Practical analysis for investment professionals

Factor Investing


ESG (In)Efficiency

Passive ESG investing has become increasingly active. It’s time for a rethink.

Conservatism: De-Risking the Profitability Factor

By combining Profitability and Conservatism, we can reduce a portfolio's downside risk and enhance its risk-adjusted returns over the long run.

Sector and Factor Performance in Wartime

How do stocks -- specifically sectors and factors -- perform during times of war?

Growth, Value, and Skewness: Are Growth Stocks a Lottery-Like Bet?

How does skewness in returns relate to other factors in asset pricing?

Outperformance Ain’t Alpha

Outperformance and alpha are not exactly the same thing. So, how do we explain the difference?

The US Investment Olympics: Smart Money, Crowd Intelligence, and AI

Can our Smart Money, Crowd Intelligence, and AI indices beat the S&P 500?

Fama and French: The Five-Factor Model Revisited

How well has Fama and French's five-factor model explained returns?

Equal- vs. Market Cap-Weighted Portfolios in Stock Market Crashes

How have equal- and market-cap weighted US equity portfolios performed relative to one another during downturns?

Improving the Odds of Value Investing

So what is the value factor's key performance driver? Based on what evidence?

Should Fundamental Investors Give Up on Value Stocks?

For fundamental investors looking for mispricings, value stocks may be best ignored.