1.
Understanding Modern Portfolio Construction
Number of pages: 46
Posted: 03 Mar 2016
Last Revised: 22 Sep 2016
Working Paper Series
Orcam Financial Group
Downloads
24,509
2.
…and the Cross-Section of Expected Returns
Number of pages: 101
Posted: 17 Apr 2013
Last Revised: 21 Apr 2015
Working Paper Series
Duke University - Fuqua School of Business, Purdue University and University of Oklahoma
Downloads
19,126
3.
Building Diversified Portfolios that Outperform Out-of-Sample
Journal of Portfolio Management, 2016; https://doi.org/10.3905/jpm.2016.42.4.059.
Number of pages: 31
Posted: 17 Jul 2019
Last Revised: 17 Jul 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
16,391
4.
Mean-Reversion and Optimization
Journal of Asset Management 16(1) (2015) 14-40
Number of pages: 41
Posted: 11 Aug 2014
Last Revised: 15 Feb 2016
Accepted Paper Series
Quantigic Solutions LLC
Downloads
16,079
5.
Reducing Retirement Risk with a Rising Equity Glide-Path
Number of pages: 19
Posted: 13 Sep 2013
Working Paper Series
The American College for Financial Services and The Kitces Report & Nerd's Eye View
Downloads
12,437
6.
The Probability of Backtest Overfitting
Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 34
Posted: 16 Sep 2013
Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
There are 2 versions of this paper
The Probability of Backtest Overfitting
Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 34
Posted: 16 Sep 2013
Last Revised: 05 Jul 2015
Downloads
11,562
The Probability of Backtest Overfitting
Journal of Computational Finance, Forthcoming
Number of pages: 31
Posted: 21 Sep 2016
Downloads
1
Downloads
11,562
7.
Fact, Fiction, and Value Investing
Published in Journal of Portfolio Management, Fall 2015, Vol. 42, No. 1
Number of pages: 31
Posted: 05 Jul 2017
Last Revised: 07 Jul 2017
Accepted Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads
10,950
8.
Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors
Number of pages: 84
Posted: 02 Jan 2019
Last Revised: 05 Feb 2021
Working Paper Series
University of Chicago - Booth School of Business, Inalytics Limited, University of Chicago - Booth School of Business and MIT Sloan School of Management
Downloads
9,702
9.
The Alpha Engine: Designing an Automated Trading Algorithm
High Performance Computing in Finance, Chapman & Hall/CRC Series in Mathematical Finance, 2017
Number of pages: 29
Posted: 12 Apr 2017
Last Revised: 03 May 2017
Working Paper Series
Flov technologies, Department of Banking and Finance, UZH and Lykke Corp
Downloads
9,520
10.
Deep Learning for Finance: Deep Portfolios
Applied Stochastic Models in Business and Industry 33 (1), 3-12.
Number of pages: 15
Posted: 14 Sep 2016
Last Revised: 29 Apr 2019
Accepted Paper Series
One Hat Research LLC, University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads
8,969
11.
Explaining the Recent Failure of Value Investing
NYU Stern School of Business
Number of pages: 29
Posted: 28 Aug 2019
Last Revised: 31 Mar 2020
Working Paper Series
New York University - Stern School of Business and University of Calgary - Haskayne School of Business
Downloads
8,729
12.
Performance v. Turnover: A Story by 4,000 Alphas
The Journal of Investment Strategies 5(2) (2016) 75-89, Invited Investment Strategy Forum Paper
Number of pages: 17
Posted: 10 Sep 2015
Last Revised: 22 Mar 2016
Accepted Paper Series
Quantigic Solutions LLC and WorldQuant LLC
Downloads
8,376
13.
A Simplified Perspective of the Markowitz Portfolio Theory
Global Journal of Business Research, v. 7 (1) pp. 59-70, 2013
Number of pages: 12
Posted: 29 Jan 2013
Accepted Paper Series
Swiss Management Centre University (Switzerland)
Downloads
8,020
14.
Momentum and Markowitz: A Golden Combination
Number of pages: 34
Posted: 16 May 2015
Last Revised: 05 Jun 2015
Working Paper Series
VU University Amsterdam, ReSolve Asset Management and QuantStrat TradeR
Downloads
7,652
15.
Reports of Value’s Death May Be Greatly Exaggerated
Number of pages: 38
Posted: 02 Dec 2019
Last Revised: 04 Feb 2021
Working Paper Series
Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates Global Advisors and Dartmouth College - Tuck School of Business
Downloads
7,624
16.
