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Journal Article
Factor Momentum Everywhere
January 29, 2019
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
October 18, 2018
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
October 17, 2018
We show how the field of machine learning can be used to empirically investigate asset premia including momentum, liquidity, and volatility.
Podcast
Superstar Investors
August 29, 2018
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
August 8, 2018
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
March 13, 2018
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
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.
Journal Article
Superstar Investors
December 6, 2016
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
June 30, 2016
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.
Journal Article
Understanding Style Premia
December 8, 2014
Four investment “styles" have emerged as compelling sources of alternative returns, backed by economic theory and decades of data across geographies and asset groups.