This paper considers several popular portfolio implementation techniques that maximize
exposure to value and/or momentum stocks while taking into account transaction costs. Our …

In this article, the authors show under general conditions that the probability of risk parity
beating any other portfolio is more than 50%. They also prove the maximin properties of a risk-…

In this article, the authors examine the relationship between country size, measured as the
aggregate market capitalization of the listed stocks in a country, and individual stock returns. …

… As Chair of the firm’s Investment Strategy Group, Mr. Fisher is responsible for the management
and oversight of Gerstein Fisher’s investment strategies. He also spearheads research …

… To look at the touches that happened after the initial several months of the client’s involvement
with Gerstein Fisher, we use essentially the same method as the previous subsection, but …

This article compares fundamental index strategies with strategies that start with the market
index and then tilt towards high fundamental-to-price ratio stocks. The authors find that the tilt …

Replication products strive to offer investors some of the benefits of hedge funds while
avoiding their high fees, illiquidity, and opacity. The authors of this article test whether a …

… officer of Gerstein Fisher, an independent investment management and advisory firm …
Acknowledgement: I would like to acknowledge the assistance of the Gerstein Fisher Investment …

The performance of the average investor in an asset class lags the average performance of
the asset class itself by an average of one percent per year over the past fifteen years, based …

This article examines four different asset-pricing factors and their use in a portfolio that
varies over time based on an investor’s risk preferences. Using data for the period 1980–2014, …