Showing 1 - 10 of 12
We challenge the common view that smart beta strategies and factor tilts are equivalent. Initially, the term “smart beta” referred to strategies that broke the link between the price of a stock and its weight in the portfolio or index. Capitalization weighting does not do that — neither...
Persistent link: https://www.econbiz.de/10012947269
In our paper — “How Can ‘Smart Beta' Go Horribly Wrong?” — we show, using U.S. data, that the relative valuation of a strategy (in comparison with its own historical norms) is correlated with the strategy's subsequent return at a five-year horizon. The high past performance of many of...
Persistent link: https://www.econbiz.de/10012947270
Persistent link: https://www.econbiz.de/10012947276
This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross sectional dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for individual hedge funds by breaking up total risk into systematic and fund...
Persistent link: https://www.econbiz.de/10013115093
This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross sectional dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for individual hedge funds by breaking up total risk into systematic and fund...
Persistent link: https://www.econbiz.de/10013115129
This paper estimates hedge fund and mutual fund exposure to newly proposed measures of macroeconomic risk that are interpreted as measures of economic uncertainty. We find that the resulting uncertainty betas explain a significant proportion of the cross-sectional dispersion in hedge fund...
Persistent link: https://www.econbiz.de/10013062452
This paper estimates hedge fund and mutual fund exposure to newly proposed measures of macroeconomic risk that are interpreted as measures of economic uncertainty. We find that the resulting uncertainty betas explain a significant proportion of the cross-sectional dispersion in hedge fund...
Persistent link: https://www.econbiz.de/10013064326
This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross sectional dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for individual hedge funds by breaking up total risk into systematic and fund...
Persistent link: https://www.econbiz.de/10013111689
This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross sectional dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for individual hedge funds by breaking up total risk into systematic and fund...
Persistent link: https://www.econbiz.de/10013113235
We examine institutional trading in relation to changes in consensus recommendations over time. We find that pre-Reg FD's positive contemporaneous relation between hedge fund trading and change in consensus becomes negative after Reg FD, but the positive relation between non-hedge fund trading...
Persistent link: https://www.econbiz.de/10012831410