News and publications


How effective are protective puts?

Put options are often considered the gold standard in downside risk management. However, protected portfolios tend to behave very differently from textbook illustrations as the simulations and empirical studies in our latest research paper show. Systematic protective put strategies don't just suffer from the cost of the insurance premium but also provide pretty poor protection once drawdowns are not perfectly aligned with the option's lifecycle. In the worst case the strategy delivers lower returns at higher not lower risk.


Beware of the lies of history

Most investors follow economic data in a way or another to assess the concurrent market environment and derive views and forecasts. This often includes the analysis of historical patterns and relationships between financial markets and the economy. Unfortunately such analysis is highly prone to look ahead bias induced by revisions often resulting in a flawed perception of the timeliness and reliability of indicators. Our paper illustrates this problem with a focus on major stock market crashes since the 70s.


Cheap market beta is not the end of active investing

How passive is passive investing, is the question we are tackling in this paper. With the rise of Exchange Traded Funds, a growing body of literature has been concerned with the dichotomy between active and passive investing and its implications for market efficiency, market stability and corporate governance. We look into the topic from a slightly different angle, analysing and contrasting the various discretionary elements in ETF construction.


Demystifying share buybacks

Share repurchases have been lauded for increasing investor’s returns and blamed for driving up leverage ratios and stock market valuation. In this paper we elaborate on the often misunderstood mechanics of buyback programs and show why we think that their influence and importance is widely exaggerated.