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Journal Article

Deep Value

December 4, 2017 - Cliff Asness John M. Liew Lasse H. Pedersen Ashwin Thapar

We examine the efficacy of a hypothetical deep value strategy—where the valuation spread between cheap and expensive securities is wide relative to its history—across global asset classes and also provide new evidence on competing theories for the value premium.

Journal Article

Balancing on the Life Cycle: Target Date Funds Need Better Diversification

July 1, 2016 - Jusvin Dhillon Antti Ilmanen John M. Liew

Traditional life-cycle strategies have some serious shortcomings.

Trade Publication

Smart Beta: Not New, Not Beta, Still Awesome

September 10, 2014 - Cliff Asness John M. Liew

Though some confusion continues regarding the subject, the term “smart beta” (including “Fundamental Indexing”) is just a new way to describe some well-known and well-tested investment ideas.

Journal Article

The Great Divide

January 1, 2014 - Cliff Asness John M. Liew

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

International Diversification Works (Eventually)

May 1, 2011 - Cliff Asness Roni Israelov John M. Liew

Critics of international diversification observe that it does not protect investors against short-term market crashes because markets become more correlated during downturns.

Working Paper

An Anomaly in the Topix-Nikkei Spread

September 24, 2004 - Takahiro Hamada John M. Liew

Trade Publication

Alpha Transfer in a Hedge Fund World

January 1, 2002 - John M. Liew

In theory, portable alpha is a good idea.

Journal Article

Do Hedge Funds Hedge?

September 1, 2001 - Cliff Asness Robert Krail John M. Liew

Intentionally or unintentionally, hedge funds appear to price their securities at a lag, we found in a cursory examination of monthly returns from 1994-2000.

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.

Journal Article

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

January 1, 1997 - Cliff Asness John M. Liew Ross L. Stevens

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.