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White Paper

Is Your Equity Hedge Fund Portfolio Resilient Enough for Uncertain Times?

February 6, 2024 - Michele L. Aghassi Chris Doheny Charles Fattouche Erik Wong

We analyze the historical macroeconomic sensitivity of traditional asset classes and major hedge fund strategies. We show that the average hedge fund is unlikely to provide meaningful diversification during periods of macro uncertainty, which are also typically difficult for traditional assets. However, long/short low-risk strategies have tended to exhibit low macro sensitivity.

Journal Article

Fact, Fiction, and Factor Investing: Practical Applications

September 1, 2023 - Michele L. Aghassi Cliff Asness Charles Fattouche Tobias J. Moskowitz

This piece distills the central concepts and practical takeaways of our Fact, Fiction, and Factor Investing article, which examined many claims about factor investing, referencing an extensive academic literature and performing simple, yet powerful, analysis to address those claims.

Journal Article

Fact, Fiction, and Factor Investing

December 22, 2022 - Michele L. Aghassi Cliff Asness Charles Fattouche Tobias J. Moskowitz

Factor investing has been around for several decades, backed by an enormous body of literature, and yet it is still surrounded by much confusion and debate. We examine many of the claims about factor investing, referencing the academic literature and performing simple, yet powerful, analysis to address them.