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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

Lies, Damned Lies, and Data Mining

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

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

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

Cliff examines a popular front-page New York Times article covering the top hedge fund earners.

Perspective

Putting Parity Performance Into Perspective

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

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

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?

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”

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.