Questions tagged [active-investing]
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14 questions
0 votes
1 answer
92 views
Constructing a Corporate Bond portfolio?
Is it possible to create a corporate bond portfolio such that its yield is 100bps higher that its benchmark, while still outperforming the benchmark (BBG Corporate bond Index)? I guess my question is ...
4 votes
0 answers
72 views
Active risk management of private assets
It seems incredibly difficult to not only come up with a list of options for active risk of private assets (Private Equity, Private Credit, Infrastructure, Real Estate, etc.) but also get senior ...
- 1,930
0 votes
1 answer
1k views
Confusion about the proof of Fundamental Law of Active Management in Grinold & Kahn (2000)
I'm reading Grinold & Kahn (2000) for the proof of the Fundamental Law of Active Management. I can't understand formula (6A.20) on page 168, which says: Finally, by assuming that all the signals ...
- 293
5 votes
1 answer
220 views
How to deal with benchmark timing in quantitative portfolio management?
In Grinold & Kahn (2000), the authors emphasized the separation of stock selection and benchmark timing in active portfolio management. So if we avoid benchmark timing, the optimal portfolio's ...
- 293
0 votes
0 answers
152 views
Momentum Indicators/Oscellators for Trading
The concept of momentum in trading is a bit weird to me. It seems to me to be measuring a first derivative or first difference of price, or something in that ballpark depending on the exact formulae ...
1 vote
0 answers
250 views
Relative Strength in Altcoins compared to Bitcoin
I trade stocks using relative strength analysis compared with S&P index. I was wondering if crypto traders do the same compared with Bitcoin price %change. These coins had a higher %gain than btc ...
- 11
1 vote
0 answers
95 views
Sharpe ratio and uniformly distributed random portfolio
I am currently working on this paper which derives the Sharpe ratio distribution of uniformly random porfolios: https://www.researchgate.net/publication/...
- 155
0 votes
0 answers
100 views
Consensus expected excess return from Active Portfolio Management
In the book Active Portfolio Management, when discussing components of expected return (page 92 in edition 2), the authors mention that the consensus expected excess return $\beta_n\mu_B$ is the ...
- 514
0 votes
0 answers
105 views
Optimal withdrawal rate based on alpha and drawdown
My trading returns is about 50% monthly(alpha) and maximum drawdown is about 20%. Is there a mathematical way to define the optimal withdrawal rate X%(say when profit level reach y%) to avoid risk of ...
5 votes
1 answer
3k views
What on earth is an Alpha Model in the quantative investment process?
I am confused with the useage of the concept "Alpha Model" in quantative investment. According to Qian, Hua & Sorensen (2007), the first thing in the toolbox of quantative investment process is "...
- 293
1 vote
1 answer
318 views
How to calculate the daily rate of return for an actively traded account
I have a spot currency exchange account where the base currency is USD and where I can deposit and/or withdraw money from the account in any currency at any point in time. I can also exchange any ...
- 403
0 votes
1 answer
88 views
Returns on actively trading bonds compared to equity?
Long term equities outperform bonds (equity premium puzzle). However this kind of misses the nature of returns: in equity it is mostly the total return from "the principal" (and a little from ...
- 1,010
1 vote
0 answers
201 views
Investment Bank VWAP Execution ranking
Is there a ranking of Investment Banks institutional VWAP execution algorithms anywhere (who beats the benchmark price most consistently and by how much)? Thanks
- 183
17 votes
2 answers
801 views
Does the rise in passive investing make the markets less efficient?
The general idea of efficiency in financial markets is that information is being processed almost instantaneously because active investors arbitrage away any arising price discrepancies. On the other ...
- 28k