Cliff Asness - "...But Not So Open Your Mind Falls Out" (S3E13)
Flirting with Models
Is There a Line Between Craftsmanship and Alpha?
We call craftsmanship. This term comes from a paper my colleagues wrote. They know this so this won't surprise them. I hate the term and told them I think it's very pretentious title. But we think of craftsmanship as all right you believe in value. Do you diversify across many factors or do you stick with the one you think is best? You can't do equal weight in any size for very small stocks. Signal weighting which is even more extreme which goes proportional to how strong the value signal is. Cap weighting which has the ultimate liquidity. How efficiently can you trade? That's not economics. That's something you work at and you get better at.
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