White Paper
July 2, 2020
This brief summary of our paper “Value and Interest Rates” presents our findings on the effect of the interest rate environment on value’s prospects. It highlights the ambiguous theoretical links between value and rates, reviews the varied historical patterns between value and different aspects of the rate environment, and presents a case study on value and interest rates in Q1 2020.
Perspective
May 8, 2020
When value has underperformed for so long, it’s natural and proper that people wonder if it’s ever going to work again. To test the popular explanations for why value investing is “broken,” Cliff tweaks the value factor’s construction to remove the stocks that best fit these stories. He finds no “this time is different” explanation holds water, affirming our belief that the medium-term odds are rather dramatically on value’s side.
Perspective
November 7, 2019
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Cliff Asness
Cliff discusses how to measure whether a factor, in this case the value factor, is itself rich or cheap versus history. The answer, regardless of the approach taken in measuring cheapness, is that value is currently quite cheap compared to history.
Perspective
September 17, 2018
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Cliff Asness
As promised, for those looking for a more manageable read, here is a condensed, “medium” length version of my recent much longer post.
Working Paper
July 2, 2019
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Antti Ilmanen
Ronen Israel
Tobias J. Moskowitz
Ashwin Thapar
Franklin Wang
We examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes. The results offer support for time-varying risk premia models with important implications for theory seeking to explain the sources of factor returns.
Journal Article
December 4, 2017
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Cliff Asness
John M. Liew
Lasse H. Pedersen
Ashwin Thapar
We examine the efficacy of a hypothetical deep value strategy—where the valuation spread between cheap and expensive securities is wide relative to its history—across global asset classes and also provide new evidence on competing theories for the value premium.
Journal Article
June 1, 2013
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Cliff Asness
Andrea Frazzini
This paper challenges the standard method for measuring “value” used in academic work on factor pricing.