Perspective

High-Frequency Derangement Syndrome

Commentators are still blaming the wrong strategies for the recent market rout.

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Market Risk and Efficiency

Wild but Not Crazy

Just how volatile was the recent market ride? Cliff Asness puts the volatility into perspective in terms of both its absolute and surprise levels.

Behavioral Finance

Perhaps the Most Important Essay I Will Ever Co-Author

We model when a hockey coach should pull the goalie when trailing and then discuss how our results relate to key lessons for portfolio and risk management, and business in general.

Trading

High-Frequency Derangement Syndrome

Commentators are still blaming the wrong strategies for the recent market rout.

Risk Parity

Risk Parity Derangement Syndrome¹

Cliff Asness explains why risk parity and trend-following strategies are not to blame for the recent market volatility.

Fixed Income

Fixed Income Fantasies

Active fixed income managers have had a really good run in recent decades, but is this success due to skill? We found that there is less alpha than people think due to long-term overweight to credit. But there is hope, and we explain why.

Equities

Repurchases are the Devil’s Work! (not…)

A seemingly large amount of stock buybacks in recent years has prompted many to claim that buybacks have come at the expense of new investment. Our latest paper shows why neither the theory nor the evidence supports this view.

Factor/Style Investing

You Can Have Your Momentum Factor and Eat it Too

Many investors are quick to dismiss momentum as too costly to implement because of its high turnover. After studying 7 years’ worth of live, real-world data across markets, we debunk that myth.

Asset Allocation

Going Deep on Contrarian Factor Timing

We studied all the interesting things that happen when some stocks, or other assets, get deeply cheap while others get deeply expensive, and learn more about value investing and how timing works when increasing breadth of comparisons.

Factor/Style Investing

Add More Fama to Your Portfolio

This entry is a book recommendation. The book is The Fama Portfolio and it should be on the shelf (after being read!) of any serious student of finance.

Portfolio Construction

Little Things Mean a Lot

Cliff discusses the fees of factor investing, as well as many of the smaller decisions that each can matter some, and collectively can matter a lot