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Perspective

An Annual Article About Nothing

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

Perspective

Hedge Funds Search for Their Real Killers

After decades of being one of the very early hedge fund critics, Cliff Asness has recently (tepidly) defended hedge funds from overwrought attacks that wrongly compare them to a beta of 1.0 in a bull market.

Data Set

Commodities for the Long Run: Index Level Data, Monthly

We have updated the data set for the paper “Commodities for the Long Run”, in which we analyze a novel data set of commodity futures prices going back to 1877, allowing us to show that returns of commodity futures indices have, on average, been positive over the long run. We update the data monthly.

Data Set

Time Series Momentum: Factors, Monthly

We have updated and extended our data set for “Time Series Momentum" (Moskowitz, Ooi and Pedersen, 2012), in which we document an asset-pricing anomaly that is consistent across different asset classes and markets. We update the returns monthly.

Data Set

Time Series Momentum: Original Paper Data

This is the original data set for “Time Series Momentum" (Moskowitz, Ooi and Pedersen, 2012), in which we document an asset-pricing anomaly that is consistent across different asset classes and markets.

Perspective

Yes, Lever, but With Care

Conventional wisdom holds that sensible investors avoid leverage. Cliff Asness argues that, if prudently employed, portfolio leverage can be beneficial in modest doses, with proper concern for its dangers.

Data Set

An Academic-Quality Data Library for Practitioners

The data library contains historical and updated return series from the increasing roster of papers and indices associated with AQR.

Data Set

Commodities for the Long Run: Original Paper Data

This is the original data set used for our paper “Commodities for the Long Run”, in which we analyze a novel data set of commodity futures prices going back to 1877, allowing us to show that returns of commodity futures indices have, on average, been positive over the long run.

Journal Article

Commodities for the Long Run

This paper analyzes a novel data set of commodity futures prices between 1877-2015, allowing us to show that returns do vary significantly across business cycles but can add value to a diversified portfolio from an asset allocation perspective.

Perspective

Banter Is Coming

We have a lot of great topics and special guests coming up on season two of The Curious Investor.