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Working Paper

Deep Value

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.

Perspective

Going Deep on Contrarian Factor Timing

We studied all the interesting things that happen when some stocks, or other assets, get deeply cheap while others get deeply expensive, and learn more about value investing and how timing works when increasing breadth of comparisons.

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 Siren Song of Factor Timing, aka “Smart Beta Timing,” aka “Style Timing”

Often the first question after an initial discussion of factors is “Okay, what’s the current outlook?” And the common answer, “The same as usual,” is often unsatisfying.

Journal Article

Style Timing: Value vs. Growth

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

Alternative Thinking

Challenges of Incorporating Tactical Views

Tactical timing is inherently more difficult than it seems. We explore which types of tactical views may be worth taking.

Working Paper

Factor Premia and Factor Timing: A Century of Evidence

We examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes. The results offer support for time-varying risk premia models with important implications for theory seeking to explain the sources of factor returns.