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Book

Optimization Methods in Finance

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

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

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.

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

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

You Can Have Your Momentum Factor and Eat it Too

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

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.

Journal Article

Predatory Trading

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

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.