Diversification is great, but its not the same thing as a hedge. Hedges are helpful downside protection in theory, but in practice they might not be worth it.

We examine four prominent factor premia value, momentum, carry, and defensive over a century from six asset classes. The results offer support for time-varying risk premia models with important implications for theory seeking to explain the sources of factor returns.

This year, first prize was awarded to Can the Market Multiply and Divide? Non-Proportional Thinking in Financial Markets by authors Kelly Shue, of Yale University and NBER, and Richard R. Townsend of University of California San Diego. The paper was awarded a $50,000 prize.

We rely on sound economic theory and analysis to help us deliver long-term, repeatable results.

A disciplined methodology underlies everything we do. Our models, built over 20 years, are based on a continuous process of design, refine, test, repeat.

In portfolio construction, risk management and trading, we seek additional value for our clients. Using both qualitative and quantitative tools, were meticulous in every detail of the investment process.

Long-Only Style Investing: Dont Just Mix, Integrate

If all of us, as investors, can persevere, we believe the long-term benefits are great. But even knowing all this in advance doesnt make it easy. Hopefully, this reminder of what we all knew sixteen long months ago is helpful.

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