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Perspective
A Fanatic is One Who Can't Change his Mind and Won't Change the Subject¹
July 16, 2017
Ciff Asness critiques Rob Arnott’s strong viewpoints that rising valuations are responsible for the past performance of many factors and that their current valuation levels point to their impending doom.
Perspective
High-Frequency Derangement Syndrome
February 8, 2018
Commentators are still blaming the wrong strategies for the recent market rout.
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.
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.
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.
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.
Working Paper
Trading Costs
August 23, 2018
Using live trade data from a large institutional money manager over a 19-year period, we find actual trading costs to be an order of magnitude smaller than previous studies suggest.
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.
Working Paper
Trading Costs of Asset Pricing Anomalies
December 5, 2012
We examine the trading costs, net-of-cost returns and break-even fund sizes of equity strategies designed to capture several of the main asset pricing anomalies documented in the literature.