29 citations · 157 across the 16 of their papers we have counts for
6 papers · 1 filter
Equity Factors: To Short Or Not To Short, That Is The Question
Florent Benaych-Georges, Jean-Philippe Bouchaud, Stefano Ciliberti
What is the best market-neutral implementation of classical Equity Factors? Should one use the specific predictability of the short-leg to build a zero beta Long-Short portfolio, i…
The Case for Long-Only Agnostic Allocation Portfolios
Pierre-Alain Reigneron, Vincent Nguyen, Stefano Ciliberti +2
We advocate the use of Agnostic Allocation for the construction of long-only portfolios of stocks. We show that Agnostic Allocation Portfolios (AAPs) are a special member of a fami…
Portfolio Construction Matters
Stefano Ciliberti, Stanislao Gualdi
The role of portfolio construction in the implementation of equity market neutral factors is often underestimated. Taking the classical momentum strategy as an example, we show tha…
Black was right: Price is within a factor 2 of Value
J. P. Bouchaud, S. Ciliberti, Y. Lempérière +3
We provide further evidence that markets trend on the medium term (months) and mean-revert on the long term (several years). Our results bolster Black's intuition that prices tend…
The Excess Returns of "Quality" Stocks: A Behavioral Anomaly
Jean-Philippe Bouchaud, Stefano Ciliberti, Augustin Landier +2
This note investigates the causes of the quality anomaly, which is one of the strongest and most scalable anomalies in equity markets. We explore two potential explanations. The "r…
Deconstructing the Low-Vol Anomaly
S. Ciliberti, Y. Lempérière, A. Beveratos +4
We study several aspects of the so-called low-vol and low-beta anomalies, some already documented (such as the universality of the effect over different geographical zones), others…