Enterprising Investor
Practical analysis for investment professionals

Cliff Asness


Equity Risk Premium Forum: MMT, Looking Back, Looking Ahead

"There’s one aspect of MMT that I have some sympathy for: the notion that what we spend money on is far more important than how we finance it." — Cliff Asness

Equity Risk Premium Forum: The Stock/Bond Correlation Switch-Up

"Has the hedge property overtaken the investment property of fixed-income assets?"

Equity Risk Premium Forum: Gloom Looms?

“How many here think the next 10-year equity returns are going to be below the long-run average? I certainly do. Is there anyone here who doesn’t?”

Equity Risk Premium Forum: The Deficient Market Hypothesis

"If we thought of the equity premium as a fear premium," Rob Arnott says, "a lot of the so-called anomalies that we’ve talked about would not be anomalies at all."

Equity Risk Premium Forum: Don’t Bet Against a Bubble?

Cliff Asness, Rob Arnott, Roger G. Ibbotson, and other luminaries explore the nature of bubbles and the momentum factor.

Book Review: 20 for Twenty

All investment practitioners could profit handsomely, both intellectually and professionally, from studying any of the articles in this volume.

Weekend Reads for Investors: “The Most Crowded Trade”

The economic backdrop figures prominently in the chatter among investment strategists of late as they debate the sustainability of the “decoupling” of the US economy from sluggishness in the rest of the world. Bank of America Merrill Lynch strategists have called the decoupling trade — long US stocks and the dollar — “the most crowded trade in the world.” As US stocks hover near all-time highs, those with a contrarian bent may be receptive to the latest missive from Joe Calhoun. In "Is It Time to Zig?" he suggests investors might want to look outside of the United States for opportunities.

Weekend Reads for Investors: Volatility and the “Yellen Put”

Up until last week’s wild ride for stocks, volatility had been largely absent from the market, but the cumulative effect of ongoing geopolitical chaos, spreading Ebola anxiety, and uninspiring economic data, combined with the rumored unwinding of some leveraged positions by hedge funds, at least temporarily jolted global equity markets. Complacency was quickly replaced with panic and we got a reminder of what happens when everyone heads for the exit at the same time.

Weekend Reads for Investors: Momentum Matters

The momentum effect in investing refers to the tendency of stocks and other financial assets to show persistence in their relative performance. Despite convincing data, momentum hasn’t been widely embraced as an investment strategy.



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