The Price of

Equity Risk

The price of risk is critical to equity factor models. This research shows that VIX are the price of equity risk. Implication:  most factor models are misspecfied.

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The Price of

Credit Risk

Diversified credit risk is simply equity risk. Credit indices are more efficiently constructed with Equity and Treasury bonds.

Implication: Investment grade credit is an unrewarded risk.

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Asset Allocation

& Co-integration

Co-integration links the portfolio to the primary return drivers. while delivering mean-variance efficient portfolios.

Implication: Markets are efficient while return & risk assumptions are unnecessary.