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Expected Returns on Major Asset Classes
Can the art and science of investment management be reduced to a set of patterns that markets generally follow, in apparent violation of the efficient market hypothesis? Can investors reasonably expect to make money from the knowledge of these patterns, even after they have not only been identified but also widely exploited? Although one’s first guess might be that the answers to these questions are no, at least sometimes, the answer is yes.
- GenresFinanceNonfiction
182 pages, Kindle Edition
First published June 5, 2012
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August 31, 2019
Given the sober tone and seemingly serious people who gave this book such great commendations, I was surprised how thin and feeble the results in this book are.
The fundamental premise of their work is that markets are always the same—history will repeat itself, statistically, so all you have to do is look at what worked in the past.
My doubts extend to Asness and Lars Pedersen—i.e., throughout the quant investing industry. Chicago economics (and Harvard! and MIT) are good enough at façade work. But think critically about it. And do your own poking. (eg with MIDAS, eoddata/quandl, WRDS)
You might even watch Asness give his investment pitch to Mizzou undergrads. What kind of person is really good at speechifying and making himself into a roguish-yet-lovable character for uninformed audiences? My answer is, an AUM raiser—not a zero-beta pip hunter (who should be more comfortable at a terminal than on a stage).
I started having misgivings about their approach several years before AQR began posting losses. If you search out the right forums and know my usernames there, my comments will verify the timing.
The fundamental premise of their work is that markets are always the same—history will repeat itself, statistically, so all you have to do is look at what worked in the past.
My doubts extend to Asness and Lars Pedersen—i.e., throughout the quant investing industry. Chicago economics (and Harvard! and MIT) are good enough at façade work. But think critically about it. And do your own poking. (eg with MIDAS, eoddata/quandl, WRDS)
You might even watch Asness give his investment pitch to Mizzou undergrads. What kind of person is really good at speechifying and making himself into a roguish-yet-lovable character for uninformed audiences? My answer is, an AUM raiser—not a zero-beta pip hunter (who should be more comfortable at a terminal than on a stage).
I started having misgivings about their approach several years before AQR began posting losses. If you search out the right forums and know my usernames there, my comments will verify the timing.
Displaying 1 of 1 review