The increasing popularity of factor investing has led to valuation concerns among some contrarian-minded investors, and fears of imminent mean-reversion and underperformance. In this paper, the authors find that despite their recent popularity the most common factors or styles, namely the value,...

The Norwegian Government Pension Fund Global was recently ranked the largest fund on the planet. It is also highly rated for its professional, low-cost, transparent, and socially responsible approach to asset management. Investment professionals increasingly refer to Norway as a model for...

Evaluating how factor premia vary over time and across assets classes is challenging due to limited time series data, especially outside of U.S. equities. We examine four prominent factors across six asset classes over a century. We find little evidence for arbitrage activity influencing...

In 2001, a small group of academics and practitioners met to discuss the equity risk premium (ERP). Ten years later, in 2011, a similar discussion took place, with participants writing up their thoughts for this volume. The result is a rich set of papers that practitioners may find useful in...

The Year in Review 2012 summarizes the offerings from the Research Foundation of CFA Institute over the past year — monographs, literature reviews, workshop presentations, and other relevant material

Can the art and science of investment management be reduced to a set of patterns that markets generally follow, in apparent violation of the efficient market hypothesis? Can investors reasonably expect to make money from the knowledge of these patterns, even after they have not only been...

This article documents the “bad habits” of investors in asset allocation practices. Whereas financial markets exhibit momentum over multi-month horizons but more reversion to the mean over multi-year horizons, many investors act like momentum investors even at these longer horizons. Both...

Diversification is famously referred to as the only “free lunch” in investing, but it has been under assault since the 2007–2009 global financial crisis, when virtually all long only asset classes moved down together. Ilmanen and Kizer argue that the attacks are undeserved. Most investors...