Research

My first set of papers look at the sources of alpha in anomalies, mutual funds, and volatility:

(1) In “Losing Out on Low-Risk Alphas: A GRS Decomposition into PCA Factors”, [Click here to download the paper], (Job Market Paper),

I show that, contrary to popular practice, low-risk PCA latent factors, which explain little variation in returns, yield large alphas.

(2) In “Anomalies, Roll’s Critique, and Proxy Error”, [Click here to download the paper], (Semifinalist for best paper in investments FMA 2023),

I show that some anomalies (ROA, ROE, etc.) seem to proxy for the returns of the omitted assets (bonds, real estate, human capital, etc.) and reduce the impact of the Roll (1977) critique on anomaly alphas.

(3) In “Omni-Model Alphas and Beta-Based Benchmarks: Reexamining Mutual Fund Performance” (with Richard Sias),

We show that, contrary to seminal results, many mutual funds (25%) yield significant, persistent alpha, stemming from timing skill.

(4) In “Which Countries Concern Investors: VRP Across Global and Local Latent Factors” (with Lucio Sarno and Xiao Xiao),

Using the Variance Risk Premium of FX options we explore whether investors are more concerned about global or local shocks.

My second set of papers look at whether knowing these sources can help us build better portfolios and better understand investor’s portfolios:

(5) In “M versus 1/N: Can SDFs Help with Portfolio Choice?”, (with Richard Priestley and Kevin Schneider),

We show that portfolio weights implied by (macro) factor models has higher out-of-sample Sharpe Ratios than equal weighting.

(6) In “Home Bias & Home Prices: A Rational Hedging Component to Equity Home Bias”, (with Sofie Waltl),

We show that the local equity home bias is partially rational. Stock returns related to employment growth predict future local real estate price growth in the city where the firm is headquartered.