Institutional investors often sell funds (or fire managers) once they have underperformed the market over the last two to three years, typically replacing them with funds or managers that recently outperformed. This seemingly sensible strategy, intended to identify skilled managers, is often bad...

On paper, momentum is one of the most compelling factors: simulated portfolios based on momentum add remarkable value, in most time periods and in most asset classes, all over the world. So, our title may seem unduly provocative. However, live results for mutual funds that take on a momentum...

Thomas Piketty's Capital in the Twenty-First Century rocketed to the top of the best-seller lists the moment it was published in 2013, and remained there for months. While this feat is quite remarkable for a weighty tome on economics, it's no mystery why Piketty's magnum opus created such a...

Target-date investment strategies purport to meet the two primary objectives of any retirement savings program: maximizing the real value of investors' nest eggs while minimizing uncertainty around prospective income in retirement. The authors demonstrate that the classic glidepath approach to...

Much ink has been spilled on the perils of allowing some companies to become “too big to fail.” This assumes that governments, hence taxpayers, must foot the bill when these Top Dogs become seriously ill, while reinforcing a view that the Top Dogs, whose failure might do systemic damage,...

This is the first in a series of papers we will publish in 2017 that demonstrate factor tilts generally deliver far less alpha in live portfolios than they do on paper, or put another way, investment managers generally fail to capture the returns that would be expected based on their factor...

Factor investing has been around for several decades, backed by an enormous body of literature, and yet it is still surrounded by much confusion and debate. Some of the rhetoric and myths have existed for a long time, while others have arisen in response to the difficult performance from 2018 to...

Traditional capitalization-weighted indices generally add stocks with high valuation multiples after persistent outperformance and sell stocks at low valuation multiples after persistent underperformance. For the S&P 500 Index, in the year after a change in the index, additions lose relative to...

In the 1980s, there was a famous TV ad for Wendy’s with the tagline “Where’s the Beef?” Many investors in today’s so-called smart beta strategies may well be asking a similar question, “Where’s the Alpha?” Investors frequently buy into historical simulations or backtests, often...

This paper applies the “big market delusion” concept developed by Cornell and Damodaran to the electric vehicles market. The hallmark of a big market delusion is when all the firms in the evolving industry rise together even though they are often direct competitors. Investors become so...