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We propose an analytic framework for integrating alpha models with portfolio turnover. In practice, many alpha models are not constructed in such ...
Institutional investors today increasingly look for sources of consistent alpha in the quest for higher risk-adjusted returns. In the case of equity ...
This is a reprint of Dr. Edward Qian’s original paper on the subject of risk contribution and its impact on an ...
Quantitative and fundamental money managers alike seek to find and construct portfolios of undervalued securities in the hope of delivering positive alpha ...
Modern portfolio management represents the search to achieve the highest expected return, given a rigorous risk specification. The tools of the modern ...
One of the underlying assumptions of the Fundamental Law of Active Management is that the active risk of an active investment strategy ...
The idea of portable alpha is based on the notion that asset allocation and the search for alpha are separable. Portable alpha ...
Your strategic asset allocation says that 10% of your assets should be in small-capitalization U.S. stocks. What type of manager should you ...
A large amount of literature has accumulated over the years on various forms of “small-cap effects” that summarize a number of apparent ...
