AQR's Quality at a Reasonable Price

Our intrepid equity researchers at AQR have come out with a new paper adding to the color on how to pick a strategy given value consideratio...

Economath and the Drake Equation

There were several posts last week on the hypothesis that there's too much emphasis on mathematical modeling in modern economics.  Most ...

Is The Low Vol Anomaly Really a Skew Effect?

The idea that low volatility stocks have higher returns than high volatility stocks is difficult for economists to digest, because it's ...

Now Not the Time to Value-Tilt Low Vol

Every week, a low volatility researcher has the same epiphany: tilt low volatility towards value.  This addresses two pressing issues simu...

On the Inverse Correlation between Expected Risk and Return

Imagine a world where expected returns are solely a function of covariances as standard theory implies. Then for assets with specific covar...