4 papers
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…
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…
Trends and Risk Premia: Update and Additional Plots
Tung-Lam Dao, Daniel Hoehener, Yves Lempérière +3
Recently, our group has published two papers that have received some attention in the finance community. One is about the profitability of trend following strategies over 200 years…
You are in a drawdown. When should you start worrying?
Adam Rej, Philip Seager, Jean-Philippe Bouchaud
Trading strategies that were profitable in the past often degrade with time. Since unlucky streaks can also hit "healthy" strategies, how can one detect that something truly worryi…