An Intermarket Approach to Tactical Risk Rotation: Using the Signaling Power of Treasuries to Generate Alpha and Enhance Asset Allocation
2014 Wagner Award, 3rd Place Updated Through November 30, 2020
Number of pages: 21
Posted: 01 May 2014
Last Revised: 20 Jan 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads
7,538
17.
Machine Learning in Asset Management
JFDS: https://jfds.pm-research.com/content/2/1/10
Number of pages: 65
Posted: 18 Jul 2019
Last Revised: 23 Jun 2020
Working Paper Series
The Alan Turing Institute
Downloads
7,428
18.
The Global Multi-Asset Market Portfolio 1959-2012
Financial Analysts Journal, Forthcoming
Number of pages: 32
Posted: 12 Nov 2013
Last Revised: 03 Dec 2014
Accepted Paper Series
Independent, Rabobank and Erasmus University Rotterdam (EUR)
Downloads
7,209
19.
Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits
Number of pages: 24
Posted: 08 Apr 2016
Last Revised: 13 Apr 2016
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads
7,171
20.
Generalized Momentum and Flexible Asset Allocation (FAA): An Heuristic Approach
Number of pages: 19
Posted: 25 Dec 2012
Last Revised: 16 Jan 2015
Working Paper Series
VU University Amsterdam and Flex Capital BV
Downloads
6,944
21.
Lumber: Worth Its Weight in Gold Offense and Defense in Active Portfolio Management
2015 NAAIM Founders Award Winner
Updated Through November 30, 2020
Number of pages: 20
Posted: 11 May 2015
Last Revised: 14 Feb 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads
6,759
22.
Strategic Asset Allocation: The Global Multi-Asset Market Portfolio 1959-2011
Number of pages: 22
Posted: 03 Nov 2012
Working Paper Series
Independent, Rabobank and Erasmus University Rotterdam (EUR)
Downloads
6,745
23.
Risk Budgeting and Diversification Based on Optimized Uncorrelated Factors
Number of pages: 18
Posted: 11 Aug 2013
Last Revised: 11 Nov 2015
Working Paper Series
ARPM - Advanced Risk and Portfolio Management, FinScience and IESEG School of Management
Downloads
6,663
24.
Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less
Number of pages: 37
Posted: 19 Jul 2017
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads
6,366
25.
Sharpening the Arithmetic of Active Management
Financial Analysts Journal, 2018, 74 (1): 21-36
Number of pages: 23
Posted: 07 Oct 2016
Last Revised: 23 Feb 2018
Working Paper Series
AQR Capital Management, LLC
Downloads
6,366
26.
Factor Investing in the Corporate Bond Market
Financial Analysts Journal, 2017, Vol. 73, No. 2
Number of pages: 49
Posted: 31 Oct 2014
Last Revised: 13 Feb 2017
Accepted Paper Series
Robeco Investment Research and BlueCove Limited
Downloads
6,225
27.
The 7 Reasons Most Econometric Investments Fail (Presentation Slides)
Number of pages: 39
Posted: 23 Apr 2019
Last Revised: 16 Sep 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
6,141
28.
Backtesting
Number of pages: 32
Posted: 27 Oct 2013
Last Revised: 30 Jul 2015
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads
6,081
29.
An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization
Algorithms, 6(1), pp.169-196, 2013
Number of pages: 29
Posted: 08 Jan 2013
Last Revised: 02 Jan 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads
5,776
30.
Why and How Investors Use ESG Information: Evidence from a Global Survey
Financial Analysts Journal, 2018, Volume 74 Issue 3, pp. 87-103.
Number of pages: 41
Posted: 02 Mar 2017
Last Revised: 06 Feb 2020
Working Paper Series
University of Oxford - Said Business School and Harvard Business School
Downloads
5,532
31.
Quant Bust 2020
World Economics 21(2) (2020) 183-217
Number of pages: 29
Posted: 07 Apr 2020
Last Revised: 24 Jul 2020
Accepted Paper Series
Quantigic Solutions LLC
Downloads
5,477
32.
Ten Financial Applications of Machine Learning (Seminar Slides)
Number of pages: 27
Posted: 18 Jun 2018
Last Revised: 27 Feb 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
5,409
33.
A Practical Guide to Quantitative Portfolio Trading
Number of pages: 842
Posted: 31 Dec 2014
Last Revised: 19 Nov 2015
Working Paper Series
Université Paris VI Pierre et Marie Curie
Downloads
5,251
34.
On Origins of Alpha
The Hedge Fund Journal 108 (2015) 47-50
Number of pages: 8
Posted: 08 Mar 2015
Last Revised: 05 Nov 2015
Accepted Paper Series
Quantigic Solutions LLC
Downloads
5,144
35.
