Investment staff at asset owners spend an inordinate amount of time on a critical non-investment activity – reporting, which is a material fiduciary and governance requirement. Massive resources spent to prepare monthly/quarterly reports are costly for asset owners on a tight budget. More...

Using case studies of two investment companies, this paper highlights that organizations may have “investment tribes,” i.e., groups of individuals who appear to exhibit similar risk tendencies for gambles involving gains or losses, possibly with a wide spread of risk preferences. Tribes and...

The primary purpose of this research is to empirically test a new asset pricing model, the Relative Asset Pricing Model (RAPM), and to confirm whether hedge portfolios on two new risk factors highlighted in that model, and embedded in all portfolios, have negative and significant risk premia. In...

Investors live in a multi-period, volatile world and base their decisions on theories of asset pricing, and asset allocation, often derived from a single period model. They make assumptions about asset returns and volatilities and use optimizers to set their long term allocations, and often...

Since the development of modern portfolio theory (MPT) in the late 1950s and early 1960s, academics have offered numerous competing theories. MPT's simplicity is appealing: The expected return on an asset is simply a function of the return of the market portfolio and the asset's beta to the...

Dynamic beta is a program that dynamically allocates to beta assets based on formal rules. It contrasts with standard mean-variance optimization and static risk-parity approaches, which are static. Dynamic beta lowers the overall risk of the fund — where risk includes volatility of returns...