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Webinar

Superstar Investors Webinar Replay Now Available

There has been little empirical analysis to explain the performance of "superstar" investors Warren Buffett, Bill Gross, George Soros and Peter Lynch. In this webinar, we examine their track records from a factor perspective.

Perspective

Quibble Fight!

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.

Perspective

The Small-Firm Effect Is Real, and It's Spectacular

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

Quant Cassandra

If all of us, as investors, can persevere, we believe the long-term benefits are great. But even knowing all this in advance doesn’t make it easy. Hopefully, this reminder of what we all knew sixteen long months ago is helpful.

Perspective

Smart Beta: Not New, Not Beta, Still Awesome

Cliff Asness argues that the term “smart beta” (including “Fundamental Indexing”) is just a new way to describe some well-known and well-tested (yet still valuable) investment ideas.

Perspective

A Fanatic is One Who Can't Change his Mind and Won't Change the Subject¹

Ciff Asness critiques Rob Arnott’s strong viewpoints that rising valuations are responsible for the past performance of many factors and that their current valuation levels point to their impending doom.

Perspective

The Valuesburg Address

One score and eight years ago Fama and French brought forth on this world, a new factor, conceived in either risk or behavioral effects, and dedicated to the proposition that all portfolios are not created equal. Now we are engaged in a great drawdown, testing whether investors in that factor, or any factor so conceived and so dedicated, can long endure…

Perspective

My Factor Philippic

Cliff critiques Arnott, et. al. (2016) and emprically shows why one should be wary of agressive factor timing. Instead, investors should identify factors they believe in, and stay diversified across them, unless valuations get far more extreme

Perspective

Resisting the Siren Song of Factor Timing

It seems that now everyone wants to time factors. In his JPM editorial piece, Cliff argues that investors should resist this siren song.

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