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Perspective
Little Things Mean a Lot
September 15, 2017
Cliff discusses the fees of factor investing, as well as many of the smaller decisions that each can matter some, and collectively can matter a lot
Working Paper
Trading Costs
August 23, 2018
Using live trade data from a large institutional money manager over a 19-year period, we find actual trading costs to be an order of magnitude smaller than previous studies suggest.
Working Paper
Trading Costs of Asset Pricing Anomalies
December 5, 2012
We examine the trading costs, net-of-cost returns and break-even fund sizes of equity strategies designed to capture several of the main asset pricing anomalies documented in the literature.
Journal Article
Dynamic Trading With Predictable Returns and Transactions Costs
November 1, 2013
Active investors and asset managers — such as hedge funds, mutual funds and proprietary traders — try to predict security returns and trade to profit from their predictions.
White Paper
Transactions Costs: Practical Application
September 17, 2018
We offer guidance on understanding transactions costs, including a discussion of the practical aspects of measuring them and the pitfalls one might face when trying to compare costs across managers.
Interview
Words From the Wise: Jack Bogle on Building a Better Investment Industry
December 11, 2015
An executive summary of the main themes explored in a question-and-answer session with John C. Bogle.
White Paper
Market Neutral Investing
August 5, 1998
Hedge fund fees may be fair for a fund that is truly market-neutral. However, paying typical hedge fund fees for a strategy that is not market-neutral is dubious as passive market exposure is available far cheaper than at hedge fund prices.
Perspective
Little Things Mean a Lot
September 15, 2017
Cliff discusses the fees of factor investing, as well as many of the smaller decisions that each can matter some, and collectively can matter a lot
White Paper
Alpha Beyond Expected Returns
March 1, 2012
Many institutional investors focus primarily on one source of alpha: expected returns. We argue that “alpha” may also becaptured in virtually every other stage of the investment process and discuss seven sources of opportunities.
Journal Article
The Siren Song of Factor Timing, aka “Smart Beta Timing,” aka “Style Timing”
June 1, 2016
Often the first question after an initial discussion of factors is “Okay, what’s the current outlook?” And the common answer, “The same as usual,” is often unsatisfying.