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Brett Hammond

Brett Hammond

Head of Multi-Asset Class & Asset Allocation Research

While Head of Index Applied Research, Brett Hammond advised asset owners and managers on the role of indexes in asset allocation and portfolio construction. Brett has published more than 30 articles and books on finance, higher education, and public policy. He is currently an Adjunct Professor at The Wharton School of the University of Pennsylvania and Executive Chair of the Research Council on Global Investment. He is Program Chair and Executive Vice President of the Institute for Research in Quantitative Finance and on the advisory board of the Wharton School’s Pension Research Council. He is past president of the Society of Quantitative Analysts. Brett received BA degrees in Economics and Political Science from the University of California at Santa Cruz and a PhD from the Massachusetts Institute of Technology. Information correct as of blog post publish date. MSCI employed Brett from June 20, 2012 to November 6, 2015.

Research and Insights

Articles by Brett Hammond

    Can Alpha be Captured by Risk Premia?

    Blog | Jun 16, 2015 | Brett Hammond

    Traditional investment thinking posits that alpha depends on the active decisions of portfolio managers. The search for alpha is daunting, however, because even the best analysis can be upended if the market draws a different conclusion. In addition, geopolitical and macroeconomic events can change the market environment without warning.

    Separating True Innovation From Marketing Fads - From Journal of Indexes

    Research Report | Sep 5, 2014 | Brett Hammond

    Last year, 157 new ETFs and ETNs were launched in the United States - one-tenth of the total of 1,546, according to ETF.com. But how many of these new funds can be called real "innovations"? Take the hottest area of the market: what many investors call "smart beta", "strategic beta" or "factor investing". These are index strategies that take bets against the market in an attempt to either deliver risk-adjusted outperformance or to capture some...

    Bringing the Best of DB to DC Fund Options

    Research Report | Dec 10, 2013 | Brett Hammond, Juliana Bambaci

    Individual investing has become a prominent part of the investment landscape. Whether for retirement, wealth management, estate planning, or other purposes, the enormous growth of individually directed assets has stirred increased interest in and attention to the way individuals try to set and meet investment goals. Unfortunately, most individuals fare less well than institutional investors when it comes to the choices they make and, most important, their ability to achieve overall financial...

    Research Insight - Building Best Practices Benchmarks for Global Equities

    Research Report | Jul 10, 2013 | Brett Hammond, Subramanian Aylur

    Benchmarks are practical tools used by investors at every stage of the investment process, including policy portfolio creation, asset allocation, fund selection, performance evaluation, and product creation. But despite their central role in the investment process, a comprehensive discussion of benchmarking standards or best practices has not been addressed in recent industry literature.This paper aims to provide a framework for benchmark assessment. The framework is drawn primarily from...

    Harvesting Risk Premia for Large Scale Portfolios

    Research Report | May 29, 2013 | Abhishek Gupta, Brett Hammond, Juliana Bambaci, Jennifer Bender, Madhusudan Subramanian

    An accumulating body of empirical research has found positive gross excess returns from exposure to risk factors (or risk premia). Our study was commissioned by the Norwegian Ministry of Finance to explore factor strategies, through the lens of risk premia indices, for large funds. The paper examines equity risk premia, such as value, size, low volatility and momentum, focusing on return, risk, and investability. For portfolios of large scale, we construct risk premia indices which have...