4 citations · 4 across the 2 of their papers we have counts for
8 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…
How should you discount your backtest PnL?
Adam Rej, Philip Seager, Jean-Philippe Bouchaud
In-sample overfitting is a drawback of any backtest-based investment strategy. It is thus of paramount importance to have an understanding of why and how the in-sample overfitting…
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…
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…
Risk Premia: Asymmetric Tail Risks and Excess Returns
Y. Lempérière, C. Deremble, T. T. Nguyen +3
We present extensive evidence that ``risk premium'' is strongly correlated with tail-risk skewness but very little with volatility. We introduce a new, intuitive definition of skew…
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…