In this paper, the relationship between house prices and rents across eight major metropolitan areas in the U.S. is examined, and a rent price index to provide the framework of our analysis is developed. Adjustments in the rent-price ratio can theoretically occur through the numerator, the...

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

The proliferation of 130/30 products has raised interesting questions in terms of how they should be benchmarked. The use of leveraged long and short positions renders them different, at least at first blush, to traditional long only products. In this paper, we explore various benchmarking...

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...