The Top Quant Papers of 2019
The Best of 2019 - Quant
The winning and commended papers for all 15 categories at the 2019 Savvy Investor Awards were announced on December 9th. The first link below will take you straight to our blog for the Best Quant Paper category, where you can view both the winning paper and the other highly commended papers that were recognized.
Additionally, we've included some great quantitative papers from the past few weeks, most of which just missed the cut off for this year's awards.
SAVVY INVESTOR AWARDS
The Best Quant Papers of 2019 (Savvy Investor Awards)
The winner of this year's award for Best ESG Paper was AQR Capital Management. Click the link above for more information about their paper and the other highly commended papers recognized in the Savvy Investor Awards.
RECENT QUANT CONTENT
Q&A: Is an X-Factor Driving Stock Returns? (QMA, Dec 2019)
Is there an unknown 'x-factor' behind the stock market's recent returns? Gavin Smith of QMA’s Quantitative Equity team investigates the implied growth rates of cheap vs expensive companies.
Quantitative Science - Actively adding to fixed income decisions (Franklin Templeton, 2019)
For compliance reasons, this paper is only accessible in certain geographies
Franklin Templeton explains how a quantitative process backed by machine learning techniques can add value to traditional credit analysis methods employed by fixed income portfoio managers.
Are You Asking the Right Questions About Factor Investing? (Intech, 2019)
For compliance reasons, this paper is only accessible in certain geographies
Intech addresses questions about overcrowding in factor strategies, the need to hone factor models, and other concerns about the implementation of factors in institutional portfolios.
A New Data-Driven Fixed-Income Risk Framework (Qontigo, 2019)
In this paper from Qontigo, they demonstrate how advanced statistical methods can be applied to analyse credit risk.
Forecasting Risk for Illiquid Asset Classes (Cliffwater LLC, 2019)
Due predominantly to their infrequent pricing, this paper shows that risk measures for some illiquid asset classes may be understated.
A practical guide to robust portfolio optimization (BNP Paribas AM, 2019)
All the Quants down in Quantville will surely enjoy this paper on how robust optimization can be used during the portfolio construction process.
Is Active Management Needed in Factor Investing? (Scientific Beta, 2019)
Scientific Beta duels with Robeco over a paper written about the investability of factor indices and the conclusions reached therein. Parry, riposte.
Short positions do not add value to factor investing strategies (Robeco, 2019)
This paper makes the case that decomposing factor premia into their long and short components is a critical part of building efficient factor portfolios.
Risk control as diversification through time (CFM, 2019)
CFM stresses that risk control is essential for portfolio managers. Risk control protocols can improve Sharpe ratios and help to manage skewness and kurtosis.