[BOOK][B] Machine learning for factor investing: R version

G Coqueret, T Guida - 2020 - taylorfrancis.com
Machine learning (ML) is progressively reshaping the fields of quantitative finance and
algorithmic trading. ML tools are increasingly adopted by hedge funds and asset managers …

The promises and pitfalls of machine learning for predicting stock returns

E Leung, H Lohre, D Mischlich… - The Journal of …, 2021 - jfds.pm-research.com
Recent research suggests that machine learning models dominate traditional linear models
in predicting cross-sectional stock returns. The authors confirm this finding when predicting …

The smart beta mirage

S Huang, Y Song, H Xiang - Journal of Financial and Quantitative …, 2020 - cambridge.org
We document and explain the sharp performance deterioration of smart beta indexes after
the corresponding exchange-traded funds (ETFs) are launched for investment. While smart …

The Data Dilemma in Alternative Risk Premium: Why Is a Benchmark So Elusive?

SA Gorman, FJ Fabozzi - The Journal of Portfolio …, 2022 - jpm.pm-research.com
Alternative risk premium (ARP) is an investment category consisting of a wide range of rules-
based trading strategies targeting returns representing either compensation for bearing risk …

[BOOK][B] Investing Amid Low Expected Returns: Making the Most when Markets Offer the Least

A Ilmanen - 2022 - books.google.com
Elevate your game in the face of challenging market conditions with this eye-opening guide
to portfolio management Investing Amid Low Expected Returns: Making the Most When …

151 Trading Strategies

Z Kakushadze, JA Serur - Z. Kakushadze and JA Serur, 2018 - papers.ssrn.com
We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

Workhorse or Trojan Horse? The Alternative Risk Premium Conundrum in Multi-Asset Portfolios.

SA Gorman, FJ Fabozzi - Journal of Portfolio Management, 2022 - search.ebscohost.com
Diversified alternative risk premium (ARP) portfolios seek to generate absolute returns using
a broad range of systematic trading strategies incorporating multiple investment styles …

Do smart beta ETFs deliver persistent performance?

C Mateus, I B. Mateus, M Soggiu - Journal of Asset Management, 2020 - Springer
This paper analyses smart beta ETF performance and provides the first evidence on the
funds' performance persistence. Our sample is comprised of 152 US equity smart beta ETFs …

Hedge funds vs. alternative risk premia

P Jorion - Financial Analysts Journal, 2021 - Taylor & Francis
Alternative risk premia (ARP) are designed to provide low-cost exposures to long–short risk
premia often embedded in hedge fund returns. This article describes the performance of the …

Avoiding Backtesting Overfitting by Covariance-Penalties: an empirical investigation of the ordinary and total least squares cases

A Koshiyama, N Firoozye - arXiv preprint arXiv:1905.05023, 2019 - arxiv.org
Systematic trading strategies are rule-based procedures which choose portfolios and
allocate assets. In order to attain certain desired return profiles, quantitative strategists must …