“As an example — for a fund that is 10% long stocks and 90% cash, the beta of the fund is 0.1, but the correlation to stocks is 1.0 as stocks drive all the variability (in excess returns).”
“Well, we believe risk parity simply isn’t big enough to generate the level of trading necessary to create very large market gyrations and most certainly not to the degree witnessed recently.”
“As Fama and French’s all-but-dissertation student at the time, I went into a semi-panic when I saw Fischer thanked me on his harsh rebuke of their work.”
"Ultimately, we believe the rise of hedge fund betas will lead not only to the reclassification of alpha, but also to better-diversified portfolios with greater transparency, improved risk control, and – perhaps most importantly – higher net returns."
Please Stop Talking About the VIX So Much
A Fanatic is One Who Can't Change his Mind and Won't Change the Subject
Betting Against Correlation
Turning Over Accepted Wisdom with Turnover
Hedging on Hedge Funds (postscript on correlations, beta, and “alpha”)
Fama on Momentum
Sin a Little
Don't Go for the Exacta
Risk Parity: The Dog That Did Not Bite
It’s Not Data Mining — Not Even Close
AQR Capital Management
Yes, Lever, but With Care
Our Model Goes to Six and Saves Value From Redundancy Along the Way
Efficient Frontier “Theory” for the Long Run
Data Sets
Hedge Funds: The (Somewhat Tepid) Defense
Cliff's Perspectives
AQR Capital Management