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Podcast

Face the Factors

Factors are the building blocks of investment returns. We explain what they are, how they work, and how you can use them in your portfolio.

Trade Publication

Alpha Transfer in a Hedge Fund World

In theory, portable alpha is a good idea.

Trade Publication

Measuring Portfolio Factor Exposures: A Practical Guide

Regression analysis can help investors better understand the risk factors present in their portfolios, which has multiple benefits.

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.

Journal Article

Understanding Style Premia

Four investment “styles" have emerged as compelling sources of alternative returns, backed by economic theory and decades of data across geographies and asset groups.

Journal Article

Factor Momentum Everywhere

Can individual factors be reliably timed based on their recent performance? This study of 65 widely-studied, characteristic-based equity factors aims to find out.

Perspective

A Fanatic is One Who Can't Change his Mind and Won't Change the Subject¹

Ciff Asness critiques Rob Arnott’s strong viewpoints that rising valuations are responsible for the past performance of many factors and that their current valuation levels point to their impending doom.

Journal Article

Superstar Investors

Many famous investors are outspoken about their investment philosophies and use them selectively. We seek to apply their wisdom systematically to determine whether their philosophies, if applied broadly, might still generate “alpha.”

Alternative Thinking

Style Premia / Bond Returns

We review how style premia have historically generated attractive long-run returns in virtually every place we have studied them, and may help reduce risk through better diversification. We then look at fixed income returns in different environments

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.