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Perspective
Quibble Fight!
December 3, 2015
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?
May 8, 2020
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?
September 7, 2018
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
January 23, 2015
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?
August 7, 2017
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
September 10, 2014
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
February 27, 2020
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
June 2, 2015
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
March 15, 2017
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
June 20, 2018
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.