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Perspective
The George Costanza Portfolio
October 22, 2018
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.
Journal Article
Overinvestment of Free Cash Flow
September 1, 2006
This paper focuses on using accounting information to better explain the relationship between free cash flow and overinvestment.
Perspective
Factor Investing Explicitly Tries to Look Lousy on Active Share
November 10, 2016
There has been much ink, and maybe even some blood, spilled debating the merits of “Active Share” for judging an investment fund. Cliff reviews the frequent misueses of active share, especially related to applying it factor investing
Journal Article
Parallels Between the Cross-Sectional Predictability of Stock and Country Returns
January 1, 1997
Firm characteristics such as book-to-market ratio, market equity and one-year past return help explain the cross-section of average returns on U.S.
Perspective
Quibble Fight!
December 3, 2015
Cliff takes a look at some of the observations from Arnott et. al., including the idea that prominent factors in modern systematic investing are more effective within small-cap stocks than large-cap, and the impact of controling for quality.
Journal Article
Craftsmanship Alpha: An Application to Style Investing
December 31, 2017
What may seem like inconsequential design decisions can actually matter a lot for style portfolios. In fact, the skillful targeting and capturing of style premia may constitute a form of alpha on its own—one we refer to as “craftsmanship alpha.”
Perspective
Liquid Alt Ragnarök?
September 7, 2018
Cliff discusses the recent tough times for quantitative factor-based liquid alts and makes the case for why the painful and difficult times are a big part of why our quantitative factors are real and can improve long-term results for those who can allocate part of their portfolio to them and then stick with it.
Perspective
The Small-Firm Effect Is Real, and It's Spectacular
January 23, 2015
Many have questioned whether size matters. In our research, we resurrect the size effect and find that it matters as much as such stalwarts as value and momentum.
Perspective
The August of Our Discontent: Once More Unto the Breach?
August 7, 2017
Given the continued rise in popularity of factor investing, we recap the August 2007 “quant crisis”—those weeks when certain quant strategies suffered big losses—and its relevance for today.
Perspective
Smart Beta: Not New, Not Beta, Still Awesome
September 10, 2014
Cliff Asness argues that the term “smart beta” (including “Fundamental Indexing”) is just a new way to describe some well-known and well-tested (yet still valuable) investment ideas.