Browsing: CAPM / Alpha Theory

Posts Tagged ‘ CAPM / Alpha Theory ’

The Persistence of the Low-Risk Effect

Oct 10th, 2019 | Filed under: Newly Added, CAPM / Alpha Theory, Hedge Fund Strategies, The A.I. Industry, Financial Economics Theory, Alpha Strategies, Hedge Funds, Finance & Economics

The “volatility effect,” also known as the “low-risk effect,” is the subject of a new paper from Robeco. The gist of the “effect” is this: low-risk stocks “should” show a lesser return than high-risk stocks. The Capital Asset Pricing Model predicts a linear relationship between the risk of a securityRead More


Active Risk Budgeting Gets Consistent Alpha

Jul 28th, 2019 | Filed under: Newly Added, CAPM / Alpha Theory, The A.I. Industry, Financial Economics Theory, Risk management, Risk Metrics and Measurement, Risk Management Strategies & Processes, Risk Management & Operations, Finance & Economics

A new paper takes an experimental look at “Active Risk Budgeting,” a method of portfolio construction that looks to build upon older and sometimes passive risk budgeting approaches, adding enough active management to allow the risk budget to change over time. For example, an institution might want its risk budgetRead More


A Brief History of Asset Allocation

Oct 16th, 2018 | Filed under: Newly Added, CAPM / Alpha Theory, Algorithmic and high-frequency trading, Hedge Fund Strategies, The A.I. Industry, Financial Economics Theory, Risk management, Crowdfunding, Hedge Funds, Emerging Alternative Investments, Risk Metrics and Measurement, Business News, Risk Management Strategies & Processes, Finance & Economics, Other Topics in A.I.

Glassbridge has put out an ambitious white paper about the “evolution of asset allocation across the investment management industry,” one that begins with the basics of the Capital Asset Pricing Model and ends with quantitative analysis and crowdsourcing. The premise is that new strategies, and new ranges of data, areRead More


What is Behind the Momentum Factor? Informed Trades?

Aug 5th, 2018 | Filed under: Newly Added, CAPM / Alpha Theory, Financial Economics Theory, Finance & Economics

A new paper by four U.S. scholars makes a contribution to the literature on factors and the modeling of stock prices. The paper, “An Information Factor,” proposes in essence that the momentum factor isn’t what it seems to be. Ever since the publication of a 1993 paper by Jegadeesh andRead More


The View from Amundi: Absolute Return and Factor Models

Jun 10th, 2018 | Filed under: Newly Added, CAPM / Alpha Theory, Finance & Economics

On May 30, CAIA France sponsored a panel discussion on absolute return strategies, held at the headquarters of Amundi Asset Management, on the Boulevard Pasteur in Paris. Frederic Hoogveld, the head of investment specialists, index and smart beta for Amundi, spoke that evening on dynamic factor allocation. As a review:Read More


Finance Theory, Listed Equities, and Liquidity

Mar 29th, 2018 | Filed under: Newly Added, CAPM / Alpha Theory, Financial Economics Theory, Finance & Economics

A recent paper from Robeco discusses whether a liquidity premium exists in the stock market. The authors, David Blitz, Jean-Paul van Brakel, and Milan Vidojevic, conclude that “the evidence for such a premium is, at best, weak.” Less politely, these authors refer to the whole notion of a liquidity premiumRead More