Best Quant Paper 2019
- 09 Dec 2019
AQR Capital Management wins "Best Quant Paper 2019"
The existence of the momentum factor has been proven in countless factor-related studies, but do the returns of other factors exhibit robust momentum behavior? In other words, can factor performance be reliably timed? Proving the existence of factor timing could have far-reaching implications for all investors in factor premia. AQR's winning paper, "Factor Momentum Everywhere" dives head-first into the muddy waters of factor timing.
WINNER: AQR CAPITAL MANAGEMENT
Factor Momentum Everywhere (AQR Capital Management)
In this paper, AQR Capital Management documents momentum behavior in 65 of the most widely studied factors, and finds this behavior to be statistically robust. Individual factors, therefore, can be timed. Additionally, incorporating factor momentum into traditional factor portfolios can boost the performance of these strategies.
Buffett's Alpha (Financial Analyst Journal)
Are Warren Buffett’s extraordinary investment returns more attributable to skill or luck? This study breaks down why Berkshire Hathaway has significantly outperformed the stock market and concludes that Buffett's success appears not down to luck, but is largely explained by his focus on low-volatility, high-quality, cheap stocks, amplified by uniquely cheap access to leverage.
Market Efficiency: Who is on the Other Side? (Michael J. Mauboussin)
When trading, knowing the specific source of the inefficiencies that you are trying to capitalize on is essential. This paper categorizes market inefficiencies as either behavioral, analytical, informational, or technical.
Invesco Vision Portfolio Management Decision Support System
For compliance reasons, this paper is only accessible in certain geographies
In this excellent, 70 page document, Invesco sets out processes for modelling assets & liabilities, quantitative portfolio construction and portfolio analytics.
Equity Risk Premiums (ERP): Determinants, Estimation and Implications (Damodaran)
Who better is there to analyze and discuss equity risk premiums (ERPs) than Professor Aswath Damodaran? Used as a critical input in corporate finance and other valuation exercises, estimation of the ERP is surprisingly non-standardized. Some of the determinants of ERP that he mentions are information uncertainty, investor risk aversion, and perceptions of macroeconomic risk.
Uncovering Macro Characteristics in Carry Portfolios (QMA)
QMA studies macroeconomic sensitivities within carry factor portfolios, identifying how they are affected by different macroeconomic conditions. Economic growth and inflation are some of the macroeconomic variables used.
Constrained Risk Budgeting Portfolios (Amundi Asset Management)
For compliance reasons, this paper is NOT accessible in the United States
To discuss the theory of risk budgeting within portfolios, Amundi Asset Management produces an algorithm that combines elements of several complex mathematical theories, including cyclical coordinate descent, proximal operators, alternating direction method of multipliers, and Dykstra's algorithm. They then discuss applications of their combined algorithm.
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