Quantitative equity portfolio management combines theories and advanced techniques from
several disciplines, including financial economics, accounting, mathematics, and …

One of the underlying assumptions of the Fundamental Law of Active Management is that the
active risk of an active investment strategy equates estimated tracking error by a risk model…

In this paper, we investigate the benefit and cost of constrained long/short portfolios by relaxing
the no-short constraint on actively managed portfolios. Using a simulation under a variety …

Active portfolio managers often see themselves as assemblers of efficient portfolios that
maximize information ratios through the value-added of their proprietary investment insights (…

multifactor models with the objective of the highest information ratio. This work relies heavily
on the time series correlation of information coefficients (IC) as well as contemporaneous …

are cross-sectional dispersions of factors and returns, respectively. Hence, value-added is
proportional to IC, and to the dispersion of factors (opportunity in return forecasts) and the …

Applying a multifactor alpha model across a diverse range of stocks is a popular approach
to forecast securities' expected returns. This approach assumes that one single return-…

Since the Great Recession of 2007 and the subsequent financial crisis of 2008, global
financial markets have entered into an unchartered territory characterized by extreme …

As wild organisms adapt to the laboratory environment, they become less relevant as
biological models. It has been suggested that a commonly used S. cerevisiae strain has rapidly …

Relationships between the journal download immediacy index (DII) and some citation
indicators are studied. The Chinese full-text database CNKI is used for data collection. Results …