Robert Novy-Marx

Robert Novy-Marx is a professor at the Simon Business School at the University of Rochester. His 2013 paper "The Other Side of Value: The Gross Profitability Premium" documented that highly profitable companies earn higher risk-adjusted returns than less profitable ones, even controlling for valuation. This gross profitability factor has been incorporated into factor models by AQR, DFA, and others. Novy-Marx has also published on momentum, economic profit metrics, pension fund management, and the predictive power of various accounting variables in cross-sectional stock returns. His research on the interaction between value and profitability factors showed that combining these two dimensions — cheap stocks that are also highly profitable — produced more robust and higher risk-adjusted returns than either factor alone, informing the construction of multifactor equity strategies at major systematic asset managers. His work on pension fund liabilities and discount rate assumptions has also influenced institutional asset-liability management practices.