Practitioner Research

Alongside academic work, I spent two decades producing research for practitioners and putting research to work.

If you are a J.P. Morgan client, you can still find many of these papers on their website, covering a range of topics in quantitative strategies (searching the titles may also work, as some universities have used them in MBA courses). Some of the titles:

• Risk Premia in Volatility Markets: Exploiting Volatility Spillover and Clustering, 2012.
• Commodity Equities or Futures?, 2011.
• Economic and Price Signals for Commodity Allocation, 2009.
• Longevity Risk and Portfolio Allocation, 2009.
• Profiting from Slide in Commodity Curves, 2009.
• Commodity Prices and Futures Positions, 2009.
• Combining Directional and Sector Momentum, 2009.
• Volatility Signals for Asset Allocation, 2008.
• Timing Carry in US Municipal Markets, 2008.
• Cross-Momentum for EM Equity Sectors, 2008.
• Momentum in Global Equity Sectors, 2008.
• Optimizing Commodities Momentum, 2008.
• Hedge Fund Alternatives, 2008.
• Markowitz in Tactical Asset Allocation, 2007.
• Equity Style Rotation, 2006.
• Momentum in Commodities, 2006.
• Exploiting Cross-Market Momentum, 2006.