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Journal Article
Deep Value
Winner of an Outstanding Article award in the 2022 Bernstein Fabozzi/Jacobs Levy Awards
December 4, 2017
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
Traditional life-cycle strategies have some serious shortcomings.
Trade Publication
Smart Beta: Not New, Not Beta, Still Awesome
September 10, 2014
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
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
Critics of international diversification observe that it does not protect investors against short-term market crashes because markets become more correlated during downturns.
Trade Publication
Alpha Transfer in a Hedge Fund World
January 1, 2002
In theory, portable alpha is a good idea.
Journal Article
Do Hedge Funds Hedge?
September 1, 2001
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
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
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.