Questions tagged [active-investing]
The active-investing tag has no usage guidance.
13
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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 ...
- 1,830
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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 ...
- 253
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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 ...
- 253
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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 ...
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164
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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
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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/...
- 43
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77
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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 ...
- 469
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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 ...
4
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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 "...
- 253
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205
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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
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60
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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 ...
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161
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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
- 193
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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 ...
- 27.3k