Journal Article

Long-Only Style Investing: Don't Just Mix, Integrate

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

Betting Against Beta: Original Paper Data

February 27, 2018

Original factors used in “Betting Against Beta” (Frazzini and Pedersen, 2014).

Journal Article

Quality Minus Junk

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

Trading Costs of Asset Pricing Anomalies

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

How Tax Efficient Are Equity Styles?

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.

Systematic Equities: Video Introduction

In this quick video primer, we cover the basics of how a disciplined, repeatable approach can potentially harvest returns from stock markets.

Systematic Equities: A Closer Look

We delve deeper into some of the major factors in equities and how to best apply them in a portfolio.