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Journal Article
Long-Only Style Investing: Don't Just Mix, Integrate
June 30, 2016
We contrast two common approaches to long-only style investing: the “portfolio mix” and the “integrated portfolio.” Our results suggest that long-only factor or smart beta investors should consider integrating styles in portfolio construction.
Journal Article
Deactivating Active Share
January 6, 2016
The authors investigate Active Share, a measure meant to determine the level of active management in investment portfolios, and find it wanting.
White Paper
Understanding Defensive Equity
July 1, 2012
This paper analyzes the intuition behind defensive equity. We then analyze the empirical evidence, construction and performance of defensive equity portfolios, and discuss the possible explanations for its historical outperformance.
Journal Article
Style Timing: Value vs. Growth
January 1, 2000
A large body of academic and industry research supports the efficacy of value strategies for choosing individual stocks.