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Journal Article

Quality Minus Junk

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.

Working Paper

Bubble Logic: Or, How to Learn to Stop Worrying and Love the Bull

A bull market produces stories, often absorbed by investors engaged in wishful thinking, that encourage the purchase or retention of stocks or mutual funds. This has led them to bid up stocks so high that even long-term investors will be disappointed.

Working Paper

The Power of Past Stock Returns to Explain Future Stock Returns

We find that a properly specified one-year momentum strategy has explanatory power for stock returns when used alone, when tested against size and book-to-market, and when subjected to exhaustive robustness checks.

Working Paper

Variables That Explain Stock Returns

Cliff's University of Chicago dissertation. He uncovers the strong explanatory power of past returns for the cross-section of current returns and describes many reasons why past returns might be priced.

Working Paper

The Bubble Has Not Popped

Many called the stock market “undervalued” in 2002, based on how far and fast it had fallen over the prior two years. But this 2002 article contends that stocks are not necessarily cheap after the decline.

Working Paper

The August of Our Discontent

The summer of 2007 caused some turmoil in the world of quantitative investing, leading to questions about quant investing in general and specific questions about what happened in July and August. We've tried to answer some of those questions here.

Journal Article

Size Matters, If You Control Your Junk

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.

Working Paper

One Reason Not to Avoid Market Timing

Market timing should be undertaken only to the extent an investor feels his skills overcome the hurdles.

White Paper

Non-Cap Weighted Indexes

...Presentation by Cliff Asness on fundamental indexing presented at the Institute for Quantitative Finance Spring 2007 Seminar.

Journal Article

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

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).