Historically, manager skill has been measured simply as the difference in average returns between the portfolio and the benchmark index. Managers were considered skillful if their active weights against the benchmark led to outperformance. However, a manager tilting toward a certain risk-factor,...

Classical performance attribution methods do not explicitly assess managers' dynamic allocation skill in the factor domain. The authors propose a generalized framework for performance attribution that decomposes the allocation effect into value added from both static and dynamic factor exposures...

After reviewing the methodologies behind the more popular quantitative investment strategies offered to investors as passive equity indices, the authors devised an integrated evaluation framework. They found that the strategies outperform their cap-weighted counterparts largely owing to exposure...

Twenty years ago there were only five equity factors (market, value, small-cap, momentum, and low beta). Today the literature contains research papers on hundreds of supposed factors, most of which will not produce a reliable positive premium in the future. Rather than adopting a statistical...

A simulated portfolio deliberately based on stale price data — a Rip Van Winkle index fund — has both substantially higher performance and lower volatility than a portfolio that uses up-to-date cap weights. This holds true over the past 67 years in the United States and over shorter...

This article uses the Expectations Hypothesis (EH), one of the oldest theories in finance, to extract the information contained in the term structure of commodity futures prices. Under the powerful framework provided by the EH, we find a significant amount of predictability in commodity futures...

The main result of this paper is that, in continuous time games with imperfect monitoring it is better to average information over time rather than respond at every instant. The two main reasons why it is better to introduce delayed response to signals are that it helps to (1) loosen...