Alpha
Lo’s ‘dynamic alpha’ gives quants new tool to fine-tune strategies
Time-sensitive measure could help manage systemic risk too
Ping An unit prepares factor investing foray
Insurance giant’s asset management arm turns to alternative risk premia as fundamental returns in emerging markets begin to shrink
Quant manager spurns vendors’ machine learning software
Ex-head of algo trading at JP Morgan says machine learning processes should be built internally
Start-up fund looks to profit from early-stage bubbles
Market feedback loops have a signature that can be spotted and monetised, new fund SIMAG says
Falling margins force energy firms to expand data use
Verification and model challenges arise as volatility and margins dry up
Finding alpha in uncertain energy markets
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Rethink urged over Basel’s counterparty exposure framework
Industry calls for softening of SA-CCR amid claims it could lead to doubling of calculated exposures
Optimal trading with linear and (small) non-linear costs
Bouchaud et al find the optimal trading strategy for a family of predictive signals in the presence of transaction costs
'Risk budget' touted to help investors avoid the herd
Keep spare risk capacity – rather than running close to limits – to exploit crises, researchers advise
Optimal trading with alpha predictors
This paper studies the problem of optimal trading using general alpha predictors with linear costs and temporary impact.
Performance versus turnover: a story by 4000 alphas
This paper analyzes empirical data for 4000 real-life trading portfolios with holding periods of about 0.7-19 trading days.
Prime alpha: separating skill from luck in asset management
Alternative way to judge manager performance provides useful tool for risk managers
Riskology: Complexity economics as a future source of alpha
Advances in understanding of networks hold potential for new trading strategies for hedge funds
Under the radar: structural alpha in the small-cap equity market
This paper identifies a number of structural inefficiencies in the US small-cap equity market that may be exploited to generate alpha.
Notes on alpha stream optimization
This paper discusses aspects of optimizing weights for alpha streams (by alpha streams the author means a sequence of predictions of expected returns for each asset given by different models employed by portfolio managers).
Tail risk premiums versus pure alpha
Tail-risk skewness, rather than volatility, is correlated with risk premiums
JP Morgan expects dispersion of hedge fund returns to increase
Historical composite data unreliable for extrapolating returns
Investcorp: more institutions managing own hedge portfolios
But “cutting out the middleman” leaves room for co-investing
Creating flexible risk reporting
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AQR puts academic theory into practice
Putting theory into practice
