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RESEARCH & PUBLICATIONS

WE ENJOY DISCOVERY.

At First Quadrant, we ask different questions. Even if we reach the same conclusion as others, we probably took an atypical path to get there. This may sound like splitting hairs, but to us it's as fundamental as... the way we think.

A team of individuals with diverse backgrounds in finance, science, and mathematics generates FQ's research. What emerges is a blend of fundamental rational thought, rigorous quantitative processes, and intuition honed over years of market experience.

FQ RESEARCH BY TOPIC

FIRST QUADRANT CLASSICS

• Diversification & Risk Management: What Volatility Tells Us
• Piloting Quantitative Investment Strategies
• Treading Where Alpha Does Not Sum to Zero
• Alpha Shop
• Wine Lovers Guide to Active Investing
• The Case for Quantitative Management
• Thoughts on Grinold and Kahn’s “Fundamental Law of Active Management”

ESSENTIAL BETA / RISK PARITY

• Does Your Portfolio Have “Bad Breadth”? Choosing Essential Betas
• Rethinking Beta
• Balancing Betas – Essential Risk Diversification
• Best of Both Worlds
• Using Volatility Regimes: The FQ MRI (Market Risk Index)?
• Counter-Point to Risk Parity Critiques
• Reshaping As Well As Balancing Risk in Essential Beta

COMMODITIES

• Balanced Risk Commodities
• Commodities Total Return

GLOBAL TAA / GLOBAL MACRO

• What To Make, and Not Make, of the Recent Performance of Global Macro
• The Emergence of TAA as Global Macro
• Where TAA and Market Timing Part Company
• Domestic TAA Is to Global TAA What the Calculator Is to the Desktop Computer
• Opportunities in Global Bonds
• Bottom Up Valuation in Global Asset Allocation
• Sector Rotation: The New Holy Grail or the Latest Fad?

CURRENCY

• Arguments Against The Arguments For Not Acting On Currency Risk
• What to Make of Active Currency Managers' Recent Underperformance
• A Simple Measure of Purchasing Power Parity
• Optimal Currency Hedge Ratios Redux
• Putting Active Currency Management at the Top of Your 2004 Agenda
• Purchasing Power Parity: Even the Big Mac Can Predict FX Rates
• Currency Management

EQUITIES

• Alpha and Beta in Market Neutral
• Valuation, Without a Value Bias
• Excess Returns, Stock Splits, and Analyst Earnings Forecasts

OPTIONS

• Options and Other Protective Strategies
• Using Options in a TAA Process

TAX-ADVANTAGED EQUITIES

• Tax Management, Loss Harvesting, and HIFO Accounting
• Loss Harvesting: What’s It Worth to the Taxable Investor?
• Tax-Advantaged Investing
• How Well Have Taxable Investors Been Served in the 1980’s and 1990’s?
• The Management and Mismanagement of Taxable Assets

 

REBALANCING

• Rebalancing a Global Policy Benchmark: How to Profit from Necessity
• Rebalancing: Dull and Unimportant... Not!
• Tactical Rebalancing

 

WE PUBLISH

FQ PERSPECTIVES

FQ Perspectives gives a sense of the rigorous analytic thinking that backs up our decision making. It’s also a place where we share with you some of the ideas we’ve been kicking around among ourselves.

• Commodities Total Return
• QE2 - What Do We Think?
• Did Diversification Fail? Part 2
• Slimming Your Tails: Constructing a Superior Tail-Risk Hedging Portfolio
• Balanced Risk Commodities
• Tail-Risk Hedging in Concept and Practice
• Counter-Point to Risk Parity Critiques
• A Euro Perspective
• How To Beat The Currency Market Without (Much) Skill
• Using Volatility Regimes: The FQ MRI (Market Risk Index)?
• Forward With Care
• Did Diversification Fail?
• Having Your Cake and Eating It Too?
• Arguments Against The Arguments For Not Acting On Currency Risk
• Best of Both Worlds
• Balancing Betas – Essential Risk Diversification
• Does Your Portfolio Have “Bad Breadth”? Choosing Essential Betas
• Rethinking Beta
• Diversification & Risk Management: What Volatility Tells Us
• Is Your IC Stable Enough to Benefit from Short Extensions?
• Piloting Quantitative Investment Strategies
• What To Make, and Not Make, of the Recent Performance of Global Macro
• Taking a Global View in 2007
• What to Make of Active Currency Managers' Recent Underperformance
• Risk Shouldn't Be the Elephant in the Room
• Treading Where Alpha Does Not Sum to Zero
• The Emergence of TAA as Global Macro
• Transaction Cost Management
• A Simple Measure of Purchasing Power Parity
• Optimal Currency Hedge Ratios – Redux
• Alpha Shop
• Alpha and Beta In Market Neutral

	BREADTH & DEPTH ARCHIVE We’ve discovered that a lot of interesting things in the world actually relate in surprising ways to our favorite topic — investment.

OTHER PUBLICATIONS
Pensions & Investments,"Currency Managers Jump into Volatile Markets to Score Big", by Drew Carter, November 11, 2008. Includes interview with Dori Levanoni, FQ Partner.