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Perspective

The George Costanza Portfolio

In a follow-up to Liquid Alt Ragnarök?, Cliff shows the results of an illustrative portfolio that does the opposite of what we’d normally do in the spirit of George Costanza, who in one episode of Seinfeld decided he must, in all things, do the opposite of what he’d normally do.

Perspective

From Momentum to Marvel, a Conversation With Tyler Cowen

Cliff sat down for an interview with economist Tyler Cowen, a professor at George Mason University. Read a transcript that covers a lot of the fundmantals that Cliff believes in, like value and momentum.

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

Looking for the Intuition Underlying Multi-Factor Stock Selection

Cliff points out that although the benefits of combining factors into a diversified portfolio are large and well understood, one obstacle for many is gaining intuition about results. He tries to help.

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.

Perspective

Our Model Goes to Six and Saves Value From Redundancy Along the Way

Fama and French’s recent five factor model impressively summarizes the known field of factors. However, it leaves out momentum. We believe it's absolutely compelling to add momentum back, creating a better six factor model.

Perspective

Never Has a Venial Sin Been Punished This Quickly and Violently!

Three months ago in “It’s Time for a Venial Value-Timing Sin,” Cliff demonstrated the value factor’s historic cheapness, suggesting it’s time to “sin a little” and modestly overweight value. While portfolio tilts are seldom promptly rewarded, it’s also rare they are instantly punished. In this piece, Cliff shows how 2020 has been the exception to the rule, as value has begun this year with its worst loss in its decade-long drawdown.

Perspective

Betting Against Correlation

We take a deeper look into what drives the low-risk effect—the tendency for low-risk assets to perform better than they should, versus high-risk assets.

Perspective

Going Deep on Contrarian Factor Timing

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.

Perspective

You Can Have Your Momentum Factor and Eat it Too

Many investors are quick to dismiss momentum as too costly to implement because of its high turnover. After studying 7 years’ worth of live, real-world data across markets, we debunk that myth.