This 2009 survey-based study describes how large global funds manage investment risk from strategy to implementation. In total, fifty-eight funds with assets aggregating to almost U$2 trillion participated in the survey. Almost all large funds (over U$25 billion) use some form of risk budgeting,...

Warren Buffett has consistently advised investors to follow a simple approach, diversifying broadly and minimizing costs. In fact, he recommended the trustee that will manage his wife's bequest to stick to a simple 90-10 stock-bond portfolio. Is this a sensible strategy for retirees in general?...

This paper presents a variation of the Black-Litterman Model (B&L) for portfolio construction and global asset allocation practices. The methodology proposed retains the Bayesian approach of the original B&L model and, in particular, the derivation of the Posterior Vector of expected market...

This paper examines the causes and consequences of hedge fund investments in exchange traded funds (ETFs) using U.S. data from 1998 to 2018. The data indicate that transient hedge funds and quasi-indexer hedge funds are substantially more likely to invest in ETFs. Unexpected hedge fund inflows...

We explore a novel survey on responsible investing by institutional investors around the world and match it to archival data on their equity portfolio holdings. We document that institutions that publicly commit to responsible investing exhibit better environmental, social, and governance (ESG)...

Over the last two decades, commodity indices have been increasingly used to achieve investment portfolio diversification. At the same time, the rise in the popularity of these indices has prompted questions on whether commodities remained segmented from traditional financial asset markets, which...

This paper reexamines the relation between various downside risk measures and future equity returns in a global context that spans 26 developed markets. We find that there is no significantly positive relation between systematic downside risk and the cross-section of equity returns, and in fact,...

I empirically investigate some of the key features of cryptocurrency returns and volatilities such as their relationship with traditional asset classes, as well as the main driving factors behind market activity. The main empirical results suggest that while there is a mild relationship between...