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Perspective
It’s Time for a Venial Value-Timing Sin
November 7, 2019
Cliff discusses how to measure whether a factor, in this case the value factor, is itself rich or cheap versus history. The answer, regardless of the approach taken in measuring cheapness, is that value is currently quite cheap compared to history.
Trade Publication
Smart Beta: Not New, Not Beta, Still Awesome
September 10, 2014
Though some confusion continues regarding the subject, the term “smart beta” (including “Fundamental Indexing”) is just a new way to describe some well-known and well-tested investment ideas.
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.
Trade Publication
The Alpha in Portfolio Construction
January 1, 2013
We believe that portfolio construction, risk management and cost control are the “low-hanging fruit” of managing a long-term portfolio.
Trade Publication
The 5% Solution
May 1, 2012
Institutional investors commonly target 5% real annual returns, or 7% to 8% nominal returns.
Trade Publication
The Value of Fundamental Indexing
October 16, 2006
Proponents of “fundamental indexes” claim that an investment-management revolution is afoot.
Journal Article
Contrarian Factor Timing is Deceptively Difficult
March 7, 2017
The increasing popularity of factor investing has led to valuation concerns among some contrarian-minded investors and fears of imminent mean-reversion and underperformance.
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
Buyback Derangement Syndrome
January 5, 2018
Winner of an “Outstanding Article” award in the 20th Annual Bernstein Fabozzi/Jacobs Levy Awards. A seemingly large amount of stock buybacks in recent years has prompted many to claim that buybacks have come at the expense of new investment. Our latest paper shows why neither the theory nor the evidence supports this view.