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Working Paper

Stock Returns, Inflation and the Volatility of Growth in the Money Supply

March 1, 1995 - John M. Liew

A large body of work documents a negative relation between expected nominal stock returns and expected inflation in the U.S. and other developed countries. We think the volatility of expected growth in the money supply is a determinant of this relation.

Journal Article

Do Hedge Funds Hedge?

September 1, 2001 - Cliff Asness Robert Krail John M. Liew

Intentionally or unintentionally, hedge funds appear to price their securities at a lag, we found in a cursory examination of monthly returns from 1994-2000.

Working Paper

Deep Value

December 4, 2017 - Cliff Asness John M. Liew Lasse H. Pedersen Ashwin Thapar

We examine the efficacy of a hypothetical deep value strategy—where the valuation spread between cheap and expensive securities is wide relative to its history—across global asset classes and also provide new evidence on competing theories for the value premium.

Journal Article

International Diversification Works (Eventually)

May 1, 2011 - Cliff Asness Roni Israelov John M. Liew

Critics of international diversification observe that it does not protect investors against short-term market crashes because markets become more correlated during downturns.

Journal Article

The Great Divide

January 1, 2014 - Cliff Asness John M. Liew

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

Balancing on the Life Cycle: Target Date Funds Need Better Diversification

July 1, 2016 - Jusvin Dhillon Antti Ilmanen John M. Liew

Traditional life-cycle strategies have some serious shortcomings.

Trade Publication

Smart Beta: Not New, Not Beta, Still Awesome

September 10, 2014 - Cliff Asness John M. Liew

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