ARCHIVE

A collection of selected publications, research, commentary, and presentations spanning more than four decades of work in investment strategy, quantitative research, index investing, and derivatives.

View all publications or select by category: Derivatives & Options, ETFs & Index Investing, Portfolio Strategy, Quantitative Research, and Risk & Market Disruption.

A Comprehensive Guide to ETFs (2nd Edition) Module 2: Evaluating ETFs	CFA Institute Research Foundation	06/02/2026
A Comprehensive Guide to ETFs (2nd Edition) Module 1: ETF Features and Evolving Landscape	CFA Institute Research Foundation	04/29/2025
Managing Downside Equity Risk as an Asset Allocation Strategy: A Look Back at Early Institutional Applications	Vest Financial	04/01/2024
Evaluating Target Performance for Downside Buffer ETFs	Journal of Beta Investment Strategies	11/03/2023
Risk Dynamics from the JBIS	The Journal of Index Investing	12/01/2022
The Time Dimension of Volatility: Implications for Option Strategy Design	Journal of Derivatives, Volume 4	04/29/2022
The Dynamics of Risk: Implications for Asset Allocation Strategies	Journal of Beta Investment Strategies	04/13/2022
COMMENTARY: Active Indexing with ETFs: Disruption and Implications	Journal of Index Investing	07/19/2019
The Evolution and Success of Index Strategies in ETFs	CFA Institute	09/01/2016
A Comprehensive Guide to Exchange-Traded Funds	Research Foundation Publications	05/01/2015
A Comprehensive Guide to ExchangeTraded Funds: A Summary	Research Foundation Publications	05/01/2015
Active vs. Index: The Liquid Alternatives Game Heats Up	Journal of Indexes	11/01/2013
The Different Faces of Volatility Exposure in Portfolio Management	Journal of Alternative Investments	01/12/2013
The Foundation for Enduring Derivative Markets: Liquidity, Transparency, and Capacity	Journal of Derivatives	10/02/2012
Volatility Concepts and Tools in Risk Management and Portfolio Construction	CFA Institute	12/02/2011
Hedging with Inverse ETFs	Journal of Indexes	11/01/2010
Index Volatility in Perspective	Journal of Index Investing	06/09/2010
The Uses and Risks of Derivatives	CFA Institute	06/02/2010
Rebalancing Leveraged and Inverse Funds	ETFs and Indexing	11/09/2009
Understanding the Returns of Leveraged and Inverse Funds	Journal of Indexes	09/01/2009
Use and Abuse of Illiquid Investments, Portable Alpha, and Derivatives	TIFF Endowment Management Seminar	07/04/2007
Equity Trading Capacity Revisited	Journal of Trading	04/04/2007
Alpha as a Net Zero-Sum Game	Journal of Portfolio Management	06/06/2006
The Secret Sauce of Hedge Fund Investing – Trading Risk Dynamically	Equity Derivatives Strategy, Goldman Sachs	11/02/2004
Capturing Alpha - Different Tactics for Different Styles and Markets	Equity Derivatives Strategy, Goldman Sachs	04/16/2004
The New Pension Paradigm: Implications for Investment Strategy, Managers, and Markets	Equity Derivatives Strategy, Goldman Sachs	01/30/2004
The Appeal of ETFs	ETFs and Indexing	09/05/2001
The Changing Role of the Intermediary	AIMR Conference Proceedings	05/01/2001
Synthetic and Enhanced Index Strategies Using Futures on U.S. Indexes	Journal of Portfolio Management	09/15/1999
Equity Derivative Strategies	AIMR Conference Proceedings	08/04/1999
The “Rally” in Index Risk: Dimensions, Causes, and Opportunities	Equity Derivatives Research, Goldman Sachs	10/15/1998
Derivatives in Equity Portfolios	AIMR Conference Proceedings	06/04/1998
Tactical Management of Tracking Error – Adapting Active Strategies to Changing Correlation	Equity Derivatives Research, Goldman Sachs	04/29/1998
Reshaping Equity Returns Using Options	Journal of Portfolio Management	06/02/1997
S&P 500 Hedging Costs: A Look Over Time and Market Environments	Financial Analysts Journal	07/22/1994
Adding Value with Equity Derivatives: Part II	CFA Institute	12/08/1993
Managing Currency Exposures in International Portfolios	Financial Analysts Journal	01/25/1990
I nsurance: Volatility Risk and Futures Mispricing	Journal of Portfolio Management	12/13/1988
Equity Trading, Program Trading, Portfolio Insurance, Computer Trading and All That	Financial Analysts Journal	08/17/1988
Path Dependence in Dynamic Trading Strategies: A Risk & Reward Analysis	Canadian International Futures Conference & Research Seminar	10/13/1987
Stock Market Crash	Kidder, Peabody & Co	10/03/1987
Portfolio Insurance Products: Implementations Issues and Innovations	Futures and Options Conference, Kidder Peabody & Co.	09/12/1987
Corporate Bond Price Data Sources and Return/Risk Measurement	Journal of Financial and Quantitative Analysis	06/05/1986
Financial Futures: Fundamentals, Strategies and Applications	Irwin Professional Publishing	01/01/1986
Reducing Volatility with Financial Futures	Financial Analysts Journal	12/03/1984
Reducing Volatility with Financial Futures	Financial Analysts Journal	11/13/1984
The Effect of Location on the Performance of High Technology Firms	Financial Management	04/04/1984
The Effect of Three Mile Island on Electric Utility Stock Prices: A Note	The Journal of Finance	09/14/1983
Options/New Products: A Roundtable Discussion	The Wall Street Transcript	06/06/1983
Research Design for Systematic Risk Prediction	Journal of Portfolio Management	03/02/1982
Forecasting and Hedging Effectiveness of Pound and Mark Forward and Futures Markets	Management International Review	01/01/1982
A Normative Approach to Pension Fund Management	Journal of Financial and Quantitative Analysis	11/04/1981
Is Optimal Portfolio Management Worth the Candle?	Journal of Portfolio Management	07/06/1981

ARCHIVE

A collection of selected publications, research, commentary, and presentations spanning more than four decades of work in investment strategy, quantitative research, index investing, and derivatives.

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