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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
Our Model Goes to Six and Saves Value From Redundancy Along the Way
December 17, 2014
Fama and French’s recent five factor model impressively summarizes the known field of factors. However, it leaves out momentum. We believe it's absolutely compelling to add momentum back, creating a better six factor model.
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
Quibble Fight!
December 3, 2015
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.
Bibliography
Style Bibliography
May 13, 2015
We have compiled a list of books, journal articles and working papers that were helpful in developing our research around style investing.
Perspective
The Small-Firm Effect Is Real, and It's Spectacular
January 23, 2015
Many have questioned whether size matters. In our research, we resurrect the size effect and find that it matters as much as such stalwarts as value and momentum.
Perspective
The Active Manifesto Kerfuffle
September 2, 2016
A Sanford Bernstein research note on the evils of indexing kick-started valuable discussions in the world of finance, but it missed something important: Free riding on price signals may be the most important feature of capitalism.
Perspective
The August of Our Discontent: Once More Unto the Breach?
August 7, 2017
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.
Book
Expected Returns on Major Asset Classes
January 5, 2012
Expected returns are arguably the most important input into investment decisions. By broadening the traditional paradigm of expected return estimation, we think investors have the ability achive better-diversified portfolios and more forward-looking analysis.