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
Sponsored Q&A: Broadridge Investment Management Solutions
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
The alpha trackers
The third generation
Seeking performance while at the same time increasingly needing to control risk makes smart beta thematic index approaches such as low volatility, minimum variance and risk-weighted strategies increasingly appealing to institutional investors allocating...
Index providers and fund managers who have tended to focus on performance are seeing demand from investors for strategy indexes that focus on risk
Risk awards 2012