RT Journal Article SR Electronic T1 Practical Applications of The Devil in HML’s Details JF Practical Applications FD Institutional Investor Journals SP 1 OP 4 DO 10.3905/pa.2013.1.2.018 VO 1 IS 2 A1 Clifford Asness A1 Andrea Frazzini A1 Cathy Scott YR 2013 UL https://pm-research.com/content/1/2/1.18.abstract AB The Devil in HML’s Details Clifford Asness Andrea Frazzini The standard method for constructing high-minus-low (HML) portfolios is flawed. That’s because the pricing data used to calculate valuation ratios for these long value/short growth stock portfolios is 6 to 18 months old. By using lagged data, quantitative portfolio managers combining value and momentum strategies could be sacrificing up to 300 to 400 of basis points of alpha every year.The beauty of the research findings in The Devil in HML’s Details lies in their simplicity. Managers don’t have to renounce the common calculation methodology for constructing HML portfolios. They simply need to tweak it.In this Practical Applications report and the accompanying video, Cliff Asness, Founding and Managing Principal at AQR Capital Management , outlines the tweak. The article appeared in the Summer 2013 issue of The Journal of Portfolio Management and was co-written by Andrea Frazzini, a Vice President at AQR.