According to the International Monetary Fund, emerging markets now represent more than a third of global GDP — and are expected to grow at a faster rate than advanced economies. With such explosive growth, investors often assume that an investment strategy focused on growth would yield better...

“In this world nothing can be said to be certain, except death and taxes.” — Benjamin FranklinThe Brandes Institute has added a third inevitability to Ben Franklin's famous quip about life's certainties: short-term underperformance among active managers. Over the years, Institute research...

Global micro-cap stocks have provided greater diversification benefits and a more robust long-term value premium than small- and mid- to large-cap stocks. Among the features contributing to these benefits for micro caps worldwide:• a large, diverse universe with little sell-side research...

The Financial Crisis of 2008/2009 increased plan sponsors' desire to control risk — and we are still seeing the unfortunate effects. Many approaches adopted to control risk are illusions of risk control. Of particular concern is how sponsors are misapplying tools designed to monitor...

The possibility to minimize volatility of the systematic risk while maximizing returns, is the use of an optimized buy long/sell short strategy that takes into account, that the market model is kinky. The equation of the market model – including a beta plus for increasing markets and a beta...

We derive the optimal corporate pension portfolio policy in a consolidated setting in the presence of PBGC insurance. The paper's result formalizes the forces of risk shifting and risk management that shape the form of the corporate pension portfolio. As in Rauh (2009), the risk-shifting and...

This paper reviews the recent literature on CAPM and APT, and reaches a surprising conclusion. While APT died a silent death, CAPM's progeny is alive and well! We provide a short review of the recent literature on the conditional CAPMs, intertemporal CAPMs, and higher-order Co-Moments-based...

A white-box deterministic system simulates long-term LDI cashflows using as input J.P.Morgan Long Term Capital Market Assumptions adapted to make them interest rate dependent. Trading, coupons and dividends provide cashflows to pay liabilities and extract excess cash to stakeholders while...

German Abstract: Angesichts der politischen und wirtschaftlichen Turbulenzen am Aktienmarkt stellt sich die Frage, ob es trotz umfassender Portfolioliteratur neuere Wege gibt, die Problematik des systematischen Risikos bei Aktienanlagen wesentlich zu mindern. Die folgende Arbeit leitet ein...