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White Paper
Diversifying Alternatives and the Rearview Mirror
November 3, 2025
Part 10: This paper examines how investor biases and performance-chasing behaviors can undermine the benefits of long/short diversifying alternatives. We explore why such strategies often feel disappointing in bull markets, yet remain vital for long-term portfolio resilience.
Perspective
Everything and More
April 4, 2022
My colleague and former classmate Antti Ilmanen is at it again with his second book, Investing Amid Low Expected Returns. Very rarely does a sequel stand up to the original (see Jaws II), but that's certainly not the case here!
Working Paper
Game On: Social Networks and Markets
March 1, 2021
This paper studies how echo-chamber effects and fake news can lead to disagreement and misinformation with effects on investors’ portfolios and market prices. It presents a model how an investment idea can propagate through a social network, generating a trading frenzy with high turnover, a bubble in the price, and high price volatility. The paper also presents empirical evidence on the dramatic events related to the GameStop stock in January 2021 and discusses broader economic implications.
Journal Article
A Data Science Solution to the Multiple-Testing Crisis in Financial Research
February 1, 2019
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.
Perspective
Perhaps the Most Important Essay I Will Ever Co-Author
March 1, 2018
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.
Journal Article
A Historical Perspective on Time-Varying Expected Returns
February 8, 2017
Investors naturally think about the expected returns of bonds based on their market yields, thus assuming time-varying expected returns.
Perspective
Holy Cow the Rangers are Worse than the Cubs!
April 29, 2016
Cliff Asness delves into numbers and probabilities to determine the biggest loser: the Rangers (for not winning the Stanley Cup between 1940 and 1994) or the Cubs (for failing to win the World Series between 1908 and 2015).
Perspective
Don't Go for the Exacta
October 27, 2015
It’s hard enough to be right. It’s much harder to be right multiple times in a row. Cliff delves into two-step bets and offer insight on when they’re a bad idea.
Journal Article
Bad Habits and Good Practices
August 5, 2015
This article focuses on the habits that may hinder long-term investment performance: multiyear return chasing, under-diversification and comfort seeking.
Journal Article
Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments
April 28, 2015
Using data on the schooling decisions of a sample of white males from the National Longitudinal Survey of Youth of 1979, the authors of this paper compare the performance of simulated method of moments (SMM) and maximum likelihood (ML) estimation in dynamic discrete choice models.