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Data Set

The Devil in HML's Details: Factors, Daily

We have updated and extended our data set for “The Devil in HML’s Details” (Asness and Frazzini, 2013). We include long/short HML Devil returns for the U.S. and 23 international equity markets updated monthly.

Data Set

The Devil in HML's Details: Factors, Monthly

We have updated and extended our data set for “The Devil in HML’s Details” (Asness and Frazzini, 2013). We include long/short HML Devil returns for the U.S. and 23 international equity markets updated monthly.

Data Set

Value and Momentum Everywhere: Original Paper Data

This is the original data set used for our paper “Value and Momentum Everywhere,” in which we find consistent value and momentum return premia across eight diverse markets and asset classes, and a common factor structure among their returns.

Data Set

Value and Momentum Everywhere: Factors, Monthly

We have updated and extended the data set for the paper, “Value and Momentum Everywhere.” Our research shows consistent value and momentum return premia in eight diverse markets and asset classes, and a common factor structure among their returns.

Data Set

Value and Momentum Everywhere: Portfolios, Monthly

We have updated our data set for our paper “Value and Momentum Everywhere,” in which we find consistent value and momentum return premia across eight diverse markets and asset classes, and a common factor structure among their returns.

Perspective

Going Deep on Contrarian Factor Timing

We studied all the interesting things that happen when some stocks, or other assets, get deeply cheap while others get deeply expensive, and learn more about value investing and how timing works when increasing breadth of comparisons.

White Paper

Building a Better Core Equity Portfolio

We believe that style-based investing represents a better approach to traditional active equity portfolio management, by focusing on sources of excess returns that may be more pervasive and persistent. These factors include value, momentum and profitability.

White Paper

A New Core Equity Paradigm

Combining successful investing styles to magnify their effects represents a new paradigm in active equity-portfolio management. Core Equities integrates value, momentum and profitability styles to offer a more persistent, systematic approach.

Journal Article

Value and Momentum Everywhere

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

The Devil in HML's Details

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