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Journal Article

Factor Momentum Everywhere

Can individual factors be reliably timed based on their recent performance? This study of 65 widely-studied, characteristic-based equity factors aims to find out.

Working Paper

Characteristics Are Covariances: A Unified Model of Risk and Return

We propose a new modeling approach for the cross section of returns that helps determine whether excess returns to factors are driven by compensation for risk, or an anomaly effect.

Journal Article

Empirical Asset Pricing via Machine Learning

We show how the field of machine learning can be used to empirically investigate asset premia including momentum, liquidity, and volatility.

Podcast

Superstar Investors

Warren Buffett. Bill Gross. George Soros. Peter Lynch. We take a deep dive into some of the most famous track records in finance, specifically to ask if the themes we’ve covered in this show can explain some of their success.

Podcast

Face the Factors

Factors are the building blocks of investment returns. We explain what they are, how they work, and how you can use them in your portfolio.

White Paper

Understanding Alternative Risk Premia

With its many potential benefits, including generally low-to-no correlation to a traditional 60/40 or hedge fund portfolio, we believe an ARP strategy may serve as a core alternative solution in investors’ portfolios.

Perspective

A Fanatic is One Who Can't Change his Mind and Won't Change the Subject¹

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.

Webinar

Superstar Investors Webinar Replay Now Available

There has been little empirical analysis to explain the performance of "superstar" investors Warren Buffett, Bill Gross, George Soros and Peter Lynch. In this webinar, we examine their track records from a factor perspective.

Journal Article

Superstar Investors

Many famous investors are outspoken about their investment philosophies and use them selectively. We seek to apply their wisdom systematically to determine whether their philosophies, if applied broadly, might still generate “alpha.”

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.