In our book, “The Incredible Shrinking Alpha,” Andrew Berkin and I showed evidence demonstrating that it has become increasingly difficult for active managers to generate alpha (performance against an appropriate risk-adjusted benchmark). …

This article aims to build better estimates of CPI headline and core inflation values, making inflation comparisons over time more reliable. …

Since the development of the CAPM, academic research has attempted to find models that increase the explanatory power of the cross-section of stock returns. We moved from the single-factor CAPM (market beta) to the three-factor Fama-French model (adding size and value), to the Carhart four-factor model (adding momentum), to Lu…

This article examines the state of Artificial Intelligence (AI). We analyze its history with an eye toward what it may mean for the world in years to come. The brief history of artificial intelligence: the world has changed fast — what might be next? - Max Roser - Our World in Data, 2022 - A version of this paper can be found here - Want to read our summaries…

The importance of the role played by short sellers has received increasing academic attention in recent years. Short sellers help keep market prices efficient by preventing overpricing and the formation of price bubbles in financial markets. Market efficiency is important because an efficient market allocates capital efficiently. …

We wrote a couple of times about the valuation spread between the 10% cheapest stocks and the market.The spread is the EBIT yields of the 10% cheapest stocks… - There was this piece from April 2020 showing that the spread was generally close to where it was in 1999. This…

The following factor performance modules have been updated on our Index website.free access for financial professionals - Standardized Performance - Factor Performance - Factor Exposures - Factor Premiums - Factor Attribution - Factor Data Downloads

This research examines the potential of enhancing a standard momentum strategy using signals derived from Salience Theory (ST). The strategy presented here is to exclude stocks with extreme salience scores and then analyze the risk and return properties of the ST strategy. Salience theory and enhancing momentum profits - Myounghwa Sim, Hee-Eun Kim - Finance Research Letters …

Traditional value strategies use common valuation metrics, such as book-to-market (B/M), price-to-earnings (P/E), price-to-sales (P/S) or price-to-cash flow (P/CF), to establish a ratio between a market value and a fundamental anchor to assess the cheapness of a stock. The largest historical drawdown for traditional value strategies over the period November…