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Mutual Funds, Hedge Funds, & Investment Industry eJournal

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Viewing: 1 - 50 of 12,864 papers

1.

A Quantitative Approach to Tactical Asset Allocation

The Journal of Wealth Management, Spring 2007
Number of pages: 70 Posted: 11 Feb 2007 Last Revised: 03 Mar 2014
Accepted Paper Series
Cambria Investment Management
Downloads 233,855
2.

Relative Strength Strategies for Investing

Number of pages: 22 Posted: 06 Apr 2010 Last Revised: 20 Apr 2010
Working Paper Series
Cambria Investment Management
Downloads 69,450
3.

151 Trading Strategies

Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature, 1st Edition (2018), XX, 480 pp; ISBN 978-3-030-02791-9
Number of pages: 361 Posted: 13 Sep 2018 Last Revised: 16 Sep 2019
Accepted Paper Series
Quantigic Solutions LLC and University of CEMA
Downloads 38,981
4.

101 Formulaic Alphas

Wilmott Magazine 2016(84) (2016) 72-80
Number of pages: 22 Posted: 10 Dec 2015 Last Revised: 29 Jul 2016
Accepted Paper Series
Quantigic Solutions LLC
Downloads 35,196
5.

Fact, Fiction and Momentum Investing

Journal of Portfolio Management, Fall 2014 (40th Anniversary Issue), Fama-Miller Working Paper
Number of pages: 26 Posted: 12 May 2014 Last Revised: 03 Oct 2014
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 29,937
6.

How Active is Your Fund Manager? A New Measure That Predicts Performance

AFA 2007 Chicago Meetings Paper, Yale ICF Working Paper No. 06-14, EFA 2007 Ljubljana Meetings Paper
Number of pages: 47 Posted: 21 Mar 2006 Last Revised: 09 Feb 2019
Accepted Paper Series
University of Notre Dame and New York University (NYU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 27,058
7.

Luck Versus Skill in the Cross Section of Mutual Fund Returns

Tuck School of Business Working Paper No. 2009-56 , Chicago Booth School of Business Research Paper, Journal of Finance, Forthcoming
Number of pages: 43 Posted: 10 Mar 2009 Last Revised: 08 Feb 2010
Accepted Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 23,563
8.

Understanding Modern Portfolio Construction

Number of pages: 46 Posted: 03 Mar 2016 Last Revised: 22 Sep 2016
Working Paper Series
Orcam Financial Group
Downloads 23,098
9.

The 7 Reasons Most Machine Learning Funds Fail (Presentation Slides)

Number of pages: 44 Posted: 06 Sep 2017 Last Revised: 04 Oct 2018
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 18,809
10.

Factor Investing

Columbia Business School Research Paper No. 13-42
Number of pages: 72 Posted: 11 Jun 2013
Working Paper Series
BlackRock, Inc
Downloads 16,935
11.

Squaring Venture Capital Valuations with Reality

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 57 Posted: 22 Apr 2017 Last Revised: 10 Dec 2019
Accepted Paper Series
University of British Columbia (UBC) - Sauder School of Business and Stanford University - Graduate School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 16,831
12.

Imitation is the Sincerest Form of Flattery: Warren Buffett and Berkshire Hathaway

Number of pages: 51 Posted: 26 Sep 2005 Last Revised: 05 May 2008
Working Paper Series
American University - Kogod School of Business and University of Nevada, Las Vegas - Department of Finance
Downloads 16,606
13.

Size Matters, If You Control Your Junk

Fama-Miller Working Paper
Number of pages: 59 Posted: 23 Jan 2015 Last Revised: 16 Apr 2015
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 16,169
14.

What Happened to the Quants in August 2007?

Number of pages: 67 Posted: 21 Sep 2007 Last Revised: 17 Jan 2008
Working Paper Series
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 15,328
15.

Mean-Reversion and Optimization

Journal of Asset Management 16(1) (2015) 14-40
Number of pages: 41 Posted: 11 Aug 2014 Last Revised: 15 Feb 2016
Accepted Paper Series
Quantigic Solutions LLC
Downloads 14,733
16.

The Fundamentals of Commodity Futures Returns

Yale ICF Working Paper No. 07-08
Number of pages: 62 Posted: 28 Jun 2007 Last Revised: 07 Feb 2012
Working Paper Series
Yale School of Management, National Graduate Institute for Policy Studies and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 14,218
17.

