How does an asset with a higher expected return but higher risk compare to an asset with a lower expected return but lower risk? A natural answer is to rank them based on their risk-adjusted returns. But what if the expected return and risk are not estimated reliably? This is the challenge of...

We customize factor attribution for quantitative equity portfolios to better align the measurement of factor returns with how factor tilts were taken on. Specifically, we provide a theoretical argument for including the absolute value of factor exposures in the attribution to account for the...

An LP must make many choices when investing in private markets: How to invest uncalled capital? How many funds to invest in each vintage? How to pace commitments? Is there a class of funds where skill matters more than others? We answer these questions using our fair comparison framework, which...

A recent research publication develops a new business cycle forecasting technique using a metric called “Mahalanobis distance.” This measure is intuitive, is based on a straightforward set of computations, is able to identify post-war US recessions with few false positives, and, as claimed...