Publications

Educational Videos

Investment Insight

  • The Power of Uncommon Factors: Steady Gains in Unsteady Times

  • Emerging Biotech: The Wild West of Public Equity

  • A “Sharpe” Look at Defensive Growth: Building from First Principles

  • A Smarter Way to Take Equity-Like Risk

  • Modern Extension Strategies: Determining Efficient Leverage in Today’s Environment

  • The Challenges and Opportunities in U.S. Small Cap in 2025

  • Behind the Recent Broad-Based Rise in Quant Strategies

  • The Rapid Adoption of the Chatbot and Acceptance of Quantitative Investing

  • Rethinking Active – The Case for Low Tracking Error Managers

  • The Many Flavors of Quant

Journal Publication

  • Return to Active Equity Management

  • Diversification is Dead – Long Live Diversification

  • The Use and Misuse of Tracking Error

  • “ESG, Fundamentals, and Stock Returns”

  • “Active vs Passive: Old Wine in New Wine Skins”

  • Small-Cap Allocations: Timing the Entry

  • The Devil Is in the Details: The Risks Often Ignored in Low-Volatility Investing

  • An Integrated Approach to Quantitative ESG Investing

  • Teaching Machines to Understand Chinese Investment Slang

  • The Golden Age of Quant

  • Protecting the Downside of Trend When It Is Not Your Friend

  • Not All Factor Exposures Are Created Equal

  • Corporate Governance Failures and Interim CEOs

  • What Is Missing in Common Minimum Volatility Strategies? The Ignored Impact of Currency Risk

  • The Low-Volatility Anomaly, Interest Rates, and the Canary in a Coal Mine

  • Efficient Smart Beta

  • On the Holy Grail of “Upside Participation and Downside Protection”

  • The Resale Value of Risk-Parity Equity Portfolios

  • The Triumph of Mediocrity: A Case Study of Naïve Beta

  • Risk Parity Equity Strategy with Flexible Risk Targets

  • Are Risk Parity Managers at Risk Parity?

  • Pension Liabilities and Risk Parity

  • Factor Timing Model

  • Diversification Return and Leveraged Portfolios

  • Risk Parity and Diversification

  • Rewarding Fundamentals

  • Active Equity Management for the Future

  • Global Value Investing Delivers Diversification: A Multi-Strategy Perspective

  • Information Horizon, Portfolio Turnover, and Optimal Alpha Models

  • Aspects of Constrained Long-Short Equity Portfolios

  • On the Financial Interpretation of Risk Contribution: Risk Budgets do Add Up

  • Contextual Fundamentals, Models and Active Management

  • Multiple Alpha Sources and Active Management

  • Active Risk and Information Ratio

  • Portable Alpha

  • Style Investing – To Be or Not To Be

  • Extreme Investing: Using Extreme Data to Find Value in Small-Cap Stocks

  • Impact of the Euro on Global Fixed-Income Portfolios

  • Global Equities: Do Countries Still Matter

  • Can Index Returns be Enhanced Without Using Forecasts?

  • Better Risk Management

  • Beating the Bond Market with No Skill

  • Investing at the Edge

  • International Investing: The Dutch Investor’s Perspective

Market View