A review on drawdown risk measures and their implications for risk management
As highlighted by the recent market turmoil following COVID‐19, markets can experience
significant retracements or drawdowns. While these recent market moves have definitely …
significant retracements or drawdowns. While these recent market moves have definitely …
Is (systematic) value investing dead?
R Israel, K Laursen, SA Richardson - Journal of Portfolio …, 2020 - papers.ssrn.com
Value investing is the age-old investment strategy that involves buying securities that appear
cheap relative to some fundamental anchor. For equity investors that anchor is typically a …
cheap relative to some fundamental anchor. For equity investors that anchor is typically a …
Resurrecting the value premium
D Blitz, MX Hanauer - Available at SSRN 3705218, 2020 - papers.ssrn.com
The prolonged poor performance of the value factor has led to doubts about whether the
value premium still exists. Some have noted that the observed returns still fall within …
value premium still exists. Some have noted that the observed returns still fall within …
Non-standard errors in asset pricing: Mind your sorts
A Soebhag, B Van Vliet… - Available at SSRN …, 2023 - papers.ssrn.com
Non-standard errors capture uncertainty due to differences in research design choices. We
establish considerable variation in the design choices made by researchers when …
establish considerable variation in the design choices made by researchers when …
[BOOK][B] Investing Amid Low Expected Returns: Making the Most when Markets Offer the Least
A Ilmanen - 2022 - books.google.com
Elevate your game in the face of challenging market conditions with this eye-opening guide
to portfolio management Investing Amid Low Expected Returns: Making the Most When …
to portfolio management Investing Amid Low Expected Returns: Making the Most When …
Is sector neutrality in factor investing a mistake?
Stock characteristics have two sources of predictive power. First, a characteristic might be
valuable in identifying high or low expected returns across industries. Second, a …
valuable in identifying high or low expected returns across industries. Second, a …
Is the Value Premium Smaller Than We Thought?
M Hasler - Available at SSRN 3886984, 2021 - papers.ssrn.com
The construction of the original HML portfolio (Fama and French, 1993) includes six
seemingly innocuous decisions that could easily have been replaced with alternatives that …
seemingly innocuous decisions that could easily have been replaced with alternatives that …
[PDF][PDF] Value versus Glamour Stocks: The Return of Irrational Exuberance?
B Bellone, RL de Carvalho - The Journal of Investing, 2021 - ivey.uwo.ca
Value stocks have endured a period of severe underperformance until recently. This article
shows that the value spreads between valuations of value stocks and their most expensive …
shows that the value spreads between valuations of value stocks and their most expensive …
Here in the Real World: The Performance of Alternative Beta
A Suhonen, M Lennkh - Journal of Systematic Investing, 2021 - papers.ssrn.com
We examine the realized performance of alternative beta strategies using a database of
returns since 2008. Despite diversified portfolios of risk premia strategies offered by global …
returns since 2008. Despite diversified portfolios of risk premia strategies offered by global …
Alternative risk premium: specification noise
SA Gorman, FJ Fabozzi - Journal of Asset Management, 2023 - Springer
Alternative risk premium (ARP) comprises a wide range of rules-based trading strategies
spanning all major asset classes. Its unique nature creates ongoing benchmark challenges …
spanning all major asset classes. Its unique nature creates ongoing benchmark challenges …