Gerstein Fisher Research Center

Gerstein Fisher has long believed that informing our investment strategies with academic research allows us to deliver more sustainable, explainable results for our clients. Compared to industry research, we find that independent academic research is not only more intellectually rigorous, but also more objective and not afraid to break from convention.

The Gerstein Fisher Research Center serves as a forum for ongoing feedback loop between Gerstein Fisher’s Investment Research Team and a select circle of leading finance, risk, and economics professors from prestigious academic institutions who share common areas of research inquiry. Through this collaboration, we are able to create more robust frameworks for our investment and risk management strategies.

Gerstein Fisher's investment strategies are informed by a wide array of academic studies. The selection of research papers below represent just some of the foundational research efforts that have shaped the industry and played an influential role in our own approach to investing.

Determinants of Portfolio Performance (Gary P Brinson et al)
A groundbreaking study that reveals the criticality of the asset allocation decision in determining long-term portfolio returns.
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Diversification Returns and Asset Contributions (Eugene Fama, David G Booth)
Explains and quantifies the so-called “Diversification Effect”—why it is inadequate to look at the risk and return of an asset class in isolation and the benefits of adding low-correlating assets to the portfolio mix.
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The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning (Richard Roll, Stephen A. Ross)
Introduces a theorem that helps explain returns based on multiple macroeconomic factors such as inflation and interest rates.
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Common Risk Factors on Stocks and Bonds (Eugene Fama, Kenneth French)
A foundational paper in modern investment management that attributes the return of stocks to size and value factors in addition to overall market risk.
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Facts and Fantasies about Commodity Futures (Gary Gorton, K Geert Rouwenhorst)
One of the first extensive studies into the risk and return characteristics of commodity futures, including historical equity-like risk premia and significant portfolio diversification benefits.

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