Ackerman ResourcesWhite Papers

Research drives everything we do

We are committed to following the latest developments in academic financial research in an effort to continually refine our investment methodology. Below is a representative selection of academic papers that have informed the way we construct and manage portfolios. 

Asset Allocation – Value & Momentum

Value and Momentum Everywhere
Clifford S. Asness, Tobias J. Moskowitz, and Lasse H. Pedersen, February 2009

Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes
David Blitz and Pim van Vliet, May 2008

A Case Study for Using Value and Momentum at the Asset Class Level
Victor Haghani and Richard Dewey, Spring 2016

Momentum and Mean-Reversion in Strategic Asset Allocation
Ralph S.J. Koijen, Juan Carlos Rodriquez, and Alessandro Sbuelz, January 2009

Using a Z-score Approach to Combine Value and Momentum in Tactical Asset Allocation
Peng Wang, CFA and Larry Kochard, PhD, CFA, January 2011

Factor Investing & Implementation

Factor Investing
Andrew Ang, June 2013

Forecasting Factor and Smart Beta Returns
Robert D. Arnott, Noah Beck, and Vitalli Kalesnik, February 2017

Factor Momentum
Robert D. Arnott, Mark Clements, Vitali Kalesnik, and Juhani T. Linnainmaa, January 2018

Foundations of Factor Investing
Jennifer Bender, Remy Briand, Dimitris Melas, and Raman Aylur Subramanian, December 2013

Strategic Allocations to Premiums in the Equity Market
David Blitz, October 2011

Choosing Factors
Eugene F. Fama and Kenneth R. French, March 2017

Practical Considerations for Factor-Based Asset Allocation
Xiaowei Kang and Daniel Ung, June 2014

Fundamental Indexing

Fundamental Indexation
Robert Arnott, Jason Hsu, Philip Moore, October 2004

An Evaluation of Alternative Equity Indices: Fundamental Weighting Schemes
Andrew Clare, Nick Motson, and Steve Thomas, March 2013

The Second Generation of Index Investing
Vitali Kalesnik, PhD, August 2014

Benefits of Fundamentally Weighted Indexes in Less Efficient Markets
David Koenig, CFA, FRM and Mat Lystra, March 2014


Is Your Alpha Big Enough to Cover Its Taxes Revisited
Robert D. Arnott, Andrew L. Berkin, PhD, and Paul Bouchey, CFA, February 2011

Tax Efficient Investing
Paul Bouchey, CFA, Rey Santodomingo, CFA, and Jennifer Sireklove, CFA, February 2015

Factor Tilts After Tax
Lisa Goldberg and Ran Leshem, 2014

A special thank you to The Social Science Research Network, the source of all of the above linked papers.