Corporate Sustainability: First Evidence on Materiality

The Accounting Review, Vol. 91, No. 6, pp. 1697-1724.
Number of pages: 55 Posted: 11 Mar 2015 Last Revised: 01 Feb 2017
Accepted Paper Series
Causeway Capital Management, LLC, Harvard University - Harvard Business School and Northwestern University - Department of Accounting Information & Management
Downloads 14,190
18.

Building Diversified Portfolios that Outperform Out-of-Sample

Journal of Portfolio Management, 2016; https://doi.org/10.3905/jpm.2016.42.4.059.
Number of pages: 31 Posted: 17 Jul 2019 Last Revised: 17 Jul 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 13,504
19.

How Do Venture Capitalists Make Decisions?

Stanford University Graduate School of Business Research Paper No. 16-33, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 477/2016
Number of pages: 95 Posted: 29 Jun 2016 Last Revised: 10 May 2017
Working Paper Series
Harvard Business School - Finance Unit, University of British Columbia (UBC) - Sauder School of Business, University of Chicago - Booth School of Business and Stanford University - Graduate School of Business
Downloads 13,467
20.

‘The Prayer’ Ten-Step Checklist for Advanced Risk and Portfolio Management

Number of pages: 29 Posted: 11 May 2011 Last Revised: 14 May 2011
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 13,376
21.

Day Trading for a Living?

Number of pages: 17 Posted: 22 Jul 2019 Last Revised: 22 Nov 2019
Working Paper Series
Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics, University of São Paulo (USP) - Department of Economics and Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics
Downloads 13,239
22.

A Practitioner's Defense of Return Predictability

Number of pages: 37 Posted: 22 May 2019 Last Revised: 22 May 2019
Working Paper Series
Hull Investments LLC and Paraconic Technologies US Inc.
Downloads 13,223
23.

The Performance of Mutual Funds in the Period 1945-1964

Journal of Finance, Vol. 23, No. 2, pp. 389-416, 1967
Number of pages: 37 Posted: 31 Aug 2002
Accepted Paper Series
Harvard Business School
Downloads 12,827
24.

IPO Underpricing: A Survey

HANDBOOK IN CORPORATE FINANCE: EMPIRICAL CORPORATE FINANCE, B. Espen Eckbo, ed., Forthcoming
Number of pages: 76 Posted: 27 Oct 2004
Accepted Paper Series
Stockholm School of Economics
Downloads 12,737
25.

Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance

Notices of the American Mathematical Society, 61(5), May 2014, pp.458-471
Number of pages: 14 Posted: 12 Aug 2013 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
Downloads 12,315
26.

The Long-Term Effects of Hedge Fund Activism

Harvard Law School John M. Olin Center Discussion Paper No. 802, Columbia Law Review, Vol. 115, 2015, pp. 1085-1156, Columbia Business School Research Paper No. 13-66
Number of pages: 77 Posted: 07 Aug 2013 Last Revised: 02 Jul 2015
Accepted Paper Series
Harvard Law School, Duke University - Fuqua School of Business and Columbia Business School - Finance and Economics

Multiple version iconThere are 2 versions of this paper

Downloads 12,039
27.

Market Risk Premium and Risk-Free Rate Used for 69 Countries in 2019: A Survey

Number of pages: 15 Posted: 18 Apr 2019 Last Revised: 26 May 2019
Working Paper Series
IESE Business School, University of Navarra, IESE Business School and University of Navarra - University of Navarra, Students
Downloads 11,632
28.

Hedge Funds, Systemic Risk, and the Financial Crisis of 2007-2008: Written Testimony for the House Oversight Committee Hearing on Hedge Funds

Number of pages: 34 Posted: 17 Nov 2008
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 11,573
29.

The Profitability of Technical Analysis: A Review

AgMAS Project Research Report No. 2004-04
Number of pages: 106 Posted: 15 Oct 2004
Working Paper Series
Chungbuk National University and University of Illinois at Urbana-Champaign
Downloads 11,158
30.

The Cash Flow, Return and Risk Characteristics of Private Equity

NYU, Finance Working Paper No. 03-001
Number of pages: 43 Posted: 18 Mar 2003
Working Paper Series
Stockholm School of Economics and New York University (NYU) - Department of Finance

Multiple version iconThere are 7 versions of this paper

Downloads 10,986
31.

The Probability of Backtest Overfitting

Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 34 Posted: 16 Sep 2013 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Cornell University - Operations Research & Industrial Engineering and Western Michigan University

Multiple version iconThere are 2 versions of this paper

Downloads 10,796
32.

Country Risk: Determinants, Measures and Implications – The 2017 Edition

Number of pages: 100 Posted: 18 Jul 2017
Working Paper Series
New York University - Stern School of Business
Downloads 10,417
33.

