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Perspective
High-Frequency Derangement Syndrome
February 8, 2018
Commentators are still blaming the wrong strategies for the recent market rout.
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
Wild but Not Crazy
February 15, 2018
Just how volatile was the recent market ride? Cliff Asness puts the volatility into perspective in terms of both its absolute and surprise levels.
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.
Journal Article
Triggering the 1987 Stock Market Crash
September 1, 1989
On Wednesday, October 14, 1987, the U.S. stock market began the most extreme one-week decline in its history, culminating in the crash on Monday, October 19, when the Dow Jones Industrial Average fell 508 points (22.6%).
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
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
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.
Journal Article
Do Asset Fire Sales Exist?
June 1, 1998
Financially distressed airlines can enter a vicious cycle when circumstances compel them to liquidate their fleets in the midst of an industry slump.
Journal Article
How Index Trading Increases Market Vulnerability
March 1, 2012
Passively managed index funds and exchange-traded funds (ETFs) have experienced accelerating growth in recent decades.