Factor
The Liquidity Premium: Why Illiquid Assets Pay More
Less-liquid assets have historically earned higher returns, compensating investors for the cost and risk of trading difficulty. The illiquidity premium interacts powerfully with size and value factors, and individual investors may hold a structural edge over large institutions in harvesting it.
Betting Against Beta: Why Boring Stocks Win
The Betting Against Beta factor exploits a fundamental market distortion: leverage-constrained investors overpay for high-beta stocks, while low-beta stocks are systematically underpriced. The result is a persistent premium for boring, low-risk securities across asset classes worldwide.
The Size Effect: Do Small Caps Still Outperform?
The small-cap premium was one of the first documented anomalies in finance. Decades later, the evidence is more nuanced: the raw size effect has weakened, but small-cap stocks combined with value or quality filters continue to deliver meaningful returns.
The Low Volatility Anomaly: Less Risk, More Return
Traditional finance theory says higher risk should mean higher return, yet decades of evidence show low-volatility stocks match or beat their high-volatility peers on a risk-adjusted basis.
The Quality Factor: Why Profitable Firms Deliver Higher Returns
High-quality companies -- those with strong profitability, stable earnings, and conservative balance sheets -- have historically outperformed their lower-quality peers. We explore the academic evidence behind the quality premium.
The Momentum Factor: Why Winners Keep Winning
Cross-sectional momentum is one of the most robust anomalies in finance. A synthesis of AQR and KCMI research reveals how momentum behaves differently across US, Korean, Japanese, and emerging Asian markets.
The Value Factor: Buying Cheap Stocks for Long-Term Alpha
The value premium -- the tendency of cheap stocks to outperform expensive ones -- is one of the oldest and most debated anomalies in finance. We trace its origins from Benjamin Graham to the Fama-French model and examine whether it still works today.