Momentum
Index roundup: Nomura launches momentum index
Momentum strategy delivers good skew, says Nomura; S&P Dow Jones Indices launches Givi sharia indexes; MSCI expands economic exposure series; FTSE indexes deliver sensitivity to economic cycle
Momentum strategies are rooted in observable market phenomena and tend to perform well in times of financial stress, says AHL’s chief scientist.
An analysis of commodity indexes shows third-generation indexes accurately take into account the fundamentals of commodity futures markets by going long backwardated assets and short contangoed ones.
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Momentum articles
FX hedge funds rethink strategies as returns fall
A decline in carry and momentum returns is forcing FX hedge funds to rethink their strategies. Some question if currency managers can still deliver attractive returns in an era of low beta returns.
Saemor Europe Alpha Fund: Saemor Capital
Winner: Best equity market neutral hedge fund
CTAs turn to fundamental models in search of diversification
A growing number of commodity trading advisers (CTAs) believe fundamental strategies can help improve the return profile of trend-following managed futures programs.
News analytics holds promise of alpha for hedge funds traders
Recent breakthroughs in natural language processing and other forms of unstructured data could transform news and social media content into a source of alpha for hedge fund traders.
Hedging pressure-based long/short commodity strategy used for third...
Edhec has constructed a long/short commodity strategy capturing the risk premium in commodity futures markets and that can be used to design a third generation commodity index.
2100 Xenon Long/Short Global Fixed Income Program: 2100 Xenon Group
2100 Xenon's fixed income program does well in volatile markets. The investment premise is that financial markets are structurally inefficient and price behaviour is driven by global liquidity flows.
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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