How Much Time Is Needed To Detect Evidence Of Investment Skill?
A recent MarketWatch piece cited a talk in Hong Kong by Economics Nobel Prize winner Professor Robert Merton wherein he … Read more
A recent MarketWatch piece cited a talk in Hong Kong by Economics Nobel Prize winner Professor Robert Merton wherein he … Read more
Rapid asset flows into smart beta strategies have led to concerns about froth and a vigorous debate among systematic portfolio vendors. … Read more
Whereas hedge fund crowding primarily consists of systematic factor bets, most analysis of hedge fund crowding focuses solely on popular … Read more
The proliferation of smart beta strategies has raised questions about the relationship between the core risk factors that have formed … Read more
A typical analysis of hedge fund crowding considers large, popular, and concentrated hedge fund long equity holdings. Such analysis usually … Read more
And What They Owned at Year-end Though 2016 was a poor year for most institutional portfolio managers, it was a … Read more
A typical analysis of hedge fund crowding surveys popular equity holdings. Yet, such residual, idiosyncratic, or stock-specific bets account for … Read more
Whereas most analysis of hedge fund crowding focuses on individual stocks, over 85% of hedge funds’ recent long equity variance … Read more
Though many smart beta ETFs do provide valuable exposures, others mainly re-shuffle familiar dumb beta factors. Our earlier article showed … Read more
Our earlier articles discussed how some smart beta strategies turn out to be merely high beta strategies, and how others … Read more
Hedge Fund Crowding Update – Q2 2016 by AlphaBetaWorks Insights Typical analysis of hedge fund crowding focuses on individual stocks. … Read more
The Predictive Power Of Information Ratios by AlphaBetaWorks Charts Our earlier work showed that simple performance metrics, such as nominal … Read more
Hedge Fund Finance Sector Crowding by AlphaBetaWorks Insights Asset outflows and portfolio liquidations have devastated crowded hedge fund bets since … Read more
Hedge Fund Crowding Update – Q1 2016 by AlphaBetaWorks Insights Analyses of hedge fund crowding typically focus on hedge funds’ … Read more
Performance Persistence Within International Style Boxes by AlphaBetaWorks Insights We earlier discussed how nominal returns and related investment performance metrics … Read more