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Working Paper

Trading Costs of Asset Pricing Anomalies

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.

White Paper

Not Risk Parity Funds

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

Cliff Asness explains why risk parity and trend-following strategies are not to blame for the recent market volatility.

Working Paper

Asset Tangibility, Macroeconomic Risks and the Diversification Discount

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.

Working Paper

Principal Portfolios

We propose a new asset-pricing framework in which all securities’ signals are used to predict each individual return. While the literature focuses on each security’s own- signal predictability, assuming an equal strength across securities, our framework is flexible and includes cross-predictability.

Perspective

The August of Our Discontent: Once More Unto the Breach?

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

Trading Costs

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.

Book

Optimization Methods in Finance

Modern finance has become increasingly technical, requiring the use of sophisticated mathematical tools in both research and practice.

Journal Article

On the Distribution of Financial Futures Price Changes

Among the victims of the October 1987 market crash were the popular and convenient assumptions of nearly continuous and normally distributed price change processes.

Journal Article

Predatory Trading

Large traders fear a forced liquidation, especially if their need to liquidate is known by other traders.