“Reconsidering Hedge Fund Contagion” by Richard Sias, H.J. Turtle and Blerina Zykaj provides an alternative, and contrary, view of hedge fund contagion, hedge fund crowding, hedge funds’ role in the 2007–2008 financial crisis, and hedge funds’ role the 2007 quant crisis.
Igor Yelnik of ADG Capital Management wrote the paper "Patience Premium", which introduces the eponymous notion which is based on the concept of ambiguity aversion and ultimately can be defined as an ambiguity premium. The paper identifies three reasons for the existence of the patience premium: certainty preferences, comparison with peers, and loss aversion. The phenomenon of the patience premium helps explain why the performance of investment strategies may benefit from having longer holding periods.
The paper titled "Designing the Future of Target-Date Funds" revisits target-date fund designs and single manager structures to address the failure of target date strategies to guard against today's heightened retirement risks. The authors indicate that most retirement plans still use traditional designs that were adopted years ago, but fiduciary standards have changed.
In “Market Timing: Opportunities and Risk,” Wim Antoons explores opportunities for enhancing returns using tactical asset allocation and market timing, as well as the challenges posed by market timing, including higher costs and the risk of missing the best-performing days of the market.
In “Tactical Timing of Low Volatility Equity Strategies” by Sanne de Boer and James Norman, the authors attempt to tackle two common concerns about the timing of an allocation. The first is that relative valuation of low volatility stocks may be expensive compared to the rest of the market, so they should wait for more attractive levels. The second is that low volatility stocks, which tend to pay higher dividends, may under-perform against the back-drop of potential rate increases.
In the paper, “Adding Alpha by Subtracting Beta: A Case Study on How Quantitative Tools Can Improve a Portfolio’s Return” by Chris Martin, the author introduces various quantitative tools and uses a “real world” portfolio to illustrate how one could improve a portfolio’s realized returns.
To address the many inefficiencies with traditional methods of investing, the authors of the paper titled “From Theory to Practice: The Collaborative Model for Investing in Innovation and Energy” argue that an increasing number of beneficiary organizations, such as pension funds, sovereign wealth funds, endowments and foundations, are adopting a new model of long-term investment management.
Professor Benton E. Gup focuses on money and payments in the United States and attempts to address historically what defines money, and how it becomes a form of accepted payment, in the paper titled "What is Money? From Commodities to Virtual Currencies/Bitcoin".
Sanjay Mistry and Tobias Ripka of Mercer Private Markets highlight the importance and growth of private debt in “Private Debt in an Institutional Portfolio.” The authors assert that, as an asset class, private debt is attractive on a risk-adjusted basis and can play different roles in the portfolio context, and directly plays into the financing void which has arisen post the global financial crisis.
In this paper by AQR titled “Asset Allocation in a Low Yield Environment”, the authors question the premises behind the preference for strategic risk diversification in light of the low yield environment, and find that it continues to be sound.