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Journal Article

Fact and Fiction About Low-Risk Investing

February 17, 2020 - Ron Alquist Andrea Frazzini Antti Ilmanen Lasse H. Pedersen

Low-risk investing has received a lot of attention over the past decade. An intensive academic debate has spurred, and been spurred by, the growing market for low-risk strategies. This article presents five fact and dispels five fictions about low-risk investing.

Working Paper

Trading Costs

August 23, 2018 - Andrea Frazzini Tobias J. Moskowitz

Using live trade data from a large institutional money manager over a 19-year period, we find actual trading costs to be an order of magnitude smaller than previous studies suggest.

Journal Article

Deactivating Active Share

January 6, 2016 - Andrea Frazzini Jacques A. Friedman Lukasz Pomorski

The authors investigate Active Share, a measure meant to determine the level of active management in investment portfolios, and find it wanting.

Journal Article

Size Matters, If You Control Your Junk

January 22, 2015 - Cliff Asness Andrea Frazzini Tobias J. Moskowitz Lasse H. Pedersen

When it comes to equity investing, size matters—and in a bigger way than once thought—but only when controlling for junk. We examine seven challenges that have been hurled at the size effect and dismantle each one by controlling for a firm's quality.

Journal Article

Fact, Fiction and Momentum Investing

September 23, 2014 - Cliff Asness Andrea Frazzini Tobias J. Moskowitz

Momentum is the phenomenon that securities that have performed well relative to peers (winners) on average continue to outperform, and securities that have performed relatively poorly (losers) tend to continue to underperform.

Journal Article

Low-Risk Investing Without Industry Bets

August 21, 2014 - Cliff Asness Andrea Frazzini Lasse H. Pedersen

The strategy of buying safe low-beta stocks while shorting (or underweighting) riskier high-beta stocks has been shown to deliver significant risk-adjusted returns.

Journal Article

Quality Minus Junk

October 9, 2013 - Cliff Asness Andrea Frazzini Lasse H. Pedersen

We show that a quality-minus-junk (QMJ) factor that goes long high-quality stocks and shorts low-quality stocks earns significant risk-adjusted returns in the U.S. and globally. Also, controlling for quality resurrects the otherwise moribund size effect.

White Paper

A New Core Equity Paradigm

March 1, 2013 - Andrea Frazzini Tobias J. Moskowitz Robert Novy-Marx

Combining successful investing styles to magnify their effects represents a new paradigm in active equity-portfolio management. Core Equities integrates value, momentum and profitability styles to offer a more persistent, systematic approach.

Working Paper

Trading Costs of Asset Pricing Anomalies

December 5, 2012 - Andrea Frazzini Tobias J. Moskowitz

We examine the trading costs, net-of-cost returns and break-even fund sizes of equity strategies designed to capture several of the main asset pricing anomalies documented in the literature.

Working Paper

Embedded Leverage

November 1, 2012 - Andrea Frazzini Lasse H. Pedersen

Embedded leverage—the amount of market exposure per unit of committed capital—has become an important feature of financial instruments. We study embedded leverage in equity options, index options and ETFs, and how it affects the required returns.