Asset bubbles and their subsequent bursts have been a part of capital markets since modern capital markets began to evolve some 300 years ago. Although each bubble environment certainly has its own distinguishing characteristics, certain common elements persist as key ingredients in bubbles over...

Investors wish to avoid the pain of downside risk while seeking portfolio returns. The ability of a diversified portfolio, especially long-only, to provide relief during market turbulence has come under attack in recent years with many saying that diversification disappears altogether when...

We document the existence of an anomalous asset growth effect globally and find that it comprises some combination of a market mispricing and some pervasive global systematic risk. To support our findings, we explore a battery of tests to include how country-level governance and market...

We propose a model of portfolio selection that adjusts an investors' portfolio allocation in accordance with changing market liquidity environments and market conditions. We found that market liquidity provides a useful “leading indicator” in dynamic asset allocation. Specifically, market...

We explore whether the well publicized anomalous returns associated with low-volatility stocks can be attributed to market mispricing or to compensation for higher systematic risk. Our results, conducted over a 46 year study period (1966-2011), indicate that the high returns related to...

After-tax performance reporting is critical for taxable investors but is unfortunately often overlooked due, in part, to its complexity and lack of offerings in the space. Instead, most performance reporting models available today provide only pre-tax reporting, ignoring the after-tax aspects so...

In this paper, I review hedge fund risk using various commonly used measures including market betas, correlations, and porfolio drawdowns. We see a picture emerge that shows hedge funds have historically hedged a fair degree of systematic market risk, especially in the early years, offering...

Research showing that the lowest risk stocks tend to outperform the highest risk stocks over time has led to rapid growth in so-called low-risk equity investing in recent years. We examine the performance of the low-risk strategy previously considered in the literature and of a beta-neutral...