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Perspective

Efficient Inefficiency: The Oxymoron That Explains the Investing World

Lasse Pedersen's new book, Efficiently Inefficient, is almost too good at laying out how successful professional asset managers think and act.

Perspective

High-Frequency Derangement Syndrome

Commentators are still blaming the wrong strategies for the recent market rout.

Perspective

Efficient Frontier “Theory” for the Long Run

Financial theory has taken a lot of abuse recently, specifically some of the basic tenets of modern portfolio theory. We think it's better to step back and judge ideas over the long-term and we show why.

Perspective

The Active Manifesto Kerfuffle

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

2016 Beyond Equities: Still Boring

Cliff Asness unpacks an array of comments on his earlier post, “2016 Was Not a Particularly Volatile Year,” including reviewing volatility of a variety of asset classes during 2016.

Perspective

Please Stop Talking About the VIX So Much

It has become quite commonplace to note that the VIX (the CBOE Volatility Index) is currently very low and to worry about it. But Cliff tends to think there's less to worry about than most.

Perspective

Add More Fama to Your Portfolio

This entry is a book recommendation. The book is The Fama Portfolio and it should be on the shelf (after being read!) of any serious student of finance.

Perspective

2016 Was Not a Particularly Volatile Year

A lot of year-end commentary about financial markets in 2016 made it sound like a crazy year. It wasn’t—in fact, it was amazingly normal. This is true at least of the S&P 500, which is likely what many commentators are talking about.

Working Paper

Measuring Systemic Risk

We present a simple model of systemic risk and show how each financial institution’s contribution to systemic risk can be measured and priced—its propensity to be undercapitalized when the system as a whole is undercapitalized, which increases in its leverage, volatility, correlation, and tail-dependence.

Working Paper

The August of Our Discontent

The summer of 2007 caused some turmoil in the world of quantitative investing, leading to questions about quant investing in general and specific questions about what happened in July and August. We've tried to answer some of those questions here.