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White Paper

A New Core Equity Paradigm

March 1, 2013 - Andrea Frazzini Ronen Israel 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.

White Paper

Understanding Defensive Equity

July 1, 2012 - Andrea Frazzini Jacques A. Friedman Hoon Kim

This paper analyzes the intuition behind defensive equity. We then analyze the empirical evidence, construction and performance of defensive equity portfolios, and discuss the possible explanations for its historical outperformance.

Journal Article

Sell-Side School Ties

August 1, 2010 - Lauren Cohen Andrea Frazzini Christopher J. Malloy

In the equities market, security analysts are among the most important agents in revealing information to investors.

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.

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

Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns

February 1, 2009 - Andrea Frazzini Owen A. Lamont

Individual retail investors actively reallocate their money across different mutual funds.

Working Paper

Betting Against Correlation: Testing Theories of the Low-Risk Effect

February 15, 2017 - Cliff Asness Andrea Frazzini Niels Joachim Gormsen Lasse H. Pedersen

What drives the low-risk effect? We test whether it's driven by leverage constraints (and thus risk should be measured using beta) or behavioral effects (and thus risk should be measured by idiosyncratic risk).

Journal Article