies vis-a-vis the client’s specified benchmark

The Black-Litterman model has gained popularity in applications in the area of quantitative equity portfolio management. Unfortunately, many recent applications of the Black-Litterman to novel aspects of quantitative portfolio management have neglected the rigor of the original Black-Litterman...

We use industry data to determine whether crowding of the investment space is caused by portfolio construction processes typical to the investment community. In particular, this paper examines the extent that transaction cost models cause crowding of the investment space, even when the...

The objective of this paper is to explore and identify inflation as it is embedded in a broad range of asset classes beyond simply TIPS, oil, gold and real estate. The analysis is conducted primarily from the perspective of a United States investor however the results are validated across a...

The capitalization-weighted S&P 500 is clearly a measure of the investment opportunity set of large-cap U.S. equity market. However, an equally weighted investment strategy might require that its performance be measured against an equally weighted index. The S&P Equal Weight Index (S&P EWI) will...

This is the technical appendix to the computer simulations in the American Economic Review publication by Julio Rotemberg and Michael Woodford, Real-Business-Cycle Models and the Forecastable Movements in Output, Hours, and Consumption, 1996

Investment managers often manage a portfolio of stocks with respect to a benchmark. Their primary concern is selecting the best stocks to outperform their benchmark, while constraining their tracking error. The most common way of doing this is to use an optimization framework to maximize the...

In recent years, a new form of risk has been recognized. This risk is the risk of crowded spaces. That is, how the saturation of a particular trading strategy can lead to a mis-measurement of the future expected returns and risks of the trading strategy. The primary focus of this risk has to do...

The price of oil has fluctuated wildly in the last few years and has placed a spotlight on oil investing vehicles. Of particular interest has been the discrepancy between oil investing returns and the hypothetical returns to spot oil. We attempt to understand the source of that discrepancy by...