Modestly levering a better, more diversified portfolio may improve upon an unlevered, much less diversified one; it is a rather sensible approach that is consistent with finance theory.
Cliff Asness’ running commentary about investing, which non-shockingly emphasizes quantitative investing. It may also entail some macroeconomics, but only as it bears directly on the ability to create returns for clients and on investing in general.
A buzzword in the investment community these days is active share, a specific way to measure how different a portfolio is from its benchmark; some proponents claim it predicts higher excess returns. Does it? No, as we show in a new AQR white paper.
The risk parity-versus-60/40 argument has always been about strategic long term — not tactical short term — asset allocation. Here I argue that, when viewed strategically, the empirical work on risk parity, including some of our own, understates its potential advantages. Moreover, all you need is basic finance theory to see it.