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Journal Article

Long-Only Style Investing: Don't Just Mix, Integrate

June 30, 2016 - Shaun Fitzgibbons Jacques A. Friedman Lukasz Pomorski Laura Serban

We contrast two common approaches to long-only style investing: the “portfolio mix” and the “integrated portfolio.” Our results suggest that long-only factor or smart beta investors should consider integrating styles in portfolio construction.

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.

White Paper

Building a Better Long/Short Equity Portfolio

July 1, 2013 - Gabriel Feghali Jacques A. Friedman Daniel Villalon

Conventional approaches to long/short equity (LSE) can introduce unintended risks. We propose an alternative approach that may more efficiently harvest the returns underlying LSE investing, while providing greater transparency and better risk control.

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

Style Timing: Value vs. Growth

January 1, 2000 - Cliff Asness Jacques A. Friedman Robert Krail John M. Liew

A large body of academic and industry research supports the efficacy of value strategies for choosing individual stocks.