NEW YORK, NY — (Marketwired) — 11/14/13 — has released a new report on, by Clifford Asness and Andrea Franzzini. This report is based on an in-depth interview with Asness about the article, The Devil in HML-s Details. We invite you to download the report by visiting our .
In this , we learn that the traditional methodology for constructing high-minus-low (HML) investment strategies is flawed. As a result, managers who are combining value and momentum strategies could be leaving up to 300 to 400 basis points of alpha on the table every year, Asness, Founding and Managing Principal at AQR Capital Management, tells us in the accompanying video.
We invite you to download the to understand the practical applications of the research findings, including:
Choosing more timely pricing data
Improving the ability to identify cheap stocks
Unveiling the level of correlation between value and momentum strategies
Applying the approach to other asset classes
To download , please visit our .
For more information about or , please contact Erin Scanlon at or (212) 2247-3255.
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