Keep spare risk capacity – rather than running close to limits – to exploit crises, researchers advise
This paper studies the problem of optimal trading using general alpha predictors with linear costs and temporary impact.
This paper analyzes empirical data for 4000 real-life trading portfolios with holding periods of about 0.7-19 trading days.
Alternative way to judge manager performance provides useful tool for risk managers
Advances in understanding of networks hold potential for new trading strategies for hedge funds
This paper identifies a number of structural inefficiencies in the US small-cap equity market that may be exploited to generate alpha.
The four papers in this issue are devoted to analyzing the design and performance of portfolio optimization methodologies, the construction of trend-following strategies, and multi-asset indexing solutions.
This paper discusses aspects of optimizing weights for alpha streams (by alpha streams the author means a sequence of predictions of expected returns for each asset given by different models employed by portfolio managers).
Tail-risk skewness, rather than volatility, is correlated with risk premiums
Historical composite data unreliable for extrapolating returns
But “cutting out the middleman” leaves room for co-investing
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Putting theory into practice
The UFR curve conundrum
Rising grain prices resulting from drought conditions in the US prompt unwinding of positions as banks work to add additional signals into alpha strategy algorithms