A review on drawdown risk measures and their implications for risk management

H Geboers, B Depaire, J Annaert - Journal of Economic …, 2023 - Wiley Online Library
As highlighted by the recent market turmoil following COVID‐19, markets can experience
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 …

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 …

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 …

[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 …

Is sector neutrality in factor investing a mistake?

S Ehsani, CR Harvey, F Li - Financial Analysts Journal, 2023 - Taylor & Francis
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 …

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 …

[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 …

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 …

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 …