186 citations · 227 across the 4 of their papers we have counts for
4 papers · 1 filter
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…
Agnostic Risk Parity: Taming Known and Unknown-Unknowns
Raphael Benichou, Yves Lempérière, Emmanuel Sérié +4
Markowitz' celebrated optimal portfolio theory generally fails to deliver out-of-sample diversification. In this note, we propose a new portfolio construction strategy based on sym…
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…
Two centuries of trend following
Y. Lempérière, C. Deremble, P. Seager +2
We establish the existence of anomalous excess returns based on trend following strategies across four asset classes (commodities, currencies, stock indices, bonds) and over very l…