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Alternative Thinking
Challenges of Incorporating Tactical Views
4Q 2014
Tactical timing is inherently more difficult than it seems. We explore which types of tactical views may be worth taking.
Journal Article
The Siren Song of Factor Timing, aka “Smart Beta Timing,” aka “Style Timing”
June 1, 2016
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
January 1, 2000
A large body of academic and industry research supports the efficacy of value strategies for choosing individual stocks.
Perspective
Going Deep on Contrarian Factor Timing
December 4, 2017
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
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.
Working Paper
Deep Value
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.
Working Paper
Factor Premia and Factor Timing: A Century of Evidence
July 2, 2019
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.
Perspective
It’s Time for a Venial Value-Timing Sin
November 7, 2019
Cliff discusses how to measure whether a factor, in this case the value factor, is itself rich or cheap versus history. The answer, regardless of the approach taken in measuring cheapness, is that value is currently quite cheap compared to history.