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These articles contain the opinions of the authors but not necessarily of Dimensional, and do not represent a recommendation of any particular security, strategy or investment product. The authors' opinions are subject to change without notice. Information contained herein has been obtained from sources believed to be reliable, but is not guaranteed.
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| The Dimensions of Stock Returns: 2007 by Truman A. Clark September 2007 In his most recent update on the size and value effects, Truman Clark explains the advantages of seeking exposure to these risk dimensions through core equity strategies. |
The Informational Efficiency of Stock Prices: A Review by James L. Davis March 2006 Many studies have discussed whether securities are efficiently priced. The available evidence indicates that professional money managers have not been able to exploit cost-effectively any pricing errors that do occur. | |
| Update of the Research Underlying Dimensional's Bond Strategies by Eugene F. Fama September 2003 Many investors and financial commentators believe high earnings growth rates and high rates of return go hand in hand. But earnings growth only determines the breakdown of total returns into dividend yield and capital gain. Total expected returns are determined by risk alone. |
by David A. Plecha June 2002 Adding fixed income, particularly short-term bonds, to an equities portfolio will reduce volatility. Dimensional seeks to maximize expected return by minimizing the unrewarded risk of long-term instruments and by diversifying globally. | |
| The Dimensions of Stock Returns: 2002 Update by Truman A. Clark April 2002 Earlier research of Fama and French, that found size and book-to-market best explain the variation in stock returns, is updated through 2001. |
Explaining Stock Returns: A Literature Survey by James L. Davis December 2001 Some of the important financial theories underlying the behavior of stock returns are summarized. Results of several empirical studies into these theories are also described. | |
| Index and Enhanced Index Funds by David G. Booth April 2001 Though they were only launched in the early 1970s, index funds have attracted many investors lured by the logic and overwhelming empirical evidence in support of indexing. This paper develops a case for the use of index funds and Dimensional's enhanced index funds. |
Is There Still Value in the Book-to-Market Ratio? by James L. Davis January 2001 Despite recent arguments to the contrary, there is no evidence of book-to-market ratio (BtM) becoming irrelevant for identifying value stocks. Compared to popular alternatives, BtM is at least as good at producing dispersion in average returns. | |
| The Information in the Term Structure: An Update by James L. Davis October 2000 For most forecasting horizons, the best predictor of spot interest rates is the current interest rate. This implies there is more information in the term structure about expected returns than future interest rates. |
by Eugene Fama Jr. July 2000 Old-school indexers claim that holding anything beyond the market portfolio is akin to stock picking. But market risk is only one factor driving returns, and an index fund that takes advantage of other dimensions of risk is not betting—it's the new face of indexing. | |
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by Rex A. Sinquefield October 1995 A transcript of Rex Sinquefield's opening statement in a debate about active vs. passive management with Donald Yacktman at the Schwab Institutional conference in San Francisco, October 12, 1995. |