Videos

Global Stock Selection Modeling and Efficient Portfolio Construction and Management

JOHN B. GUERARD
Director of Quantitative Research at McKinley Capital Management
HARRY MARKOWTIZ
Chief Architect at GuidedChoice.com, and a Quantitative Research Advisor at McKinley Capital Management

Stock selection models often use analysts’ expectations, momentum, and fundamental data. The authors found support for composite modeling using these sources of data for global stocks from 1997 through 2011.

R² and the Benefits of Multiple-Fund Portfolios

DAVID NANIGIAN
Associate Professor of Investments at Richard D. Irwin Graduate School at the American College, in Bryn Mawr

Recent research shows superior performance by those equity funds that differ the most from their benchmarks. Existing studies, however, have not examined important questions about risk.

LDI: Reducing Downside Risk with Global Bonds

ERIN BIGLEY
Senior Vice President at AllianceBernstein Fixed Income

Erin explores the use of currency-hedge global bonds in liability-driven investment portfolios.

Understanding Style Premia

RONEN ISRAEL
Principal at AQR Capital Management

Four investment “styles”—Value, Momentum, Carry, and Defensive—have emerged as compelling sources of alternative returns, backed by economic theory and decades of data across geographies and asset groups.

The Small-Country Effect Small Markets Beat Large Markets

MICHAEL KEPPLER
President of Keppler Asset Management

Michael makes the case for equal weighting markets.

Risk Budgeting with Asset Class and Risk Class Approaches

WAI LEE
Managing Director, CIO and Director of Quantitative Investment Group at Neuberger Berman