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Data Set
AQR Momentum Indices, Monthly
April 30, 2024
We have developed methodologies for U.S. and international markets that capture momentum in an intuitive and transparent way. The methodology can be applied to any universe of stocks. We have included monthly data for our three momentum indices here.
Data Set
Betting Against Beta: Equity Factors, Daily
February 29, 2024
This data set is an updated and extended version of the original data set for “Betting Against Beta” (Frazzini and Pedersen, 2014). We provide daily long/short BAB equity factors for U.S. equities and 23 international equity markets.
Data Set
The Devil in HML's Details: Factors, Daily
February 29, 2024
We have updated and extended our data set for “The Devil in HML’s Details” (Asness and Frazzini, 2013). We include long/short HML Devil returns for the U.S. and 23 international equity markets updated monthly.
Journal Article
Fact, Fiction, and Factor Investing: Practical Applications
September 1, 2023
This piece distills the central concepts and practical takeaways of our Fact, Fiction, and Factor Investing article, which examined many claims about factor investing, referencing an extensive academic literature and performing simple, yet powerful, analysis to address those claims.
Perspective
Holding Our Breadth
February 6, 2023
Regular readers probably noticed I’ve been talking a lot about value lately. While I’m all for shining the spotlight onto the value dislocation, my colleagues also continue to produce a great breadth of research worth adding to your non-value-reading-list. I preview some of my recent favorites.
Perspective
Is Value Just an Interest Rate Bet?
August 11, 2022
It seems obvious to so many that interest rates drive the value trade. After all, growth stocks have much longer-dated cash flows than value stocks and thus should be a “longer duration” asset and move more with longer-term interest rates, right? This is taken as an axiomatic given in countless pundit and press observations. However, it’s not nearly that simple, and mostly it’s just not true.
Perspective
Value Spreads Are Back to Tech Bubble Highs: Is Everyone Out There Cray-Cray?
August 5, 2022
This adds another three months of data to the May entry in our series of value spread updates. Over the past two months, some portion of the market went temporarily (I hope) insane, punishing value, as we measure it, to the point where the value spread has retraced most of its modest gains since the beginning of the year. The world doesn’t steadily move a little bit towards what we think is rational each day – painfully for us, it’s not a linear process. But this changes nothing about our belief in the outlook for value.
Perspective
Value Investing Is Not All About Tech
May 27, 2022
It often seems like the world sees value investing as either implicitly or explicitly all about the technology sector vs. everything else. In reality, there are many different kinds of strategies and bets that are often labeled “value.” Our value bet is long and short extremely diversified portfolios of global stocks with a serious attempt not to bet on industries (like tech) – and we are very happy about that, both long-term strategically and tactically today.
Working Paper
What Can Betting Markets Tell Us About Investor Preferences and Beliefs? Implications for Low Risk Anomalies
May 13, 2021
We relate the low risk anomaly in financial markets to the Favorite-Longshot Bias in betting markets and provide novel evidence to both anomalies. Synthesizing the evidence, we study the joint implications from the two settings for a unifying explanation. Rational theories of risk-averse investors with homogeneous beliefs cannot explain the cross-sectional relationship between diversifiable risk and return in betting markets. Rather, we appeal to models of non-traditional preferences or heterogeneous beliefs.
Working Paper
Understanding Momentum and Reversals
June 9, 2020
Stock momentum, long-term reversal, and other past return characteristics that predict future returns also predict future realized betas, suggesting these characteristics capture time-varying risk compensation.