Cross-sectional stock volatility lifts value factor
Dispersion in returns makes for ‘double alpha’
In a year when mainstream markets tumbled, quants say scattered valuations across stocks have contributed to the success of one investment style in particular – value.
So-called 60/40 portfolios, a mixture of stocks and bonds, are facing the worst returns for a century, according to analysts at Bank of America Global Research.
Statistical arbitrage hedge fund QuantZ’s ValMo (value plus momentum)
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Investing
Middle East crisis revives demand for VKOs – with a twist
Equity investors balance fear and optimism by pairing 2022’s best hedge with lookback options
In the age of GenAI, why do we still need good models?
Jean-Philippe Bouchaud says models can guide artificial intelligence through regime shifts and away from overfitting
Iran confusion makes the case for causal modelling
A new test model built using Claude suggests oil prices may surge back above $100
The MIT professor giving LLMs a ‘brain scan’
Hui Chen’s research is yielding new ways to interpret – and steer – AI models
Russell’s flexi hedging aims to tame jumpy yen
Japanese clients can dynamically switch hedging profile based on USD/JPY movements
Credit market maths seems not to add up
Today’s investors would appear to be better off buying ‘riskier’ debt
How the Iran war wreaked havoc on consensus US rates trades
Hedge fund steepeners, swap spreads and vol-selling strategies were hit as conflict forced stop-outs during March
Vida portfolio solutions on J.P. Morgan Markets
J.P. Morgan’s Vida portfolio solutions are being applied across financing and portfolio management, reflecting a shift towards more scalable, integrated investment infrastructure
