Equal weighting is factor indifferent. It randomizes factor mispricing and is thus an attractive option for proponents of the theory that the market is inefficient and, at times, misprices factors. In January 2003, the S&P 500 Equal Weight Index (EWI) was introduced, pioneering the subsequent...

Volatility has emerged has an important asset class in the last decade. Often referred to as "the investor fear gauge," it can be a potentially useful diversification tool in a broad equity portfolio, especially under down markets. However, it is not possible to trade the spot VIX directly. With...

Akin to the well-known concept of bond duration, equity duration measures the sensitivity of equities to interest rates. Although this field of research is relatively new and the concept is rarely used in practice, we believe equity duration is of significant importance in immunization, risk...

Equity volatility, as replicated by widely traded ETFs and ETNs linked to the S&P 500® VIX® Futures Index Series, is frequently used to hedge equity portfolios. But is it appropriate for bond portfolios?The bond market is broad and diverse, ranging from low-risk government bonds to relatively...

In this paper, we formulate the mechanics of a potential S&P GSCI® Crude Oil Covered Call Index and explore the impact of writing covered call strategies across a range of strikes and market environments. Our findings suggest that covered calls are able to reduce volatility and drawdown of a...

Many trading, investing and structured product applications require narrow, liquid basket that efficiently track the market. In this paper, we examine tracking efficiency and turnover of highly liquid baskets, which track the investable European stock market as represented by the S&P Europe 350...

In early 2004, we published a paper which described a simple model of asset allocation for pension plans that incorporated the concept of equity duration. We believe that a diversified portfolio of equities and bonds can be immunized and lower the risk of deficits.Akin to the well-known concept...

Since the beginning of the decade, flows to institutional and retail products in the international small cap space have grown at a faster clip than flows to international large caps.The reasons for this are fairly obvious - greater alpha generating opportunities and higher diversification...