Professional and academic papers using quantitative methods. All of the research in this section is either about the use of quant techniques, or uses quant methodology (mathematical formulae) within the text. The most viewed quant research in this section are papers focused on alpha strategies, particularly for tactical asset allocation. A key issue for quant analysts here is the robustness and validity of the quant model. One paper refers to the risk of "pseudo-mathematics" and "financial charlatanism", when data is...
mined to conceive spurious relationships which don't survive out-of-sample. Therefore, quant papers providing a statistical framework for assessing the robustness of quantitative models (and reducing the risk of overfitting) have generated a lot of interest. Our most downloaded quant research in this section includes papers on risk estimation, performance attribution, big data and risk premia. Other popular reports and white papers cover risk factors and smart beta / scientific beta / alternative beta.
The Journal of Index Investing is being relaunched as The Journal of Beta Investing Strategies which better matches its content, given most firms have beta strategies groups that encompass so much more than pure indexing. This first issue is a tribute to Jack Bogle and his influence on index investing.
Measuring and interpreting the inherent risk of a portfolio is challenging. Since the Covid-driven market disruption of early 2020, investors have witnessed periods of rising equity-bond correlation and elevated volatility in the energy sector. More recently, market volatility climbed amid rising concerns about ongoing…
In this article, Amundi considers a multi-period portfolio optimisation problem, which is an extension of the single-period mean-variance model. They discuss several formulations of the objective function, constraints and coupling relationships. Amundi then derives three numerical algorithms that can be used to solve such…
Investors take for granted that returns are recorded in units of time, such as days, months, or years. Yet some time periods include unusual events that reasonably cause asset prices to change, whereas other periods are relatively free of unusual events, in which case returns mostly reflect noise. Based on insights from…
The STOXX WTW Climate Transition Indices are a new approach to managing climate risk that offer investors a systematic and transparent way to incorporate climate transition risk into their investment decisions.
The next frontier for factor-based investing is to devise strategies with the potential to deliver on investment outcomes and investor needs, rather than just aiming to outperform a benchmark. For example, strategies with a high dividend payout but low volatility may be particularly attractive for investors in the…
This second article in the series offers a different look at high inflation periods, which is already analysed in Part I. In this second part, Quantpedia looks at factor performance during 10-year periods of high inflation.
In this episode of Money Maze Podcast, Russell Korgaonkar, CIO Man AHL, discusses how successful systematic investing requires continual refinement of models, and sniffing out new sources of returns in the chaos of financial markets.
Episode 2 the Quant Investing miniseries is hosted by the Robin Wigglesworth, Global Finance Correspondent at the Financial Times. Robin interviews Russell Korgaonkar, CIO of Man AHL. Man Group is one of the world’s biggest hedge fund managers, and by some distance the largest listed one, with $148.6 billion of assets under…
This paper examines the effect of real-time global geopolitical risks (GPRs), acts (GPAs), and threats (GPTs) indices on monthly returns and volatility of several American commodity futures. By modeling volatility via Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH), the authors provide evidence…
Inflation is a measure of an increase in prices over time. Most typically, inflation is measured on a yearly basis. One can say that inflation is high when the annual increase in prices of goods and services is unexpectedly increased. In this article, the authors analysed the Consumer Price Index from the Federal Reserve…
Leda Braga has earned the nickname “the queen of quants”. After a PhD in engineering from Imperial College London, she spent seven years at JPMorgan as a quant the bank’s derivatives research team. After a stint at a start-up spun out of JPMorgan, the Brazil-born Leda then helped establish one of the industry’s leading…
The Latin American pendulum has swung back from negative to positive returns in the past three months. The S&P Latin America 40 ended the quarter up 29.5%, its best Q1 performance since 1991. This is in stark contrast to other global equity markets, which ended in the red, with the S&P 500 losing 4.6%, the S&P…
Calculating risk measures can be extremely time consuming for large portfolios. Monte Carlo and historical value at risk and expected shortfall calculations can require repricing 1,000s of positions 1,000s of times. Here the authors present what they call the virtual dimensional reduction (VDR) method. By leveraging the…
Merton’s (1973) fund separation theorem establishes that there are at least two reasons why an investor would want long or short exposure to a given risky asset. The first is the 'speculative motive', which is to maximise the short-term Sharpe ratio of the portfolio, and it drives the introduction of the maximum…
The STOXX Europe 600 Industry Neutral Ax Multi-Factor index provides investors with a broadly diversified portfolio designed to maximise exposure to several well-known style factors while minimising exposures to industries and other style factors that may add to a portfolio’s risk but are not typically compensated. The…
S&P 500 performance for February (-3.14%) followed January (-5.67%) on the downside, while the market continued to adjust (reallocate) itself for an expected slower (and more expensive) economy. While the Ukraine situation dominated the moral headlines and wreaked havoc on the market, with a knee-jerk reaction to an…
Stocks fell in February as the military conflict in Ukraine and sanctions imposed on Russia prompted investors to sell shares in all industries except basic-resources and energy companies.
Qontigo illustrates the value of their trading horizon risk model, which could be used by market makers to hedge ETF trades, or by other market participants looking for portfolio construction and risk conrol of ultra short term trading strategies
