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Journal Article
Long-Only Style Investing: Don't Just Mix, Integrate
June 30, 2016
We contrast two common approaches to long-only style investing: the “portfolio mix” and the “integrated portfolio.” Our results suggest that long-only factor or smart beta investors should consider integrating styles in portfolio construction.
White Paper
Non-Cap Weighted Indexes
March 25, 2007
...Presentation by Cliff Asness on fundamental indexing presented at the Institute for Quantitative Finance Spring 2007 Seminar.
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.
Trade Publication
The Value of Fundamental Indexing
October 16, 2006
Proponents of “fundamental indexes” claim that an investment-management revolution is afoot.
Trade Publication
Smart Beta: Not New, Not Beta, Still Awesome
September 10, 2014
Though some confusion continues regarding the subject, the term “smart beta” (including “Fundamental Indexing”) is just a new way to describe some well-known and well-tested investment ideas.
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
We're Not Dead Yet
November 12, 2008
Some argue that quantitative investing techniques cannot work in the uncharted waters of the current market environment.
Perspective
Add More Fama to Your Portfolio
October 26, 2017
This entry is a book recommendation. The book is The Fama Portfolio and it should be on the shelf (after being read!) of any serious student of finance.
White Paper
More Superstar Investors: Neil Woodford and Terry Smith
May 28, 2019
We examine the track records of two renowned U.K. fund managers: Neil Woodford and Terry Smith and find that a large part of their long-term success is due to patient exposure to well-rewarded factor premia.