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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

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.

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.

Perspective

Don't Go for the Exacta

It’s hard enough to be right. It’s much harder to be right multiple times in a row. Cliff delves into two-step bets and offer insight on when they’re a bad idea.

Perspective

Resisting the Siren Song of Factor Timing

It seems that now everyone wants to time factors. In his JPM editorial piece, Cliff argues that investors should resist this siren song.

Perspective

Risk Parity Derangement Syndrome

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

Perspective

High-Frequency Derangement Syndrome

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

Perspective

A Fanatic is One Who Can't Change his Mind and Won't Change the Subject¹

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.

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

Dynamic Trading With Predictable Returns and Transactions Costs

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.