White Papers

Research Info:

Mr. Cefaloni discusses the notion of engineering beta exposure to better distribute portfolio risks by allocating capital using a risk indexation methodology.

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  • Author: Gabriel Cefaloni
  • Published: Forthcoming
  • Title: Engineering beta in bonds
  • Journal: Forthcoming

Industry Research

Research Info:

Mr. Baker decomposes the anomaly exhibited in low beta stocks, providing a combination of low risk and high returns, in micro and macro components; thus covering both security selection and asset allocation.

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  • Author: Malcolm Baker
  • Published: 2013
  • Title: The low beta anomaly
  • Journal: Journal of Portfolio Mgmt

Research Info:

Messrs Frazzini & Pedersen present a model with leverage and margin constraints that vary across investors and time. They cover 5 main assumptions: (1) constrainted investors bid up high-beta assets; (2) long leveraged low-beta assets and short high-beta assets produces significant alpha; (3) funding constraints are of utmost importance; (4) liquidity risks compresses betas toward one; and (5) more constrainted investors hold risker assets.

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  • Author: Frazzini & Pedersen
  • Published: 2010
  • Title: Betting against beta
  • Journal: Journal of Financial Economics

Research Info:

Mr. Black discusses the data showing that low beta stocks, although less risky, have performed better than their higher beta counterparts; essentially going against the CAPM predicts. He provides explanations as to why such anomaly was sustained and whether these factors can be expected to continue in the future.

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  • Author: Fischer Black
  • Published: 1993
  • Title: Beta and return
  • Journal: Journal of Portfolio Mgmt

Research Info:

The Callan Investment Institute Research contrasts the Risk Parity methodology with the traditional Mean Variance approach in the context of developing policy portfolios for large institutional investors. They also discuss practical considerations of implementating a Risk Parity approach -namely the use of leverage- at the policy level.

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  • Author: Callan Inv. Institute Research
  • Published: 2010
  • Title: The risk parity approach
  • Journal: Internal Research