The Value Premium
Fama-Miller Working Paper No. 20-01
Number of pages: 20
Posted: 27 Jan 2020
Last Revised: 30 Jan 2020
Working Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads
5,099
36.
LEGO - The Toy of Smart Investors
Number of pages: 27
Posted: 17 Dec 2018
Working Paper Series
National Research University Higher School of Economics and RB Partners
There are 2 versions of this paper
Lego - The Toy of Smart Investors
Higher School of Economics Research Paper No. WP BRP 80/FE/2020
Posted: 17 Sep 2020
Downloads
5,094
37.
A Century of Generalized Momentum; From Flexible Asset Allocations (FAA) to Elastic Asset Allocation (EAA)
Number of pages: 32
Posted: 31 Dec 2014
Last Revised: 21 Jan 2015
Working Paper Series
VU University Amsterdam and ReSolve Asset Management
Downloads
5,011
38.
Is Gold a Hedge or a Safe Haven? an Analysis of Stocks, Bonds and Gold
Number of pages: 29
Posted: 19 Dec 2006
Last Revised: 01 Sep 2015
Working Paper Series
University of Western Australia - Business School and Trinity Business School, Trinity College Dublin
There are 2 versions of this paper
Is Gold a Hedge or a Safe Haven? an Analysis of Stocks, Bonds and Gold
Number of pages: 29
Posted: 19 Dec 2006
Last Revised: 01 Sep 2015
Downloads
4,869
Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold
Financial Review, Vol. 45, Issue 2, pp. 217-229, May 2010
Number of pages: 13
Posted: 12 Apr 2010
Downloads
3
Downloads
4,869
39.
Building Diversified Portfolios That Outperform Out-of-Sample (Presentation Slides)
Number of pages: 33
Posted: 11 Jan 2016
Last Revised: 14 Aug 2016
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
4,742
40.
Rebalancing Risk
Number of pages: 34
Posted: 30 Aug 2014
Last Revised: 04 Oct 2014
Working Paper Series
Man AHL, Independent, Duke University - Fuqua School of Business, Man Group plc and Man - AHL
Downloads
4,584
41.
Asset Valuations and Safe Portfolio Withdrawal Rates
Number of pages: 17
Posted: 28 Jun 2013
Last Revised: 01 Jul 2013
Working Paper Series
Morningstar Investment Management, The American College and The American College for Financial Services
Downloads
4,492
42.
Value Investing: Requiem, Rebirth or Reincarnation?
Number of pages: 34
Posted: 12 Feb 2021
Working Paper Series
Anderson Graduate School of Management, UCLA and New York University - Stern School of Business
Downloads
4,441
43.
Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy
Number of pages: 28
Posted: 05 Jan 2013
Working Paper Series
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads
4,424
44.
Decoding Stock Market with Quant Alphas
Journal of Asset Management 19(1) (2018) 38-48
Number of pages: 20
Posted: 10 May 2017
Last Revised: 09 Feb 2018
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads
4,404
45.
Patient Capital Outperformance: The Investment Skill of High Active Share Managers Who Trade Infrequently
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 70
Posted: 21 Sep 2014
Last Revised: 21 Jul 2016
Accepted Paper Series
University of Notre Dame and University of Nevada, Las Vegas - College of Business
Downloads
4,401
46.
Heterotic Risk Models
Wilmott Magazine 2015(80) (2015) 40-55
Number of pages: 41
Posted: 30 Apr 2015
Last Revised: 25 Jan 2016
Accepted Paper Series
Quantigic Solutions LLC
Downloads
4,252
47.
The Best of Strategies for the Worst of Times: Can Portfolios be Crisis Proofed?
Number of pages: 26
Posted: 31 May 2019
Working Paper Series
Duke University - Fuqua School of Business, Man AHL, Man Group plc, Man AHL, Man Numeric and Man AHL
Downloads
4,082
48.
Challenging the Conventional Wisdom on Active Management: A Review of the Past 20 Years of Academic Literature on Actively Managed Mutual Funds
Financial Analysts Journal, Vol. 75, No. 4 (Fourth Quarter 2019)
Number of pages: 50
Posted: 14 Sep 2018
Last Revised: 30 Oct 2019
Working Paper Series
University of Notre Dame, University of Dayton and University of Arkansas - Department of Finance
Downloads
4,041
49.
Low-Risk Investing Without Industry Bets
Number of pages: 27
Posted: 03 May 2013
Last Revised: 10 May 2013
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads
3,963
50.
Optimal Portfolios for the Long Run
Number of pages: 26
Posted: 06 Sep 2013
Last Revised: 05 Feb 2014
Working Paper Series
Morningstar Investment Management, The American College and The American College for Financial Services
Downloads
3,810
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