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Journal Article

Contrarian Factor Timing is Deceptively Difficult

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

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

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

Craftsmanship Alpha: An Application to Style Investing

What may seem like inconsequential design decisions can actually matter a lot for style portfolios. In fact, the skillful targeting and capturing of style premia may constitute a form of alpha on its own—one we refer to as “craftsmanship alpha.”

Journal Article

Investing with Style

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.

Journal Article

Fact, Fiction, and the Size Effect

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

Understanding Style Premia

Four investment “styles" have emerged as compelling sources of alternative returns, backed by economic theory and decades of data across geographies and asset groups.

Working Paper

Trading Costs

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

Investing with Style in Corporate Bonds

We identify four key style measures (carry, defensive, momentum and value) that explain some of the cross-sectional variation in corporate bond excess returns.

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.