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Working Paper

Trading Costs

Using live trade data from a large institutional money manager over a 19-year period, we find actual trading costs to be an order of magnitude smaller than previous studies suggest.

Working Paper

Asset Tangibility, Macroeconomic Risks and the Diversification Discount

Some research says that conglomerates trade at a discount relative to a comparable group of companies focused on single lines of business, because investors want to diversify. But we find the "diversification discount" varies, and delve into why here.

Working Paper

Trading Costs of Asset Pricing Anomalies

We examine the trading costs, net-of-cost returns and break-even fund sizes of equity strategies designed to capture several of the main asset pricing anomalies documented in the literature.

Book

Optimization Methods in Finance

Modern finance has become increasingly technical, requiring the use of sophisticated mathematical tools in both research and practice.

White Paper

Not Risk Parity Funds

The source of the recent market disruption may not be fully understood yet, but we can reveal what it wasn’t.

Perspective

High-Frequency Derangement Syndrome

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

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

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

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

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.