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Perspective
Efficient Inefficiency: The Oxymoron That Explains the Investing World
May 5, 2015
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
February 8, 2018
Commentators are still blaming the wrong strategies for the recent market rout.
Perspective
Efficient Frontier “Theory” for the Long Run
December 10, 2014
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
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
2016 Beyond Equities: Still Boring
January 10, 2017
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
July 30, 2017
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
October 26, 2017
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
January 4, 2017
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
April 23, 2010
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
September 21, 2007
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.