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The George Costanza Portfolio

In a follow-up to Liquid Alt Ragnarök?, Cliff shows the results of an illustrative portfolio that does the opposite of what we’d normally do in the spirit of George Costanza, who in one episode of Seinfeld decided he must, in all things, do the opposite of what he’d normally do.


Putting Parity Performance Into Perspective

Cliff discusses the blame placed on risk parity for having caused the market’s August sell-off. Critics made a silly choice to go all tin-foil-hat instead of just doing what people usually do—attack recent performance.


How Much Are You In For?

A recent post reminds us that what the average investor in a fund gets is different from the return of that fund, especially if they get in and out awith poor timing. That’s true and important, but there’s more to it than that.


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.


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.


Hotel California: You Can Never Leave, Until You Are Asked To

For quite some time, we’ve been arguing that hedge funds are too correlated with equity markets. Given CalPERS’ recent decision to liquidate its hedge fund portfolio, we thought it a good time to review our thoughts on the hedge fund industry.


Response to Miles Johnson

Cliff disagrees with the ways certain members of the press have established their annual lists of the top hedge fund earners. In his view, the math was simply bad and intentionally misleading.

Trade Publication

Where the Wild Things Aren't: Using Derivatives and Leverage to Improve Portfolio Performance

In the current world of modest risk premia, investors face a choice to limit their investment options, or diversify and build more stable portfolios.

Trade Publication

Alpha Transfer in a Hedge Fund World

In theory, portable alpha is a good idea.


Consistency of Carry Strategies in Europe

In this chapter, we focus on strategies in the European bond market that shift money from government bonds to higher-yielding credits. While most carry strategies seem to add value in the long run, some strategies appear more risky than others.