Tag Archives: award

Award – Best Quant Paper 2017

 

Savvy Investor curates the best pensions and investment white papers from around the world. Having uploaded more than 20,000 papers since launch, they have a unique platform from which to host these Awards. The Savvy Investor Awards are judged on the basis of the quality and readability of the paper and its appeal to their institutional investor audience.

 

To view the full awards announcement, across 15 categories, visit the Savvy Investor Awards page.

WINNER: AQR Capital Management

Embracing Downside Risk

Equity index option pricing is examined in detail in this paper. The authors conclude that most of the empirical equity risk premium relates to compensation for taking on downside risk; therefore, downside risk is something to be embraced.

HIGHLY COMMENDED

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 lessen potential issues in their portfolio, thereby improving their realized returns.

An Asset Allocation Primer: Connecting Markowitz, Kelly and Risk Parity by PIMCO

Standard asset allocation model mechanics, including the utility based, Kelly, Markowitz, fixed allocation, and risk parity approaches, are described and contrasted in this PIMCO article.

 

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 that diligent managers can exploit on a regular basis.

 

About Savvy Investor

Savvy Investor is the world’s leading resource hub for the institutional investors. Since launch in March 2015, more than 23,000 members from across the globe have registered for the site, with 150-200 new members joining every week.

To find out how you can partner with Savvy Investor this year to enhance your thought leadership credentials in the institutional investor marketplace, please contact our Business Development Manager, Stuart Blake, stuart.blake@savvyinvestor.net.

 

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Not all order flows are the same….see which market’s Order Flow wins the ‘Most Likable’ award and understand why…

Not all order flows are the same….see which market’s Order Flow wins the ‘Most Likable’ award and understand why…

Order Flow  FX, Equities or Future | Who Wins Most Likeable?

algofutures.com

One thing that I have learned over the years is that there’s order flow, and then there’s ORDER FLOW. The distinction between the two comes from the fact that not all market’s Order Flows are created equally.  As there are such…

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do you really mean that CL reflexes real supply and demand for oil? Also, do you mean that, for example, hotspotfxi or Bloomberg transmit lagging data with holes? Come on, tell us about the fx dealer market with EBS and about that “transparent” order flow at CME.

 

 

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!