- Filter By
-
Topic (${ Topics.length })
-
-
Type (${ ContentTypes.length })
-
Contributor (${ Contributors.length })
- Relevance
- Newest
- Oldest
White Paper
Value: Why Now? Capturing the Comeback in Its Early Innings
Q1 2023
Value has delivered attractive long-term returns but has also weathered difficult short-term periods. While these times are painful for investors, the subsequent recoveries are lucrative for those that stick with the factor. We summarize the evidence for why we believe long/short value continues to be an exceptional go-forward opportunity and how investors can adapt their portfolios accordingly.
Perspective
Uncorrelated Assets: An Important Dimension of an Optimal Portfolio
January 12, 2023
Recently, Dimensional Fund Advisors wrote critically on “liquid alts.” They make some good points, but they also draw some odd conclusions that if applied more generally would not be to their or our liking. Besides discussing their piece, below I also review the general rationale behind holding uncorrelated assets – in particular, equity “factors” held in a long-short manner.
Perspective
The Bubble Has Not Popped
January 4, 2023
This post updates our value spread with data through the end of 2022. The fourth quarter of 2022 saw value recover from the bout of temporary insanity that gripped some portion of the market over the summer, but the spread ends 2022 very much still in rarified territory – at the 94th percentile, to be precise. More excitingly for 2023, value’s returns in 2022 were extremely strong, and the spread only moved from roughly the 100th percentile to the 94th, which makes us very optimistic about the prospects of continued normalization in 2023 and beyond.
Journal Article
Fact, Fiction, and Factor Investing
December 22, 2022
Factor investing has been around for several decades, backed by an enormous body of literature, and yet it is still surrounded by much confusion and debate. We examine many of the claims about factor investing, referencing the academic literature and performing simple, yet powerful, analysis to address them.
Data Set
The Devil in HML's Details: Factors, Daily
November 30, 2022
We have updated and extended our data set for “The Devil in HML’s Details” (Asness and Frazzini, 2013). We include long/short HML Devil returns for the U.S. and 23 international equity markets updated monthly.
Data Set
The Devil in HML's Details: Factors, Monthly
November 30, 2022
We have updated and extended our data set for “The Devil in HML’s Details” (Asness and Frazzini, 2013). We include long/short HML Devil returns for the U.S. and 23 international equity markets updated monthly.
Data Set
Quality Minus Junk: Factors, Daily
November 30, 2022
We have updated data for the paper “Quality Minus Junk” (Asness, Frazzini and Pedersen, 2014). We provide 10 quality-sorted, long-only portfolios for a U.S. long sample (starting 1956) and a global broad sample (starting 1986), and update them monthly.
Data Set
Quality Minus Junk: Six Portfolios Formed on Size and Quality, Monthly
November 30, 2022
We have updated data for the paper “Quality Minus Junk” (Asness, Frazzini and Pedersen, 2014). We provide 10 quality-sorted, long-only portfolios for a U.S. long sample (starting 1956) and a global broad sample (starting 1986), and update them monthly.
Data Set
Quality Minus Junk: Factors, Monthly
November 30, 2022
We have updated data for the paper “Quality Minus Junk” (Asness, Frazzini and Pedersen, 2014). We provide 10 quality-sorted, long-only portfolios for a U.S. long sample (starting 1956) and a global broad sample (starting 1986), and update them monthly.
Data Set
Quality Minus Junk: 10 Quality-Sorted Portfolios, Monthly
November 30, 2022
We have updated data for the paper “Quality Minus Junk” (Asness, Frazzini and Pedersen, 2014). We provide 10 quality-sorted, long-only portfolios for a U.S. long sample (starting 1956) and a global broad sample (starting 1986), and update them monthly.