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Journal Article

Long-Only Style Investing: Don't Just Mix, Integrate

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

...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

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

Proponents of “fundamental indexes” claim that an investment-management revolution is afoot.

Trade Publication

Smart Beta: Not New, Not Beta, Still Awesome

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

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

Some argue that quantitative investing techniques cannot work in the uncharted waters of the current market environment.

Perspective

Add More Fama to Your Portfolio

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

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.