Quantitative Methods

Best Quant Paper 2017

Savvy Awards 2017 Fixed Income

WINNER: AQR Capital Management

Embracing Downside Risk
The authors consider portfolio risk by reference to equity index option pricing. The authors conclude that most of the empirical equity risk premium relates to compensation for accepting downside risk; therefore, downside risk is something to be embraced.

HIGHLY COMMENDED

Adding Alpha by Subtracting Beta: A Case Study on how Quant Tools can Improve a Portfolio's Returns by Axioma
A 'real world' portfolio is used to illustrate how fundamental managers can use quantitative tools to identify and mitigate potential issues in their portfolio, thereby improving their realized returns.

An Asset Allocation Primer: Connecting Markowitz, Kelly and Risk Parity by PIMCO
Although described as a "primer", this is quite a technical note from PIMCO, joining the dots between standard asset allocation model mechanics, such as utility-based models, Kelly, Markowitz, fixed allocation, and risk parity approaches.

Managing equity portfolio volatility by harnessing the volatility risk premium by Eaton Vance
Option-based strategies that attempt to harness the Volatility Risk Premium comprise a new type of solution that investors are currently exploring, in order to achieve equity-like returns with less risk.

Start of Something Big: Demystifying the Source of Large Alpha in Small Caps by QMA
Active small-cap managers continue to outperform.  QMA posits that capturing alpha in small caps is largely the result of inefficiencies that create pronounced mispricings, which diligent managers can exploit on a regular basis.

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About the Savvy Investor Awards

Savvy Investor is the world’s leading resource hub for the institutional investors. Since launch in March 2015, more than 23,000 members from across the globe have registered for the site, with 150-200 new members joining every week.

We curate the best pensions and investment white papers from around the world, and having uploaded more than 20,000 since launch, have a unique platform from which to host these Awards. The Savvy Investor Awards are judged on the basis of the quality and readability of the paper and its appeal to our institutional investor audience.

To find out how you can partner with Savvy Investor this year to enhance your thought leadership credentials in the institutional investor marketplace, please contact our Business Development Manager, Stuart Blake, stuart.blake@savvyinvestor.net

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