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Perspective
Resisting the Siren Song of Factor Timing
April 15, 2016
It seems that now everyone wants to time factors. In his JPM editorial piece, Cliff argues that investors should resist this siren song.
Perspective
You Can Have Your Momentum Factor and Eat it Too
December 5, 2017
Many investors are quick to dismiss momentum as too costly to implement because of its high turnover. After studying 7 years’ worth of live, real-world data across markets, we debunk that myth.
Perspective
Risk Parity Derangement Syndrome
February 7, 2018
Cliff Asness explains why risk parity and trend-following strategies are not to blame for the recent market volatility.
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
High-Frequency Derangement Syndrome
February 8, 2018
Commentators are still blaming the wrong strategies for the recent market rout.
Perspective
Resisting the Siren Song of Factor Timing
April 15, 2016
It seems that now everyone wants to time factors. In his JPM editorial piece, Cliff argues that investors should resist this siren song.
Working Paper
Asset Tangibility, Macroeconomic Risks and the Diversification Discount
April 3, 2014
Some research says that conglomerates trade at a discount relative to a comparable group of companies focused on single lines of business, because investors want to diversify. But we find the "diversification discount" varies, and delve into why here.
Journal Article
Dynamic Trading With Predictable Returns and Transactions Costs
November 1, 2013
Active investors and asset managers — such as hedge funds, mutual funds and proprietary traders — try to predict security returns and trade to profit from their predictions.
Journal Article
On the Distribution of Financial Futures Price Changes
September 1, 2004
Among the victims of the October 1987 market crash were the popular and convenient assumptions of nearly continuous and normally distributed price change processes.
White Paper
Not Risk Parity Funds
February 7, 2018
The source of the recent market disruption may not be fully understood yet, but we can reveal what it wasn’t.