Journal Article
June 30, 2016
We contrast two common approaches to long-only style investing: the “portfolio mix” and the “integrated portfolio.” Our results suggest that long-only factor or smart beta investors should consider integrating styles in portfolio construction.
Data Set
February 27, 2018
Original factors used in “Betting Against Beta” (Frazzini and Pedersen, 2014).
Journal Article
October 9, 2013
We show that a quality-minus-junk (QMJ) factor that goes long high-quality stocks and shorts low-quality stocks earns significant risk-adjusted returns in the U.S. and globally. Also, controlling for quality resurrects the otherwise moribund size effect.
Working Paper
December 5, 2012
We examine the trading costs, net-of-cost returns and break-even fund sizes of equity strategies designed to capture several of the main asset pricing anomalies documented in the literature.
Working Paper
July 1, 2011
We explore the after-tax performance, tax exposure and tax efficiency of commonly used equity-style portfolios. We focus on equity styles based on size, value, growth and momentum, well known within the cross-sectional return landscape.
In this quick video primer, we cover the basics of how a disciplined, repeatable approach can potentially harvest returns from stock markets.
We delve deeper into some of the major factors in equities and how to best apply them in a portfolio.
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