Browsing: risk premia

Posts Tagged ‘ risk premia ’

Past performance guarantees no future results

Oct 17th, 2019 | Filed under: Algorithmic and high-frequency trading, Financial Economics Theory, Newly Added, Risk management, Business News, The A.I. Industry, Risk Management Strategies & Processes, Finance & Economics

Since, as everyone says, “past performance is no guarantee of future results,” a history of close correlation between two assets, or between a single asset and a benchmark, is no guarantee of future correlation. The threat that a correlation upon which a particular investor has relied will cease to applyRead More

High-Yield Credit: The Case for Systematic and Discretionary Management

Aug 4th, 2019 | Filed under: Hedge Fund Strategies, Newly Added, The A.I. Industry, Hedge Funds, Relative Value Hedge Funds

A new look “under the hood” at active credit managers comes from a paper written by two executives at AQR Capital Management. Diogo Palhares and Scott A. Richardson find that long/short fixed-income managers have a high exposure to the credit risk premium. But high-yield-focused long-only managers provide less exposure toRead More

AQR Makes the Case for a VRP Strategy

Jun 5th, 2018 | Filed under: Financial Economics Theory, Newly Added, Behavioral finance, Finance & Economics

AQR Capital Management, the Greenwich, CT-based global investment firm, has posted a new discussion of the volatility risk premium and of the advantages of strategies based thereon. In principle the premium would disappear if markets efficiently estimated the probability of significant losses. But it remains, because investors are risk averseRead More

AIMA’s Vision Statement from Hedge Fund Industry Leaders

Apr 22nd, 2018 | Filed under: Newly Added, Alternative Investments in Context, The A.I. Industry, Hedge Funds, Liquid Alternative Investiments, Other Topics in A.I.

Some of the leading figures in the alt investment industry have put their dignified heads together and created a vision statement, called “Perspectives: Industry Leaders on the Future of the Hedge Fund Industry.” The gist of the paper is that firms in the industry are quickly adapting to contemporary conditionsRead More

Finance Theory, Listed Equities, and Liquidity

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

Aon: Alternative Risk Premia Viable for Many

Sep 17th, 2017 | Filed under: Alpha & Beta, Financial Economics Theory, Newly Added, Asset Allocation Models, Allocating to A.I., Finance & Economics

A new report from Aon discusses the contemporary market for alternative risk premia: where it is, how it got here; where it may be headed. The authors, Matthew Towsey and Chris Walvoord, begin with some very basic considerations of what ‘risk premia’ are. They are, on the one hand, theRead More

Alternative Risk Premia Investing

Jul 9th, 2017 | Filed under: Alpha & Beta, Newly Added, Asset Allocation Models, Allocating to A.I.

Unigestion has posted a research paper by Olivier Blin, Joan Lee, and Jérôme Teiletche, on “some of the practical considerations that should help investors get the most out of their allocation to” alternative risk premia (ARP) strategies. Unigestion is a boutique asset manager, and Blin is its head of crossRead More

Factor-Based Asset Allocation

Jun 19th, 2016 | Filed under: Alpha & Beta, Investing in Commodities, Newly Added, Asset allocation, Asset Allocation Models, Smart Beta, Commodities, Allocating to A.I., Other Topics in A.I.

A paper by Xiaowei Kang and Daniel Ung, published in June 2014, remains timely because risk parity and related approaches remain the center of controversy and some confusion. The Kang & Ung paper looked at three approaches to risk factor based portfolio construction, studying specifically the practical aspects of theRead More