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Perspective

It’s Time for a Venial Value-Timing Sin

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

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

Back in the Hunt

Market timing is very hard.

Trade Publication

How Can a Strategy Still Work If Everyone Knows About It?

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

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

Institutional investors commonly target 5% real annual returns, or 7% to 8% nominal returns.

Trade Publication

The Value of Fundamental Indexing

Proponents of “fundamental indexes” claim that an investment-management revolution is afoot.

Journal Article

Contrarian Factor Timing is Deceptively Difficult

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

This paper challenges the standard method for measuring “value” used in academic work on factor pricing.

Journal Article

Buyback Derangement Syndrome

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.