Showing 1 - 10 of 774 results

Sort By
  • Relevance
  • Newest
  • Oldest

Macro Wrap-Up

What They Say, Not What They Do

It’s not a good idea to stare at your P&L all day. It addictive and you see things which don’t make sense. This week’s Wrap-Up is about the puzzling stock market moves after the ECB meeting last week. It’s for anyone whose portfolio has ever had a bad reaction to a good news story.

Macro Wrap-Up

Let’s Get Fiscal

This week we look at the debate among economists about fiscal policy and what more deficit spending might mean for markets. Let me hear the borrowing talk!

Macro Wrap-Up

The Fed’s Second Dovish Plot Twist

Sometimes when you take a week off you miss something. Last week, Fed members gave some important speeches, arguably among the most important since Powell took the reins. We look at them in this week’s Wrap Up.


Introducing the New AQR S.M.O.O.T.H. Fund

Cliff offers some insights into the world of smoothed returns with a healthy dose of satire.

Macro Wrap-Up

Does Anyone Remember the Carry Trade?

This week’s Wrap-Up looks at carry portfolios and carry trades and why commentators may be avoiding the topic.

Macro Wrap-Up

Jobs Are Good

This week we look at why stocks sometimes react positively to strong employment numbers, while other times they don't. We promise it will be more exciting than the Super Bowl half-time show was.


Looking for the Intuition Underlying Multi-Factor Stock Selection

Cliff points out that although the benefits of combining factors into a diversified portfolio are large and well understood, one obstacle for many is gaining intuition about results. He tries to help.

Alternative Thinking

2019 Capital Market Assumptions for Major Asset Classes

We update our estimates of medium-term (5- to 10-year) expected returns for major asset classes, including private equity and private real estate.

Macro Wrap-Up

Reverting Below the Mean

After two good years, the economy in Europe faced some setbacks in 2018. This week we look at some of the explanations for this, which include low water levels in rivers and well-dressed French protesters.

Journal Article

A Data Science Solution to the Multiple-Testing Crisis in Financial Research

In this paper, we present a real example of how multiple testing information can be reported. We use that information to estimate the Deflated Sharpe Ratio of an investment strategy.