L Nilsson

NilssonHedge.com

SCHOLARLY PAPERS

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Scholarly Papers (7)

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1.

Trend Following - Expected Returns

Number of pages: 25 Posted: 14 Nov 2015 Last Revised: 09 Mar 2018
L Nilsson
NilssonHedge.com
Downloads 1,707 (16,142)

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Trend Following, Momentum, CTA, Managed Futures

2.

The Curious Case of the Pre-FOMC Drift

Number of pages: 14 Posted: 12 Aug 2015 Last Revised: 12 Feb 2018
L Nilsson
NilssonHedge.com
Downloads 462 (97,265)
Citation 1

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Behavioral Finance, FOMC, FED Meeting, Event Trading, Pre-FOMC Drift, US Federal Reserve, Monetary Policy

3.

Turn-of-the-Month: Window Dressing Behavior

Number of pages: 19 Posted: 22 Aug 2015 Last Revised: 12 Jun 2016
L Nilsson
NilssonHedge.com
Downloads 334 (140,631)

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Turn-of-the-month, window dressing, market anomalies

4.

Hedge Fund Alpha – Net Zero Using a Dynamic Factor Approach

Number of pages: 9 Posted: 13 Jun 2021
Alex Lostado and L Nilsson
NilssonHedge and NilssonHedge.com
Downloads 100 (403,645)

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Hedge Funds, Alpha persistence, Factor Regression, Return Dispersion

5.

Continuous Risk Adjustment – Does the Half-Life Have Implications for the Return Distribution

Number of pages: 11 Posted: 29 Sep 2015 Last Revised: 18 Oct 2019
L Nilsson
NilssonHedge.com
Downloads 100 (403,645)
Citation 1

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Risk Parity, Volatility, Volatility Adjustments, Portfolio Construction, Volatility Estimation

6.

Did the New Fix, Fix the Fix? An Intraday Exploration of the Precious Metal Fixing

Number of pages: 26 Posted: 09 Sep 2015 Last Revised: 11 Feb 2018
L Nilsson
NilssonHedge.com
Downloads 98 (409,066)

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Precious Metals, Fixing, Futures Trading, Intraday behavior, Commodities, Gold, Silver, Platinum, Palladium

7.

Rush for Duration

Number of pages: 12 Posted: 16 Feb 2018 Last Revised: 09 Mar 2018
L Nilsson
NilssonHedge.com
Downloads 77 (474,130)

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Bond Indices, Price Pressures, Calendar Anomalies, Passive Investments