Why Value Investors Underperform by Jason Hsu, Research Affiliates
Style Premia Are Not Constant Over Time
Time Varying Style Premium
The ExodusPoint Partners International Fund returned 0.36% for May, bringing its year-to-date return to 3.31% in a year that's been particularly challenging for most hedge funds, pushing many into the red. Macroeconomic factors continued to weigh on the market, resulting in significant intra-month volatility for May, although risk assets generally ended the month flat. Macro Read More
Why Do Return Premia Vary Over Time?
How much money can we put to work before return “premiums” are substantially eroded?
Low Volatility Stocks: Valuations Relative to Simulated Market Cap (1967–2014)
See full slides below.