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Perspective

Quibble Fight!

Cliff takes a look at some of the observations from Arnott et. al., including the idea that prominent factors in modern systematic investing are more effective within small-cap stocks than large-cap, and the impact of controling for quality.

Perspective

Risk Parity Is Even Better Than We Thought

It’s not all or nothing when it comes to risk parity. Investors typically think they should be all 60/40 or all risk parity, but we think there's merit in adding risk parity to an existing 60/40 portfolio.

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.

Perspective

Please Stop Talking About the VIX So Much

It has become quite commonplace to note that the VIX (the CBOE Volatility Index) is currently very low and to worry about it. But Cliff tends to think there's less to worry about than most.

Perspective

Introducing the New AQR S.M.O.O.T.H. Fund

Cliff offers some insights into the world of smoothed returns with a healthy dose of satire.

Perspective

The Valuesburg Address

One score and eight years ago Fama and French brought forth on this world, a new factor, conceived in either risk or behavioral effects, and dedicated to the proposition that all portfolios are not created equal. Now we are engaged in a great drawdown, testing whether investors in that factor, or any factor so conceived and so dedicated, can long endure…

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

Factor Timing is Hard

We continue to ruin the fun for those who think contrarian factor timing is easy and that current factor valuations are extreme. Our evidence points to the contrary.

Perspective

Looking for the Intuition Underlying Multi-Factor Stock Selection

Cliff points out that although the benefits of combining factors into a diversified portfolio are large and well understood, one obstacle for many is gaining intuition about results. He tries to help.

Perspective

It Ain't What You Don't Know That Gets You Into Trouble

My colleagues have written two papers questioning things we thought we knew. The first questions what we really know about current stock market valuations forecasting long-horizon future returns and the second explores whether or not the size effect really exists.