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Add More Fama to Your Portfolio

This entry is a book recommendation. The book is The Fama Portfolio and it should be on the shelf (after being read!) of any serious student of finance.


The Active Manifesto Kerfuffle

A Sanford Bernstein research note on the evils of indexing kick-started valuable discussions in the world of finance, but it missed something important: Free riding on price signals may be the most important feature of capitalism.


2016 Beyond Equities: Still Boring

Cliff Asness unpacks an array of comments on his earlier post, “2016 Was Not a Particularly Volatile Year,” including reviewing volatility of a variety of asset classes during 2016.


Efficient Frontier “Theory” for the Long Run

Financial theory has taken a lot of abuse recently, specifically some of the basic tenets of modern portfolio theory. We think it's better to step back and judge ideas over the long-term and we show why.


Please Stop Talking About the VIX So Much

It has become quite commonplace to note that the VIX (the CBOE Volatility Index) is currently very low and to worry about it. But Cliff tends to think there's less to worry about than most.


2016 Was Not a Particularly Volatile Year

A lot of year-end commentary about financial markets in 2016 made it sound like a crazy year. It wasn’t—in fact, it was amazingly normal. This is true at least of the S&P 500, which is likely what many commentators are talking about.


High-Frequency Derangement Syndrome

Commentators are still blaming the wrong strategies for the recent market rout.

Journal Article

A Framework for Identifying Accounting Characteristics for Asset Pricing Models, with an Evaluation of Book-to-Price

We provide a framework for identifying accounting numbers that indicate risk and expected return.

Working Paper

Embedded Leverage

Embedded leverage—the amount of market exposure per unit of committed capital—has become an important feature of financial instruments. We study embedded leverage in equity options, index options and ETFs, and how it affects the required returns.

Journal Article

Efficiently Inefficient Markets for Assets and Asset Management

We consider a model where investors can invest directly or search for an asset manager, information about assets is costly. If investors can find managers more easily, more money is allocated to active management, fees are lower, and asset prices are more efficient.