Factor investing has failed to live up to its many promises. Its success is compromised by
three problems that are often underappreciated by investors. First, many investors develop …

In this paper we present simulation results to demonstrate that a simple distributed intra
frequency load balancing algorithm based on automatic adjustment of handover thresholds can …

Factor returns, net of changes in valuation levels, are much lower than recent performance
suggests. Value-add can be structural, and thus reliably repeatable, or situational—a product …

Value investing, as defined by the Fama–French high book-to-market minus low book-to-market
(HML) factor, has underperformed growth investing since 2007, producing a drawdown …

The goal of this article is an estimate of the objective forward-looking US equity risk premium
relative to bonds through history—specifically, since 1802. For correct evaluation, such a …

Abstract Machine learning offers a set of powerful tools that holds considerable promise for
investment management. As with most quantitative applications in finance, the danger of …

In our paper—“How Can ‘Smart Beta’Go Horribly Wrong?”—we show that performance
chasing can be as dangerous in smart beta as it is in stock selection, fund selection, or asset …

… The idea for this much-needed colloquium was conceived by Robert Arnott of the Department
of Ancient History and Archaeology (now of the Centre for the History of Medicine) of the …

A trillion-dollar industry is based on investing in or benchmarking to capitalization-weighted
indexes, even though the finance literature rejects the mean–variance efficiency of such …

We investigate whether dividend policy, as observed in the payout ratio of the US equity
market portfolio, forecasts future aggregate earnings growth. The historical evidence strongly …