Investment strategies
Finland’s Ilmarinen goes back to basics
Talking Heads: Once one of the few funds that would enter bank risk recycling trades, recent overcrowding has seen it pivot to listed equities
Delving into the investment psyche: investigating the determinants influencing individual investors’ decision-making
Premialab adopts CDM for QIS swap booking
Optimal time-consistent reinsurance and investment strategies for multiple dependent types of insurance business and a unified investment framework
Equity vol convexity selling gains momentum
Risky hedging strategy is attracting interest but can investors learn from past convexity blow-ups?
In pursuit of portfolio performance: buy-side firms adopt new technologies and strategies
Industry experts discuss the challenges in adapting to data-driven strategies, and the need for transparency and new technologies to navigate uncertainties and optimise performance
FX books bulge in quant investment field
Carry strategies attract bulk of interest; banks eye growth in volatility, intraday and emerging market replication
Execs can game sentiment engines, but can they fool LLMs?
Quants are firing up large language models to cut through corporate blather
Getting more for less: better A / B testing via causal regularisation
A causal machine learning algorithm is used to estimate trades’ price impact
Identity verification solutions 2023: market and vendor landscape
This report analyses the current identity verification solutions landscape and examines the key market trends, regulatory drivers and vendor strategies shaping it
Uncovering the hidden impact: noninvestor disagreement and its role in asset pricing
The authors investigate the link between noninvestors and financial returns using data from a social media platform.
Keep risk parity simple, stupid
In times of volatility, simpler risk parity strategies may outperform more elaborate counterparts
Deal of the year: Societe Generale
Asia Risk Awards 2022
A novel derivation and interpretation of the Kelly criterion
The authors apply an information-theoretical argument to a Bernoulli process to find least biased investment strategy consistent with expected exponential growth.
‘Corrective’ algo tells quant firm when it’s wrong
QTS has built a machine to show whether a strategy is likely to succeed or flop
Does reinvesting payouts in plain vanilla exchange-traded funds enhance household portfolio performance?
This study analyzes whether reinvesting payouts in exchange-traded funds that replicate broad and internationally diversified market indexes enhances households’ portfolio performance after transaction costs.
Op risk data: Deutsche greenwashing fine a regulatory red flag
Also: Class claim costs CA tribe $500m; Essilor eyeballs JPM in fraud case; Bank of Italy con job. Data by ORX News
Revival of FX carry strategy leaves quants unconvinced
Record returns in March give little comfort that strategy is ‘back’
Earnings call analysis 2.0 goes beyond good and bad words
Quants develop new ways to extract signals from media-savvy chief executives and their financial statements
Buy-side quants of the year: Matthew Dixon and Igor Halperin
Risk Awards 2022: New machine learning tool tackles an age-old, old age problem
Adia wealth fund is building supergroup of quant investing
Abu Dhabi Investment Authority wants to turn systematic investing into a ‘good science’
Performance attribution for multifactorial equity portfolios
This paper revisits the cross-sectional approach to the performance analysis of multifactor investment strategies.
A practitioner’s view of the long-term and recent performance of multifactor investment strategies
In this paper the author studies the performance of factor investment strategies from a practitioner’s point of view.