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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.
Perspective
Lies, Damned Lies, and Data Mining
April 12, 2017
Data mining, finding in-sample returns that are not real, but random, is a real problem in our field, with plenty of dangers. Cliff Asness discusses the issue and the recent accusation that the industry has data mined factors
Perspective
Factor Timing is Hard
March 15, 2017
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
Response to Miles Johnson
May 16, 2016
Cliff disagrees with the ways certain members of the press have established their annual lists of the top hedge fund earners. In his view, the math was simply bad and intentionally misleading.
Perspective
An Annual Article About Nothing
May 5, 2015
Cliff examines a popular front-page New York Times article covering the top hedge fund earners.
Perspective
Putting Parity Performance Into Perspective
December 3, 2015
Cliff discusses the blame placed on risk parity for having caused the market’s August sell-off. Critics made a silly choice to go all tin-foil-hat instead of just doing what people usually do—attack recent performance.
Perspective
Risk Parity: The Dog That Did Not Bite
September 21, 2015
Commentators are blaming risk parity as a driving force behind August's equity market volatility. We think this is short-term silliness, and explain why we believe risk parity isn't the cause.
Perspective
Sin a Little
November 11, 2015
We apply value and momentum investing—which we believe to be the strongest empirical regularities in finance—to the age-old task of market timing, long been regarded by many as an investing sin. We find that investors may benefit from a modest amount of marketing timing.
Perspective
How Can a Strategy Everyone Knows About Still Work?
August 31, 2015
Some say that once a strategy is “discovered,” it can't work anymore. But certain classic strategies that have worked long-term can still work, though maybe differently than in the past.
Perspective
Response to Thomas Hoenig’s “Why ‘Risk-Based’ Capital Is Far Too Risky”
August 18, 2016
My colleagues have written a response to Thomas Hoenig's recent WSJ op-ed "Why 'Risk-Based' Capital Is Far Too Risky." Hoenig's recommended approach to managing leverage risk using a "simple" notional leverage limit reminds us of Einstein's famous purported comment to make things as simple as possible, but not simpler. The authors believe that Hoenig's approach fails to meet the Einstein test.