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News 2015-07-02T15:44:56+00:00

Academic Research Insight: Abusing ETFs

August 21st, 2017|0 Comments

Title: ABUSING ETFs Authors: UTPAL BHATTACHARYA, BENJAMIN LOOS, STEFFEN MEYER, ANDREAS HACKETAL Publication: REVIEW OF FINANCE, VOL.21, 2017 (version here) What are the research questions? By studying [...]

MARCH FOR THE FALLEN WEEKLY TRAINING SERIES: UNIFORM/GEAR

August 19th, 2017|0 Comments

Team: This post is part four in the training series for those participants in this year's March for the Fallen event. We are about 4 weeks out from [...]

Trend-Following with Valeriy Zakamulin: Performance Measurement and Outperformance Tests (Part 5)

August 18th, 2017|1 Comment

We consider an investor and a financial market that consists of only two assets: one risky asset and one safe (or risk-fee) asset. An example of a [...]

Academic Research Insight: Can Bond Portfolios Be “Factorized”?

August 14th, 2017|0 Comments

Title: Factor Investing in the Bond Market Authors: Patrick Houweling and Jeroen van Zundert Publication: Financial Analysts [...]

MARCH FOR THE FALLEN WEEKLY TRAINING SERIES: FOOTWEAR & FOOT CARE

August 13th, 2017|2 Comments

Team: This post is part three in the training series for those participants in this year's March for [...]

Trend-Following with Valeriy Zakamulin: Anatomy of Trading Rules (Part 4)

August 13th, 2017|7 Comments

In our context, a technical trading indicator can be considered as a combination of a specific technical [...]

TREND-FOLLOWING WITH VALERIY ZAKAMULIN: TECHNICAL TRADING RULES (PART 3)

August 11th, 2017|3 Comments

A trend following strategy is based on switching between a financial asset and cash depending on whether [...]

Diversification Benefits of Time Series Momentum

August 10th, 2017|2 Comments

Similar to some better-known factors like size and value, time-series momentum is a factor that historically has demonstrated above average excess returns. Time-series momentum, also called trend-momentum or absolute momentum, is measured by a portfolio long assets that have had recent positive returns and short assets that have had recent negative returns. Compare this to the traditional (cross-sectional) momentum factor that considers recent asset performance only relative to other assets. The academic evidence suggests that inclusion of a strategy targeting time-series momentum in a portfolio improves the portfolio’s risk-adjusted returns.

Volatility Premium, Covered Call Selling, and Knowing What You Own

August 8th, 2017|1 Comment

The folks at AQR are top-notch researchers and have written a ton of great papers. Some of [...]

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