Extreme market movements, especially in recent years, prompt our efforts to better understand the complexities of market dynamics. This paper seeks a better understanding of the features that characterize market environments through time. Specifically, we first demonstrate how market distress...

Active quantitative portfolio management is on the verge of change, we believe towards a more flexible approach capable of capturing dynamics in risk and return expectations across an array of asset classes. The static quant-driven approach to active management in widespread use today is...

Asset price bubbles build and burst today much as they have since modern capital markets first evolved some 300 years ago. In recent decades, although the real economy has become less volatile, the financial markets have not. They remain volatile and unpredictable. Exploring the driving forces...

The asset allocation decision is arguably the most important decision in the investment process. It involves allocating an investor's portfolio among a set of desirable asset classes, but the investor must first define the asset classes to consider. The concept of investment-consumption value...

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 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...