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Data Set

The Devil in HML's Details: Factors, Monthly

November 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: Factors, Monthly

June 30, 2019

We have updated and extended the data set for the paper, “Value and Momentum Everywhere.” Our research shows consistent value and momentum return premia in 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.

Data Set

How Do Factor Premia Vary Over Time? A Century of Evidence, Factor Data Monthly

November 29, 2019

This is the updated data set related to the paper “How Do Factor Premia Vary Over Time? A Century of Evidence,” in which we examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes.

Data Set

The Devil in HML's Details: Factors, Daily

June 28, 2019

Perspective

Going Deep on Contrarian Factor Timing

December 4, 2017 - Cliff Asness

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.

White Paper

A New Core Equity Paradigm

March 1, 2013 - Andrea Frazzini Ronen Israel Tobias J. Moskowitz Robert Novy-Marx

Combining successful investing styles to magnify their effects represents a new paradigm in active equity-portfolio management. Core Equities integrates value, momentum and profitability styles to offer a more persistent, systematic approach.

White Paper

Building a Better Core Equity Portfolio

May 1, 2013 - Ronen Israel Daniel Villalon

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.

Journal Article