The Cost of Active Investing

Number of pages: 50 Posted: 16 Mar 2008 Last Revised: 12 Apr 2008
Working Paper Series
Dartmouth College - Tuck School of Business
Downloads 10,310
34.

Advances in Financial Machine Learning (Chapter 1)

Advances in Financial Machine Learning, Wiley, 1st Edition (2018); ISBN: 978-1-119-48208-6
Number of pages: 61 Posted: 19 Jan 2018
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 10,218
35.

The Sharpe Ratio Efficient Frontier

Journal of Risk, Vol. 15, No. 2, Winter 2012/13
Number of pages: 36 Posted: 24 Apr 2011 Last Revised: 07 May 2020
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 10,151
36.

Can Hedge-Fund Returns Be Replicated?: The Linear Case

Number of pages: 54 Posted: 27 Aug 2006
Working Paper Series
Babson College - Finance Division and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 10,009
37.

The Economics of Structured Finance

Harvard Business School Finance Working Paper No. 09-060
Number of pages: 37 Posted: 22 Oct 2008
Working Paper Series
Harvard Business School - Finance Unit, University of Pennsylvania - Finance Department and Harvard Business School - Finance Unit
Downloads 9,679
38.

Does Academic Research Destroy Stock Return Predictability?

Journal of Finance, Forthcoming
Number of pages: 48 Posted: 04 Oct 2012 Last Revised: 24 Feb 2016
Accepted Paper Series
Georgetown University - Department of Finance and Boston College - Department of Finance
Downloads 9,662
39.

Active Share and Mutual Fund Performance

Number of pages: 47 Posted: 02 Oct 2010 Last Revised: 17 Jan 2013
Working Paper Series
New York University (NYU) - Department of Finance
Downloads 9,377
40.

The Siren Song of Factor Timing

Journal of Portfolio Management, Vol. Special Issue, No. 1, 2016
Number of pages: 9 Posted: 18 Apr 2016 Last Revised: 23 Jun 2016
Working Paper Series
AQR Capital Management, LLC
Downloads 9,292
41.

Keynes the Stock Market Investor: A Quantitative Analysis

Journal of Financial and Quantitative Analysis (JFQA), Vol 50, No 4, 2015, pages 431–449,
Number of pages: 54 Posted: 17 Mar 2012 Last Revised: 19 Mar 2016
Accepted Paper Series
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 9,246
42.

Risk Management Failures: What are They and When do They Happen?

Fisher College of Business Working Paper No. 2008-03-017, Charles A. Dice Center Working Paper No. 2008-18
Number of pages: 25 Posted: 06 Oct 2008
Working Paper Series
Ohio State University (OSU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 9,050
43.

Machine Learning for Trading

Number of pages: 19 Posted: 14 Aug 2017 Last Revised: 04 Dec 2017
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 9,045
44.

Systemic Risk

Duke Law School Legal Studies Paper No. 163, Georgetown Law Journal, Vol. 97, No. 1, 2008
Number of pages: 58 Posted: 19 Mar 2008 Last Revised: 26 Sep 2008
Accepted Paper Series
Duke University School of Law
Downloads 8,984
45.

Three Quant Lessons from COVID-19 (Presentation Slides)

Number of pages: 19 Posted: 31 Mar 2020 Last Revised: 08 May 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering and Hebrew University of Jerusalem
Downloads 8,934
46.

Leverage for the Long Run - A Systematic Approach to Managing Risk and Magnifying Returns in Stocks

2016 Charles H. Dow Award
Number of pages: 18 Posted: 07 Mar 2016 Last Revised: 01 Dec 2019
Working Paper Series
Lead-Lag Publishing, LLC and affiliation not provided to SSRN
Downloads 8,886
47.

Evaluating Trading Strategies

Number of pages: 16 Posted: 21 May 2019 Last Revised: 21 May 2019
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads 8,773
48.

Learning to Play Offense and Defense: Combining Value and Momentum from the Bottom Up, and the Top Down

Number of pages: 10 Posted: 08 Oct 2015
Working Paper Series
Cambria Investment Management
Downloads 8,763
49.

Global Factor Premiums

Number of pages: 63 Posted: 06 Feb 2019
Working Paper Series
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 8,721
50.

Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors

Number of pages: 61 Posted: 02 Jan 2019 Last Revised: 28 Sep 2019
Working Paper Series
University of Chicago - Booth School of Business, Inalytics Limited, Carnegie Mellon University - Department of Social and Decision Sciences and MIT Sloan School of Management
Downloads 8,715