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Perspective
A Fanatic is One Who Can't Change his Mind and Won't Change the Subject¹
July 16, 2017
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.
Webinar
Superstar Investors Webinar Replay Now Available
December 13, 2016
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.
Alternative Thinking
The Role of Alternative Beta Premia
3Q 2012
Alternative beta premia—dynamic long-short strategies—offer effective diversified sources of return. To us, the most useful classifications are hedge fund strategy premia and style premia, two complementary approaches
Alternative Thinking
Style Premia / Bond Returns
3Q 2013
We review how style premia have historically generated attractive long-run returns in virtually every place we have studied them, and may help reduce risk through better diversification. We then look at fixed income returns in different environments
Trade Publication
Smart Beta: Not New, Not Beta, Still Awesome
September 10, 2014
Though some confusion continues regarding the subject, the term “smart beta” (including “Fundamental Indexing”) is just a new way to describe some well-known and well-tested investment ideas.
Trade Publication
Measuring Portfolio Factor Exposures: A Practical Guide
March 2, 2016
Regression analysis can help investors better understand the risk factors present in their portfolios, which has multiple benefits.
Trade Publication
We're Not Dead Yet
November 12, 2008
Some argue that quantitative investing techniques cannot work in the uncharted waters of the current market environment.
Trade Publication
How Can a Strategy Still Work If Everyone Knows About It?
October 15, 2015
Some people assert that once a strategy is “discovered” it can’t work anymore. Others, often implicitly, assume the future will look as wonderful as the past.
Trade Publication
Style Investing: The Long and the Long/Short of It
January 2, 2014
Many investors agree that applying systematic tilts away from a passive, capitalization-weighted portfolio is a good idea; fewer agree on how best to capture these style-based returns.
Trade Publication
Alpha Transfer in a Hedge Fund World
January 1, 2002
In theory, portable alpha is a good idea.