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Working paper
Machine Learning and The Cross-Section of Emerging Market Stock Returns
In: Emerging Markets Review, Forthcoming
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Enhanced Momentum Strategies
In: Journal of Banking and Finance, Forthcoming
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Resurrecting the Value Premium
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Settling the Size Matter
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Working paper
The Idiosyncratic Momentum Anomaly
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Working paper
Synthetic hedge funds
In: Review of financial economics: RFE, Volume 29, Issue 1, p. 12-22
ISSN: 1873-5924
AbstractWe provide evidence on the performance and the replication success of a broad sample of 72 synthetic hedge funds from January 2009 to December 2013. Thereby, we assign the term "synthetic hedge fund" to mutual funds and exchange‐traded funds with hedge fund indices as their benchmarks. Replication success is measured through different perspectives from distributional characteristics to risk‐adjusted performance. We find an overall significant underperformance of synthetic hedge funds compared to an appropriate benchmark index. Furthermore, mutual funds (associated with active portfolio management) can produce return characteristics closer to hedge fund benchmarks than exchange‐traded funds (associated with passive management) can. From a single strategy perspective, we find a picture of heterogeneity. Regarding the market environment, we show larger return differences for unusual market conditions than for regular ones.
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Working paper
Boosting Agnostic Fundamental Analysis: Using Machine Learning to Identify Mispricing in European Stock Markets
In: Finance Research Letters, Forthcoming
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The Volatility Effect in China
In: Journal of Asset Management, Forthcoming
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Factor Zoo (.zip)
In: The Journal of Portfolio Management, Quantitative Special Issue 2024, 50 (3) 11-31 DOI: 10.3905/jpm.2023.1.561
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