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Questions tagged [quant-funds]

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Does inflows to ETF affect equity prices?

I’m wondering if significant asset inflows to an ETF affect its underlying stocks. For instance, ARK disruptive innovation ETF have seen significant inflows in the past 3 months, around $7 billion. ...
user28909's user avatar
  • 498
4 votes
1 answer

Using Implied Volatility for Portfolio Optimization

Hello I am interested in portfolio optimization . Previously I when I have done portfolio optimization I would take the historical returns of a stock and use them to perform a mean variance ...
Pelumi's user avatar
  • 339
1 vote
1 answer

Retail Algorithmic Trading

Is it possible for the retail algo traders to take the same approach to risk management as the larger quant funds? is there a risk management budget imposed on the trader beyond that which they impose ...
Vihaan Shah's user avatar
3 votes
3 answers

Fund size and alpha

During my research I found that fund active returns (alpha), measured by Fama and French four factor model, decreases as the fund increases in size (asset under management). What are some reasons ...
user28909's user avatar
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2 votes
1 answer

How do I officially track the performance of my quant strategy? Do I need to be GIPS compliant for my performance to be legitimate?

I have a quant strategy that I want to implement in order to establish an official track record, but I'm not sure what I have to do. I have about $100k to set this thing up and would appreciate ...
Henry's user avatar
  • 21
2 votes
2 answers

What is a good way to detect fund manager's active stock picks from his portfolio holdings?

There are a number of challenges. It is usually unclear what the managers' benchmark index is. The index may have 500 - 3000 stocks, but the manager can only hold 20-50, so that will naturally ...
Slow Learner's user avatar
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1 vote
1 answer

British hedge/mutual funds performance comparison website [closed]

Imagine a British investor with $10-100k in her pocket. She wants to see the previous performance of various British and overseas funds to choose the one to invest. And she wants to filter out the ...
QAZ's user avatar
  • 35
26 votes
10 answers

Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoff?

Renaissance Technologies Medallion fund is one of the most successful hedge funds - ever! Yet it is very secretive. Do you have information on the strategy used that is not yet mentioned in the ...
vonjd's user avatar
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