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Journal Article

The Great Divide

The Nobel committee recently recognized work on the Efficient Market Hypothesis with a dramatic splitting of the prize between EMH pioneer Eugene Fama and EMH critic Robert Shiller.

Journal Article

Fight the Fed Model

Strategists, portfolio managers and market pundits often claim that the high market multiples of recent times are justified by low interest rates and/or inflation. The most widespread version of this comparison of stocks to bonds is often deemed the Fed model.

Journal Article

Value and Momentum Everywhere

We find consistent value and momentum return premia across eight diverse markets and asset classes, and a strong common factor structure among their returns.

Journal Article

Why Not 100% Equities

In a 1994 article “College and University Endowment Funds: Why Not 100% Equities?” Richard H.

Journal Article

Parallels Between the Cross-Sectional Predictability of Stock and Country Returns

Firm characteristics such as book-to-market ratio, market equity and one-year past return help explain the cross-section of average returns on U.S.

Journal Article

Derivatives Strategies for Endowment and Foundation Portfolios: The Manager Perspective

Many endowment and foundation funds automatically maintain a mix of 60% stocks and 40% bonds, and numerous researchers will tell them they are wrong.

Journal Article

The Past and Future of Quantitative Asset Management

The defining element in quant management is diversification.

Journal Article

The Siren Song of Factor Timing, aka “Smart Beta Timing,” aka “Style Timing”

Often the first question after an initial discussion of factors is “Okay, what’s the current outlook?” And the common answer, “The same as usual,” is often unsatisfying.

Trade Publication

We're Not Dead Yet

Some argue that quantitative investing techniques cannot work in the uncharted waters of the current market environment.

Trade Publication

How Can a Strategy Still Work If Everyone Knows About It?

Some people assert that once a strategy is “discovered” it can’t work anymore. Others, often implicitly, assume the future will look as wonderful as the past.