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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
Hedge Funds Search for Their Real Killers
October 21, 2016
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
October 3, 2018
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
June 28, 2019
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
February 27, 2018
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
February 13, 2015
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
October 5, 2017
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
October 3, 2018
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
October 20, 2016
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
May 29, 2019
We have a lot of great topics and special guests coming up on season two of The Curious Investor.