DIY Trend-Following Allocations: August 2023
Full exposure to domestic equities. Full exposure to international equities. Partial exposure to REITs. Partial exposure to commodities. No exposure to intermediate-term bonds.
Global Factor Performance: July 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Trend-Following Allocations: July 2023
Full exposure to domestic equities. Full exposure to international equities. No exposure to REITs. No exposure to commodities. No exposure to intermediate-term bonds.
Improving Performance by Avoiding Negatives of Index Replication
There are several significant, well-documented benefits of index funds. In addition to outperforming a large majority of actively managed funds, they tend to have low fees, low turnover (resulting in low trading costs and high tax efficiency), broad diversification, high liquidity, and near-zero tracking error (generally assumed to mean that they incur negligible trading costs).
Global Factor Performance: June 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Download
DIY Trend-Following Allocations: June 2023
Partial exposure to domestic equities. Full exposure to international equities. No exposure to REITs. No exposure to commodities. Partial exposure to intermediate-term bonds.
2023 Democratize Quant Conference Recap and Materials
We recently hosted our 6th Annual Democratize Quant Conference. This post is a recap of what we heard and some resources we can make available to the public.
Global Factor Performance: May 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Trend-Following Allocations: May 2023
Partial exposure to domestic equities. Full exposure to international equities. No exposure to REITs. No exposure to commodities. Partial exposure to intermediate-term bonds.
Democratize Quant 2023 is Live. Sign-up!
Eric Balchunas, Cliff Asness, Kai Wu, Que Nguyen, Corey Hoffstein
Global Factor Performance: April 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Trend-Following Allocations: April 2023
Partial exposure to domestic equities. Partial exposure to international equities. No exposure to REITs. No exposure to commodities. Partial exposure to intermediate-term bonds.
Call for speakers: Need quants with good ideas
This is an opportunity to get an all-expense paid trip (plus a stipend) to visit Australia! I'm sure one of our readers is qualified to deliver an excellent discussion for my friends in Melbourne.
Global Factor Performance: March 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Trend-Following Allocations: March 2023
No exposure to domestic equities. Partial exposure to international equities. No exposure to REITs. No exposure to commodities. No exposure to intermediate-term bonds.
Global Factor Performance: February 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Trend-Following Allocations: February 2023
Partial exposure to domestic equities. Partial exposure to international equities. No exposure to REITs. Partial exposure to commodities. No exposure to intermediate-term bonds.
Global Factor Performance: January 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Trend-Following Allocations: January 2023
No exposure to domestic equities. No exposure to international equities. No exposure to REITs. Partial exposure to commodities. No exposure to intermediate-term bonds.
Global Factor Performance: December 2022
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads