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Restoring Value to Minimum Variance
A long-only investable minimum variance strategy outperformed the S&P 500 over the four decades from January 1973 to December 2012. Through the lens of a factor model, we show this outperformance canExpand
Factoring Profitability
Recent studies in financial economics posit a connection between a gross prof- itability strategy and quality investing. We explore this connection with two widely used factor models. The first isExpand
Optimizing Value
In a series of empirical studies, the authors investigated the performance of two popular value metrics: book-toprice (B/P) ratio and earnings-to-price (E/P) ratio. In an academic study based on dataExpand
Practical Applications of Optimizing Value
Value investing is a central concept in finance, and its popularity has grown dramatically since Benjamin Graham and David Dodd first introduced it in their seminal work, Security Analysis , in 1934.Expand
14 – Factoring Profitability1
Recent studies in financial economics posit a connection between a grossprofitability strategy and quality investing. We explore this connection with two widely used factor models. The first is theExpand
Factor Tilts after Tax
Tax-loss harvesting can improve the after-tax returns of factor-tilted strategies. In an empirical study of global and US strategies, we found that the tax alpha generated by harvesting lossesExpand