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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 Ronen Israel 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.

Interview

Fact, Fiction and Momentum Investing (Supplement)

December 26, 2017 - Cliff Asness Andrea Frazzini Ronen Israel Tobias J. Moskowitz

A supplement to our paper on momentum investing strategies and the myths around them.

Journal Article

The Devil in HML's Details (Supplement)

December 26, 2017 - Cliff Asness Andrea Frazzini

A supplement to our paper that challenges the standard method for measuring “value” used in academic work on factor pricing.

Journal Article

Fact, Fiction and Value Investing (Supplement)

December 21, 2017 - Cliff Asness Andrea Frazzini Ronen Israel Tobias J. Moskowitz

In an interview with Institutional Investor Journals, Andrea Frazzini and Ronen Israel provide insights into what many get wrong—and right—about value strategies.

Journal Article

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

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

We test whether the low-risk effect is driven by (a) leverage constraints and thus risk should be measured using beta vs. (b) behavioral effects and thus risk should be measured by idiosyncratic risk.

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

Fact, Fiction and Value Investing

November 5, 2015 - Cliff Asness Andrea Frazzini Ronen Israel Tobias J. Moskowitz

Value investing has been a part of the investment lexicon for at least the better part of a century, yet confusion about it remains.

Journal Article

Size Matters, If You Control Your Junk

January 22, 2015 - Cliff Asness Andrea Frazzini Ronen Israel 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 Ronen Israel 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.