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 …

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 …

For many investors, taxes are clearly the largest source of portfolio management inefficiency,
and thus of mediocre investment returns. However, there are trading strategies that can …

Trading costs are probably not as inexpensive as some believe, nor as expensive as others
have suggested. Trading costs are large enough to merit the focused attention of any …

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 …

Factors display strong cross-sectional momentum that subsumes momentum in industries
and other portfolio characteristics. The profits of all these momentum strategies—based on …

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 …

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 …

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 …