By SIMON CONSTABLE
Managers can improve the performance of the mean–variance approach by using enhanced portfolio optimization (EPO). EPO accounts for the noise in investors’ estimates of risk–return and, as a result, increases risk-adjusted performance. Read more here.
By SIMON CONSTABLE
Mutual fund managers who frequently change exposure to investment factors (market, size, book-to-market, and momentum) perform significantly worse than those who make fewer changes. Read more here.
By SIMON CONSTABLE
Investors can double alpha in the credit markets by using simple equity momentum strategies enhanced by applying machine learning with boosted regression trees. Read more here.
By SIMON CONSTABLE
Investors in actively managed US equity mutual funds should decrease/increase their investment as fund volatility decreases/increases. This strategy significantly improves investment performance compared with a buy-and-hold approach. Read more here.
By SIMON CONSTABLE
American Depositary Receipts (ADRs) have outperformed US stocks, with ADRs of Chinese companies doing particularly well. Read more here.
By SIMON CONSTABLE
Different climate risk metrics lead to portfolios with different carbon and risk–return profiles. Analyzing the merits and applicability of various climate data can help investors manage climate risk and improve risk-adjusted returns. Read more here.
By SIMON CONSTABLE
High-frequency algorithmic trading adds to ETF market stability by reducing the discrepancy between fund prices and net asset values (NAVs). Read more here.
Migpc, CC BY-SA 3.0, via Wikimedia Commons
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