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Trade Publication
Style Investing: The Long and the Long/Short of It
January 2, 2014
Many investors agree that applying systematic tilts away from a passive, capitalization-weighted portfolio is a good idea; fewer agree on how best to capture these style-based returns.
Trade Publication
Measuring Portfolio Factor Exposures: A Practical Guide
March 2, 2016
Regression analysis can help investors better understand the risk factors present in their portfolios, which has multiple benefits.
Journal Article
Fact, Fiction and Momentum Investing
September 23, 2014
Momentum is the phenomenon that securities that have performed well relative to peers (winners) on average continue to outperform, and securities that have performed relatively poorly (losers) tend to continue to underperform.
Journal Article
Contrarian Factor Timing is Deceptively Difficult
March 7, 2017
The increasing popularity of factor investing has led to valuation concerns among some contrarian-minded investors and fears of imminent mean-reversion and underperformance.
Journal Article
The Role of Shorting, Firm Size and Time on Market Anomalies
May 1, 2013
The pervasiveness, robustness and magnitude of return premia associated with size, value and momentum has made them the focal point for discussions of market efficiency, etc.
Journal Article
Fact, Fiction and Value Investing
November 5, 2015
Value investing has been a part of the investment lexicon for at least the better part of a century, yet confusion about it remains.
Journal Article
Fact, Fiction, and the Size Effect
May 14, 2018
Despite its long and illustrious history, much confusion about the size effect remains. We examine common claims about the size effect and seek to clarify some of the misunderstanding surrounding it.
Journal Article
Investing with Style
January 2, 2015
Investors are bombarded with a variety of investment strategies and alternatives from an ever-growing and increasingly complex financial industry, each claiming to improve returns and reduce risk.
Working Paper
Trading Costs
August 23, 2018
Using live trade data from a large institutional money manager over a 19-year period, we find actual trading costs to be an order of magnitude smaller than previous studies suggest.
Working Paper
Trading Costs of Asset Pricing Anomalies
December 5, 2012
We examine the trading costs, net-of-cost returns and break-even fund sizes of equity strategies designed to capture several of the main asset pricing anomalies documented in the literature.