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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, Daily
April 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
April 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.
Journal Article
Value and Momentum Everywhere
June 1, 2013
We find consistent value and momentum return premia across eight diverse markets and asset classes, and a strong common factor structure among their returns.
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.
Journal Article
The Interaction of Value and Momentum Strategies
March 1, 1997
Researchers have convincingly demonstrated that value strategies can be used to predict stock returns.
Journal Article
Fact, Fiction and Value Investing
November 5, 2015
Value investing has been a part of the investment lexicon for at least the better part of a century, yet confusion about it remains.
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.
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.
Journal Article
Style Timing: Value vs. Growth
January 1, 2000
A large body of academic and industry research supports the efficacy of value strategies for choosing individual stocks.