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Re: Low volatility anomaly. I think it would help for there to be specification as to how the timeframes observed compare. For example, the video slide notes for "P2.T8. Risk Management & Investment Management Andrew Ang, Asset Management: A Systematic Approach to Factor Investing Alpha" pg 5...

A comment on the momentum factor. To me I think there are two ways to think of momentum-- one is pure price momentum as an independent factor (as in the FF-Carhart Model). The other way to consider momentum is it being itself a bundle of factor momentum, and not distinct. The time series of most...

Re: diminishing small-cap premia. This is merely conjecture; however, I feel the pickup in M&A activity for small and mid-sized businesses in the 80s/90s, and then the tendency for smaller firms to stay private post-SARBOX have contributed greatly to an environment unfavorable for US domestic...

There is something rather sloppy about saying price volatility being a macro-economic 'factor' parallel to growth and inflation. To me volatility is a proxy for risk, but it also encompasses market microstructure (liquidity, behavior of market makers who engage in what some might say...

The more I learn about Basel and this history of Basel, the more I realize they are a big part of the problem. They don't have any appreciation for root causes. Elegance and parsimony are not words in their dictionary. It's all overly taxonomical, and obsessed with lists. The solutions are...