Finance Theory, Listed Equities, and Liquidity
A recent paper from Robeco discusses whether a liquidity premium exists in the stock market. The authors, David Blitz, Jean-Paul van Brakel, and Milan Vidojevic, conclude that “the evidence for such a...
View ArticleThe View from Amundi: Absolute Return and Factor Models
On May 30, CAIA France sponsored a panel discussion on absolute return strategies, held at the headquarters of Amundi Asset Management, on the Boulevard Pasteur in Paris. Frederic Hoogveld, the head of...
View ArticleWhat is Behind the Momentum Factor? Informed Trades?
A new paper by four U.S. scholars makes a contribution to the literature on factors and the modeling of stock prices. The paper, “An Information Factor,” proposes in essence that the momentum factor...
View ArticleA Brief History of Asset Allocation
Glassbridge has put out an ambitious white paper about the “evolution of asset allocation across the investment management industry,” one that begins with the basics of the Capital Asset Pricing Model...
View ArticleActive Risk Budgeting Gets Consistent Alpha
A new paper takes an experimental look at “Active Risk Budgeting,” a method of portfolio construction that looks to build upon older and sometimes passive risk budgeting approaches, adding enough...
View ArticleThe Persistence of the Low-Risk Effect
The “volatility effect,” also known as the “low-risk effect,” is the subject of a new paper from Robeco. The gist of the “effect” is this: low-risk stocks “should” show a lesser return than high-risk...
View ArticlePeeling Back the Wrapper of Hedge Fund Strategies
By Aaron Filbeck, CAIA, CFA, CIPM, Associate Director, Content Development at CAIA Association During CAIA Association’s most recent Virtual Chapter event, Keith and I (virtually) sat down with Chris...
View ArticleThe Case for Redefining the Risk-free Asset
The quantitative analysis of markets, and of the performance of fund managers, is in large part the mathematical treatment of various (often contested) metrics of risk. Let us bring two points about...
View ArticleThree Sources of Alpha: A Call for Small Manager Investment
By Karl Rogers, ACE Capital Investments I recently finished a multi-strategy fund of hedge funds build for an institution where I focused on three sources of alpha: small manager, equities and...
View ArticleA Renewal of the Value Factor in Equities
David Blitz, the head of quant research at Robeco, and Robeco researcher Matthias Hanauer have posted a commentary on the value factor. This is one of the classic Fama-French factors. It began life in...
View ArticleStrategic Note: Improved Smile-Implied Hedging
A recent paper by two Canadian scholars looks to improve on the art of smile-implied option replication. Pascal Francois, of the HEC Montreal Department of Finance, and Lars Stentoft, of the University...
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