Dave Snyderman

Practical Applications of How Many Is Too Few? Revisiting the Number of Names in Equity Portfolios: https://lnkd.in/gE-YXauQ. By: Jennifer Bender and Xiaole Sun In How Many Is Too Few? Revisiting the Number of Names in Equity Portfolios, from the February 2024 issue of The Journal of Portfolio Management, Jennifer Bender and Xiaole Sun of State Street Global Advisors find that the primary determinant for the optimal number of names in a portfolio is tracking error. Read the full practical application report at Portfolio Managment Research. #equityportfolio #portfolios #research

4

If you think portfolio risk management is just about diversification, think again. This article sheds light on some surprising strategies that challenge common perceptions. Here are some thought-provoking takeaways: - Did you know that reducing the number of investments in a portfolio can sometimes actually decrease risks? It's all about strategic selection. - Contrary to popular belief, actively managing risk doesn't necessarily mean more frequent trading. In fact, a hands-off approach can be a smart move. - One of the key points discussed is the importance of understanding the correlation between investments, a factor often overlooked in risk management strategies. - Asymmetric risk and the role it plays in portfolio management is explored, offering a fresh perspective on balancing risk and return. - Ever considered tail risk hedging? This article dives into this lesser-known strategy that can enhance risk management effectiveness. Share your thoughts and feelings on these unconventional risk management strategies. https://lnkd.in/ecgSpH93

The US structured products market continues to grow, supported by investor demand and strong yet volatile markets. We assess their recent performance. A version of this article authored by Tim Mortimer was originally published by SRP. https://lnkd.in/ebMBh-xj #StructuredProducts #Investment #Research #Analysis #StressTest #Valuations #Consultancy #B2B

1

Most read paper "Leveraged speculators and asset prices" by author Wenxi Jiang in Review of Finance, Volume 28, Issue 3, May 2024, Pages 769–804, https://lnkd.in/e6SYvqDT Published: 31 October 2023 Abstract I test the hypothesis that the use of leverage by market speculators can increase the likelihood and magnitude of crashes in asset prices. Using a direct leverage measure derived from US public filings, I find that (1) stocks held by highly leveraged hedge funds subsequently have more negatively skewed returns than stocks held by less leveraged funds and (2) upon extremely negative earnings surprises or funding liquidity shocks, stocks owned by high-leverage funds exhibit abnormal price declines and subsequent reversal. Consistent with the fire sale and contagion hypothesis, high-leverage funds tend to reduce the position following negative news about a stock, and such selling can extend to other stocks in the portfolio, increasing the crash proneness of the stocks they hold. JEL G12 - Asset Pricing; Trading volume; Bond Interest RatesG23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investors https://lnkd.in/exwJK9qT

11

In his latest whitepaper, “SOFR Dynamics Are Not What You Wished,” Marco Macchiavelli, Assistant Professor of Finance at the University of Massachusetts Amherst, reports that SOFR is heavily influenced by month-end “window dressing” incentives and fluctuations in Treasury net-issuance. These factors have little to do with what a LIBOR replacement should ideally capture—bank funding risk. As federal budget deficits grow and Treasury issuance increases, SOFR may face greater volatility. AMERIBOR, a credit-sensitive reference rate, avoids such distortions. It remains unaffected by these factors, making it a more focused tool for assessing credit risk. To read the full whitepaper, please visit: https://lnkd.in/eHRPm9kq #SOFR #AMERIBOR #Banking #RiskManagement

21

This week's Disruptive Theme is Intangible Assets. While modern accounting standards have failed to keep up with Intangibles, there are a few #ETFs out there that help fill the "gap" in "GAAP accounting" https://lnkd.in/g_bSFhaV #intangibles #freecashflow #moats To learn more about how VettaFi can help support your index product and distribution growth strategies, please get in touch with us here! https://lnkd.in/g5974aQJ

13

1 Comment

Consumers, who power about the two-thirds of the economic activity in the US, are still spending. Sales increased 0.4% compared to August and 1.7% from a year ago. Chart by: Atiqur Rahman, FRM Ric Martin, MS, CFP® Adam Weingartner, CFA® Courtney Walls Gabe Martin, CFP® Andrew Hayek Caleb Stertzer #Consumers #Economy #EconomicData #Investing

5

Managing Volatile Markets with 0DTE Options w/ Cboe Global Markets Join us for an in-depth session on navigating market volatility using SPX and VIX options and other essential tools Date & Time: 🚨NOW🚨 Register & Watch Here: https://lnkd.in/eEY6jbdS

1

1 Comment

If asset classes were racehorses in the quant strategy stakes, FX’s odds would be shortening fast. https://hubs.li/Q02xmJMN0 Non-subscribers can get a snapshot of Risk’s coverage. Registration is free and allows you to read two articles a month: https://hubs.li/Q02xmJ3S0

2

📣40 is the new 60 for MPS costs 📣 For the first time the MPS research has leveraged ISS MI’s Simfund Fee and Expense data to highlight the cost profile of funds used within model portfolios. Considering all fund sales through MPS programs led to a sales weighted ongoing charge figure (OCF) of 41 bps. A figure that aligns to the underlying fund cost seen with many of today’s blended MPS programs. Fund sales, however, were widely distributed with many passive funds sales occurring at an OCF below 15bps and much of the active fund sales activity, particularly equity, in funds well above the 60bps level. Don't miss out on the latest insights from ISS Market Intelligence's UK Model Portfolio Sales Report: https://hubs.li/Q02WgBLX0 Connect with Benjamin Reed-Hurwitz, CFA for more information. #ModelPortfolioSales #UKAssetManagement #MPS #ModelPortfolioProvider

