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Journal Article
Momentum Crashes
September 1, 2016
A momentum strategy is a bet that past returns will predict future returns in the cross-section of assets, and is typically implemented by buying past winners and selling past losers.
Journal Article
Low-Risk Investing Without Industry Bets
August 21, 2014
The strategy of buying safe low-beta stocks while shorting (or underweighting) riskier high-beta stocks has been shown to deliver significant risk-adjusted returns.
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
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.
Working Paper
The Power of Past Stock Returns to Explain Future Stock Returns
January 1, 1995
We find that a properly specified one-year momentum strategy has explanatory power for stock returns when used alone, when tested against size and book-to-market, and when subjected to exhaustive robustness checks.
Journal Article
Fact, Fiction and Momentum Investing
September 23, 2014
Momentum is the phenomenon that securities that have performed well relative to peers (winners) on average continue to outperform, and securities that have performed relatively poorly (losers) tend to continue to underperform.
Journal Article
Value and Momentum Everywhere
June 1, 2013
We find consistent value and momentum return premia across eight diverse markets and asset classes, and a strong common factor structure among their returns.
Perspective
The George Costanza Portfolio
October 22, 2018
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
Factor Investing Explicitly Tries to Look Lousy on Active Share
November 10, 2016
There has been much ink, and maybe even some blood, spilled debating the merits of “Active Share” for judging an investment fund. Cliff reviews the frequent misueses of active share, especially related to applying it factor investing
Perspective
A Fanatic is One Who Can't Change his Mind and Won't Change the Subject¹
July 16, 2017
Ciff Asness critiques Rob Arnott’s strong viewpoints that rising valuations are responsible for the past performance of many factors and that their current valuation levels point to their impending doom.