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Perspective

Quibble Fight!

Cliff takes a look at some of the observations from Arnott et. al., including the idea that prominent factors in modern systematic investing are more effective within small-cap stocks than large-cap, and the impact of controling for quality.

Perspective

Is (Systematic) Value Investing Dead?

When value has underperformed for so long, it’s natural and proper that people wonder if it’s ever going to work again. To test the popular explanations for why value investing is “broken,” Cliff tweaks the value factor’s construction to remove the stocks that best fit these stories. He finds no “this time is different” explanation holds water, affirming our belief that the medium-term odds are rather dramatically on value’s side.

Perspective

Liquid Alt Ragnarök?

Cliff discusses the recent tough times for quantitative factor-based liquid alts and makes the case for why the painful and difficult times are a big part of why our quantitative factors are real and can improve long-term results for those who can allocate part of their portfolio to them and then stick with it.

Perspective

The Small-Firm Effect Is Real, and It's Spectacular

Many have questioned whether size matters. In our research, we resurrect the size effect and find that it matters as much as such stalwarts as value and momentum.

Perspective

The August of Our Discontent: Once More Unto the Breach?

Given the continued rise in popularity of factor investing, we recap the August 2007 “quant crisis”—those weeks when certain quant strategies suffered big losses—and its relevance for today.

Perspective

Smart Beta: Not New, Not Beta, Still Awesome

Cliff Asness argues that the term “smart beta” (including “Fundamental Indexing”) is just a new way to describe some well-known and well-tested (yet still valuable) investment ideas.

Perspective

The Valuesburg Address

One score and eight years ago Fama and French brought forth on this world, a new factor, conceived in either risk or behavioral effects, and dedicated to the proposition that all portfolios are not created equal. Now we are engaged in a great drawdown, testing whether investors in that factor, or any factor so conceived and so dedicated, can long endure…

Perspective

It’s Not Data Mining — Not Even Close

A huge concern is data mining—"discovering” historical patterns driven by random, not real, relationships and assuming they’ll repeat. We discuss how such worries are overblown for the research on well-known investment factors.

Perspective

Factor Timing is Hard

We continue to ruin the fun for those who think contrarian factor timing is easy and that current factor valuations are extreme. Our evidence points to the contrary.

Perspective

It Ain't What You Don't Know That Gets You Into Trouble

My colleagues have written two papers questioning things we thought we knew. The first questions what we really know about current stock market valuations forecasting long-horizon future returns and the second explores whether or not the size effect really exists.