From Premium to Dimension: Raising the Bar on Research


This article contains the opinions of the author but not necessarily of Dimensional Fund Advisors Canada ULC, and does not represent a recommendation of any particular security, strategy or investment product. The author’s opinions are subject to change without notice. This article is made available strictly for educational purposes only and should not be considered investment advice or an offer of any security for sale.

Theoretical and empirical research in finance has advanced our knowledge of financial markets. We now know that several variables can help identify securities with higher expected returns in equity markets. Size, relative price, profitability, and momentum premiums are well documented.

The findings of this body of research are not secret and are well known to financial professionals. What sets Dimensional apart is how we seek to capture these premiums in portfolios. Because markets are uncertain, we exercise a great deal of caution when conducting, interpreting, and applying empirical research. Dimensional builds portfolios that consider tradeoffs among premiums and seek multiple opportunities to add value. Our portfolios are robust—they seek to deliver consistent results under a wide variety of market conditions and client specifications.

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