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Data Set
The Devil in HML's Details: Factors, Daily
June 28, 2019
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
Factor Premia and Factor Timing: A Century of Evidence, Factor Data Monthly
July 31, 2019
This is the updated data set related to the paper “Factor Premia and Factor Timing: A Century of Evidence,” in which we examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes.
Journal Article
The Devil in HML's Details
June 1, 2013
This paper challenges the standard method for measuring “value” used in academic work on factor pricing.
Journal Article
Value Investing in Credit Markets
September 3, 2012
In this paper we outline an approach to make use of accounting and market based information to forecast corporate default.
Journal Article
Buffett's Alpha
November 1, 2013
[Winner of the CFA Institute's 2018 Graham and Dodd Award] What is the secret to Warren Buffett's success? We seek the answer via a thorough empirical analysis in light of some the latest research on the drivers of returns.
White Paper
Building a Better Core Equity Portfolio
May 1, 2013
We believe that style-based investing represents a better approach to traditional active equity portfolio management, by focusing on sources of excess returns that may be more pervasive and persistent. These factors include value, momentum and profitability.
Perspective
Going Deep on Contrarian Factor Timing
December 4, 2017
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.
Data Set
The Devil in HML's Details: Factors, Monthly
June 30, 2019
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
Value and Momentum Everywhere: Portfolios, Monthly
August 31, 2019
We have updated our data set for our paper “Value and Momentum Everywhere,” in which we find consistent value and momentum return premia across eight diverse markets and asset classes, and a common factor structure among their returns.
Data Set
Value and Momentum Everywhere: Original Paper Data
February 27, 2018
This is the original data set used for our paper “Value and Momentum Everywhere,” in which we find consistent value and momentum return premia across eight diverse markets and asset classes, and a common factor structure among their returns.