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Journal Article
The Great Divide
January 1, 2014
The Nobel committee recently recognized work on the Efficient Market Hypothesis with a dramatic splitting of the prize between EMH pioneer Eugene Fama and EMH critic Robert Shiller.
Journal Article
Fight the Fed Model
September 1, 2003
Strategists, portfolio managers and market pundits often claim that the high market multiples of recent times are justified by low interest rates and/or inflation. The most widespread version of this comparison of stocks to bonds is often deemed the Fed model.
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
Why Not 100% Equities
December 1, 1996
In a 1994 article “College and University Endowment Funds: Why Not 100% Equities?” Richard H.
Journal Article
Parallels Between the Cross-Sectional Predictability of Stock and Country Returns
January 1, 1997
Firm characteristics such as book-to-market ratio, market equity and one-year past return help explain the cross-section of average returns on U.S.
Journal Article
Derivatives Strategies for Endowment and Foundation Portfolios: The Manager Perspective
January 1, 1996
Many endowment and foundation funds automatically maintain a mix of 60% stocks and 40% bonds, and numerous researchers will tell them they are wrong.
Journal Article
The Past and Future of Quantitative Asset Management
January 1, 2008
The defining element in quant management is diversification.
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.
Trade Publication
We're Not Dead Yet
November 12, 2008
Some argue that quantitative investing techniques cannot work in the uncharted waters of the current market environment.
Trade Publication
How Can a Strategy Still Work If Everyone Knows About It?
October 15, 2015
Some people assert that once a strategy is “discovered” it can’t work anymore. Others, often implicitly, assume the future will look as wonderful as the past.