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Best Quant Paper 2017

  • ,  Chief Executive |
  • 06 Dec 2017
  • Updated 08 Jun 2018

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.


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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