An argument is presented connecting the Kullback-Liebler divergence between a mutual fund variety (long only and unit leverage) allocation and its benchmark to the active management of the allocation. Active management defined this way represents the amount of information, measured in bits or...

This paper examines the ability of futures on the CBOE Volatility Index (VIX) to predict realized S&P 500 volatility up to seven months into the future. These forecasts are found to be significantly biased. The imposition of a priori theoretically motivated restrictions can substantially improve...

This paper finds that factor based risk parity portfolios are able to outperform other standard asset allocation approaches, including 60/40 and long-only risk parity. By using a group of factors which have negligible correlations with each other and the market, this portfolio generates a stable...