A new diversification measure appears to produce better results than mean-variance optimisation
New diversification measure enables construction of equally diversified portfolios
In this paper, the eigendecomposition of a Toeplitz matrix populated by an exponential function in order to model empirical correlations of US equity returns is investigated.
The heat potentials method is used to find the optimal profit-taking and stop-loss levels
With investors sometimes struggling to find hedge funds that deliver uncorrelated, consistent returns, Sandbar Asset Management stands out from its peers. Its success in running an equity market-neutral strategy is a reflection of its founder and chief…
Alpha generation can be an elusive goal, particularly when trading volatility. Three different approaches to trading volatility were discussed by a panel looking at the role of systematic and carry strategies in finding profit in a high-volatility world
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
The aim of this paper is to create systematic trading strategies built around several financial crisis indicators, which are based on the spectral properties of market dynamics.
Paul Tudor Jones II, Santhanam Nagarajan and Dario Villani show how to use volatility modulation
Keep spare risk capacity – rather than running close to limits – to exploit crises, researchers advise
The authors propose a general framework to assess the probability of backtest overfitting (PBO).
Sponsored Q&A: Jane Street, Societe Generale CIB, WisdomTree Europe
Johnson-Omega could change the way financial firms measure portfolio performance
Alexander Passow presents a portfolio performance measure that combines the omega measure with Johnson distributions
This paper introduces an efficient Sharpe ratio (ESR) that diffuses explosive ASRs for HFT so that they are comparable to SRs for other actively managed funds.
This paper provides a theoretical justification as to why investment firms typically set less strict stop-out rules for PMs with higher Sharpe ratios.
Tail-risk skewness, rather than volatility, is correlated with risk premiums
Volume 3, Issue 3 (2014)
'Madness of crowds' psychology governs investment policy
Non-linear momentum strategies