The world has been severely challenged by the Coronavirus Disease (COVID-19) outbreak since the early 2020s. Worldwide, there have been more than 66 million cases of infection and over 3,880,450 deaths caused by this highly contagious disease. All sections of the population including those who...

The authors compare the price of a stock at a given point in time with its ex post realized value, which is defined by the discounted net present value of subsequent actual cash distributions. This measure is called the Clairvoyant Value, that is, the value that a clairvoyant investor with...

In historical testing, valuation-indifferent weighting applied to U.S. and global equities has produced statistically significant and economically large outperformance when compared with traditional capitalization-weighted benchmarks. In this article, the authors apply valuation-indifferent...

We closely examine the impact of adding intangibles to traditional book equity as a more meaningful value measure. Our intangibles-adjusted value metric subsumes the traditional book-to-price metric in explaining cross-sectional equity returns and improves value factor performance across...

Although hidden, implicit market impact costs of factor investing strategies may substantially erode the strategies' expected excess returns. The authors explain these market impacts costs and model them using rebalancing data of a suite of large and longstanding factor investing indices. They...

Minimum variance strategies are a proven approach to profiting from the low volatility effect, but if taken directly from an optimizer they tend to have disadvantageous attributes such as low liquidity, high turnover, high tracking error, and concentrated positions in stocks, economic sectors,...

In this study, the authors examine the hypothetical performance of various low volatility strategies in historical U.S., global developed, and emerging markets. The strategies we replicated outperformed cap-weighted market indices due to exposure to the value, BAB (betting against beta), and...

The risks embedded in asset-based risk parity portfolios are explored using a simple, economically motivated approach. Such an approach can go a long way toward demystifying and making more explicit the drivers of performance and risks of asset-based risk parity portfolios. Investors in risk...