Institutional Investor Journals: What Are the Practical Applications of The Devil in HML's Details?


NEW YORK, NY--(Marketwired - Nov 14, 2013) - Practical Applications has released a new report on The Devil in HML's Details, by Clifford Asness and Andrea Franzzini. This report is based on an in-depth interview with Asness about the Journal of Portfolio Management article, The Devil in HML's Details. We invite you to download the report by visiting our website.

In this report, 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 report 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 Practical Applications of The Devil in HML's Details, please visit our website.

For more information about Institutional Investor Journals or Practical Applications, please contact Erin Scanlon at escanlon@iijournals.com or (212) 2247-3255.

About Institutional Investor Journals

Institutional Investor Journals offers in-depth, original, and practical research in investment management and finance. Written and edited by world-renowned practitioners and academics, the Journals and special topic Guides are extensively read and highly regarded in the industry. Their cutting-edge analysis and strategic insights make them invaluable resources for institutional investors all over the world. Institutional Investor Journals feature articles by investment luminaries and Nobel Laureates. For more information, please visit www.iijournals.com.