Building a Better Passive Mousetrap

Ashwin Alankar (pictured), Michael DePalma and Richard Abramson In a recent blog, Passive Management Does Not Equal Passive Investing, we showed how passively managed portfolios actually create an active investment in which volatility isn’t benign and risk exposures can vary wildly over time. So if we could fix the problem and reduce exposure to spikes [...]

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Passive Management ≠ Passive Investing

Ashwin Alankar (pictured), Michael DePalma and Guoan Du Passive investments are often misunderstood. Instead of providing static positioning as implied by the label, they can be very capricious because of market and sector turbulence. To tame a passive asset, we think investors need to exert more active control over the dynamics of volatility.

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Tail-Risk Parity: The Quest for a Crash-Proof Portfolio

Ashwin Alankar (pictured) and Michael DePalma By any name—Black Swan, three-standard-deviation event or negative tail event—the risk of unexpected heavy losses is a major concern for investors. The question is how best to protect against these low-probability, high-impact market moves.

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Japan and the Euphoric Volatility Trap

Ashwin Alankar (pictured), Michael DePalma and Arnab Nilim When equity markets are buoyant and optimism abounds, fears of volatility tend to subside. But recent events in Japan remind us that euphoria itself can generate turbulence.

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Beware of the New Systemic Risk

Ashwin Alankar and Michael DePalma It felt like there was nowhere to hide from the market declines last Monday, April 15, when stocks, bonds and commodities fell in unison across the world, well before the Boston bombings that day. We believe that this failure of diversification was instigated by increasingly powerful multi-asset funds, many of which [...]

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