Do high active risk (AR) equity portfolio managers tend to realize a relatively high information ratio (IR)? PGIM explores the AR-IR relationship across various global equity mandates and…
Factor attribution based on linear regression often fails to satifactorily explain the performance of systematic strategies. This study uses R as a programming language to investigate.
This study demonstrates how a barbell strategy invested primarily in fixed income assets coupled with in-the-money long-term call options on various equity asset classes can achieve a significant…
