Journal Publication
Extreme Investing: Using Extreme Data to Find Value in Small-Cap Stocks
A large amount of literature has accumulated over the years on various forms of “small-cap effects” that summarize a number of apparent ...
Research
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Journal Publication
Impact of the Euro on Global Fixed-Income Portfolios
In this article, the authors examine how the volatilities and correlations in the global fixed-income markets have changed over the past decade. ...
Journal Publication
Global Equities: Do Countries Still Matter
The ongoing globalization of world economies and introduction of the euro have prompted a reevaluation of country and sector effects on security ...
Journal Publication
Can Index Returns be Enhanced Without Using Forecasts?
Enhanced indexing is suddenly a hot topic. The authors conjecture that much of this interest is driven by dissatisfaction, for the past ...
Journal Publication
Better Risk Management
For many years, quantitative investors trying to balance risk and return have been guided by academic finance. Harry Markowitz taught us to ...
Journal Publication
Beating the Bond Market with No Skill
This article first explores the rationales behind bond index construction. It then describes a way indexes could be constructed so that over ...
Journal Publication
Investing at the Edge
Markets may be segmented in various ways to improve returns. We will refer to the center as the universe of investments in ...
Journal Publication
International Investing: The Dutch Investor’s Perspective
Institutional investors in the Netherlands have been steadily adding international securities to their portfolios. As a result, two subjects have become increasingly ...