This paper highlights the use of a new strategic approach within a quantitative investment methodology in the context of making prudent asset allocation decisions. Three asset classes will frame the dynamic asset allocation discussion: Equities, Fixed Income, and Hedge Funds. The quantitative...

News sentiment has been empirically observed to have impact on financial market returns. In this study, we investigate firm-specific news from the Thomson Reuters News Analytics data from 2003 to 2014 and propose an optimal trading strategy based on a sentiment shock score and a sentiment trend...

News sentiment has been empirically observed to have impact on financial market. However, finding a clear predictor of market returns using news sentiment remains a challenging task. This study investigates the relationship between news sentiment and cumulative market returns and volatility. We...

Momentum is one of the largest and most pervasive market anomalies. However, despite a high mean and Sharpe ratio, momentum suffers from large negative skewness that comes from momentum crash periods. These crashes occur in times of both market stress and market rebound and thus variables that...

Despite the ever-growing interest in trend following and a series of publications in academic journals, there is still a great shortage of theoretical results on the properties of trend following rules. Our paper fills this gap by comparing and contrasting the two most popular trend following...

We investigate the relationship between risk-adjusted returns, arbitrage risk and arbitrage asymmetry, and investor sentiment in the European stock market. Under the assumption that idiosyncratic volatility (IVOL) causes arbitrage risk, we analyze the effects of IVOL on the-abnormal returns of...

We study dynamic portfolio choice of a long-horizon investor who uses deep learning methods to predict equity returns when forming optimal portfolios. Our results show statistically and economically significant benefits from using deep learning to form optimal portfolios through certainty...

The US Treasury effectively ”owns” about 24% of the stocks held by high income US taxable investors. Through the capital gains tax, Uncle Sam has an effective exposure of more than $1 trillion of equities. And this huge-but-silent investor might be about to get a lot bigger if capital gains...

Identifying outperforming mutual funds ex-ante is a notoriously difficult task. We use machine learning to exploit fund characteristics and construct portfolios of equity funds that earn positive and significant out-of-sample alpha net of all costs. In contrast, alphas of portfolios selected...

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility...