AQR's Asness on Fama on Momentum
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This is like having your parents argue in front of you.
Fama on Momentum
AQR/Asness - You Can Have Your Momentum Factor and Eat it Too
The latest from AQR’s Cliff Asness. As Cliff says himself: The Momentum Factor: Its Not Just For Breakfast AnymoreOh, and it survives t-costs, and studies that say it doesn’t are just poorly done nonsense. ... 20it%20Too
How Cliff Asness Became A Billionaire By Building A Kind Of Vanguard Of Hedge Funds
For those interested in a little background on AQR. It does seem to me that Asness is a huge fan of Vanguard/Bogle for beta and he wants the rest. A good plan so far. ... b5759023a4 AQR’s products feature rules-based systems that trade assets and clai...
Jack Bogle's fondness for Cliff Asness
In today's WSJ, there is a nice tribute to Jack Bogle and indexing.Article Title: Jack Bogle: The Undisputed Champion of the Long Run In that article, there is mention of Cliff Asness and his AQR Capital M...
Cliff Asness's Alternative Funds Top Rivals With 17% Returns
Overview of the run that AQR has been on as of late. Here are a few snippets. ... 17-returns “AQR is the poster child for a hedge fund firm finding success in mutual funds,” said Bradley Alford, founder of Alpha Capital Funds Management, who owns a nu...
Some articles by Asness et al.
May be of interest to some - and IMO worth a (re-)read.Efficient Frontier “Theory” for the Long Run How Can a Strategy Still Work If Everyone Knows About It? It’s Not Data Mining – Not Even Close Fact, Fiction, and Value Investing Fact, Fiction, and Momentum Investing Robert.
Cowen interviews Asness
Cliff Asness of AQR is always interesting, e.g., “I will never get an economic law named after me. I gave that up when I went to try to make money. If I got one, I’d want it to be: There’s no investment process so good that there’s not a fee high enough that can make it bad.”Plus discussions of...
Cochrane/Grumpy Economist on AQR Momentum Strategies
Here is a nice blog post summarizing a new Cliff Asness paper: ... entum.html Some "Myths,"Myth #1: Momentum returns are too “small and sporadic”. Like any factor, it's not an aribtrage opportunity.Myth #2: Momentum cannot be captured by long-only in...
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