Kenneth French speaks on tech ticker

A 'Stock Picker's Market?' Keep Dreaming

 Don't Try to Time the Market, Either


Why Investors Shouldn't Own Commodities

 


Eugene Fama, University of Chicago
Kenneth French (shown below), University of Chicago (currently MIT)
The Three-Factor Asset Pricing Model

 
Value vs Growth
Three Factor Model

 

In June 1992, Eugene Fama and Kenneth French of the University of Chicago published Size and Book-to-Market Equity: Returns and Economic Fundamentals. Their research improved on William Sharpe's single factor asset-pricing model (CAPM). By identifying market, size, and value factors in returns, they developed the three-factor asset pricing model. It is an invaluable tool for asset allocation and portfolio analysis. This revolutionized the way we construct and analyze portfolios by identifying independent sources of risk and return. They introduced the first concentrated, empirical value strategies. This research led to similar findings internationally, and they updated their studies in 1998 to include data from as far back as 1929.


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