10

Steven Schoffstall, Director of ETF Product Management at Sprott Asset Management, joins Jill Malandrino on Nasdaq TradeTalks to discuss the key drivers of critical materials demand and how #AI and geopolitics impact the space. https://lnkd.in/e9dKAXZE

11

In a recent interview in The Economic Times, EPFR's Director of Research, Cameron Brandt, analyzes the recent rate cut by the US Federal Reserve and its potential implications on fund flows to Emerging Markets. Read the full interview >> https://lnkd.in/em5BV-Rw #interestrates #USfederalreserve #emergingmarkets

5

We all know that diversification is vital in smart portfolio construction. But, how does one evaulate the diversification benefits of quant multi-asset strategies? And, how does one identify the smartest quant strategies to add to a well-diversified portfolio in order to achieve the best outcomes? Join us to find out! John Hynes of HedgeFacts will moderate this astute panel of highly skilled experts including John Hall, CFA of Teacher Retirement System of Texas, Ryan O'Grady of ROW Asset Management, Wassim Sakka of Wilshire, and Anne-Sophie van Royen, Ph.D of Asset Management One. Thankful for our brilliant industry partners: Abbey Capital Limited, AFBI LP, Galaxy Plus, Investcorp-Tages, Welton Investment Partners, Wilshire, ABR Dynamic Funds, LLC, Asset Management One, Bodhi Research Group, Cinctive Capital, Graham Capital Management, L.P., HedgeFacts, Metori Capital Management, O'Brien Investment Group, One River Asset Management, Quest Partners LLC, ROW Asset Management, and SSI Investment Management. Harry Pagel, Andy Schneider, Milena Dubinsky, Scott Glickman, CFA, CAIA, Mark Tower #assetallocation #portfolioconstruction #quants #managedfutures #hedgefunds https://conta.cc/3ycc6jz

31

2 Comments

PPET's lead fund manager and Senior Investment Director Alan Gauld recently gave his views to Investment Week on the current debate surrounding private equity valuations in light of the ongoing Financial Conduct Authority review: "It is time for perception to catch up with reality. This is why I view the review by the Financial Conduct Authority into the valuation of unlisted assets positively. "The ultimate test of private equity valuations is the valuation change when a private equity-backed company is sold. Our own experience within PPET is that we see a long-term average uplift of circa 25% compared to the valuation two quarters prior to sale." Read the full piece below. #Patria #ValueCrafters #PrivateEquity #Investment #Valuations #PEValuations #InvestmentTrust #Investing #AlternativeInvestments #PPET

53

Investors prioritize outcomes, aiming for quality results while minimizing disappointments. How can we maximize our desired outcomes effectively? In the fixed income sector, the potential upside is known, and current yields offer more potential gains than in recent history. Learn about quality investing from Ben Hayward at TwentyFour Asset Management. Read more: https://bit.ly/3WRn1JB #Vontobel #FixedIncome

18

I recently read an older, but interesting paper by Laurence B. Siegel titled Benchmarks and Investment Management, published by The Research Foundation of AIMR in 2003. The paper describes profound impact benchmarks have on investment strategies, market behaviors, and the measurement of portfolio performance. Siegel’s work emphasizes that benchmarks do more than just reflect market sentiment—they actively shape the decisions of investment managers. A key takeaway is the "triple duty" of benchmarks: 1. Portfolios for Index Funds: Benchmarks provide a passive investment option, representing the return of an asset class with minimal costs. 2. Performance Standards: They serve as a yardstick for evaluating the effectiveness of active management strategies. 3. Proxies for Asset Classes: Benchmarks are essential in asset allocation, helping to understand risks and correlations among different asset classes. Siegel also addresses the unintended consequences of an intense focus on benchmarks, such as their potential role in market bubbles and the narrowing of investment opportunities. I found that portion of the paper to be relevant today, and the growth of passive investing. A lot of investors hear about benchmarking, but few truly understand what it means. A lot of us tend to compare our investments to the broadest measure possible such as the S&P 500, or the Russell 2000, etc. You hire managers to deliver alpha, which is the excess return above their respectable benchmarks or indices. The issue arises when managers are compared to improper benchmarks. If you hire a mutual fund manager to invest in small-cap stocks is it fair to compare them to the S&P 500? This type of comparison is dangerous to the investor and unfair to the manager. Comparing a fund that has a mandate completely different from your benchmark will cause distorted results which can lead to excessive risk taking. This small-cap manager could look good in some years, and horrible in others. The problem is that you haven't established a good base for comparison. #InvestmentManagement #Benchmarks #PortfolioManagement #Finance #AssetAllocation

16

4 Comments

In the new issue of Financial Analysts Journal, Rob Arnott, Feifei Li, and Juhani Linnainmaa find that live portfolio performance rarely matches backtests, or paper portfolios. Trading costs and other factors cause implementation shortfalls. This paper provides new evidence on prioritizing transactions when rebalancing to focus portfolio turnover on the trades that offer the strongest signals and hence, the highest potential performance impact. William N. Goetzmann, Luis Garcia-Feijoo, Ph.D., CFA, Nicole Boyson, Daniel Giamouridis, Allison Adams, Research Associates, Inc. https://lnkd.in/g866EAgR

189

1 Comment

In the new issue of Financial Analysts Journal, Rob Arnott, Feifei Li, and Juhani Linnainmaa find that live portfolio performance rarely matches backtests, or paper portfolios. Trading costs and other factors cause implementation shortfalls. This paper provides new evidence on prioritizing transactions when rebalancing to focus portfolio turnover on the trades that offer the strongest signals and hence, the highest potential performance impact. William N. Goetzmann, Luis Garcia-Feijoo, Ph.D., CFA, Nicole Boyson, Daniel Giamouridis, Allison Adams, Research Associates, Inc. https://lnkd.in/ekGY875s

14