Webinars

Axioma Spring 2013 Research Seminar is now a Webinar!

Alpha Construction in a Consistent Investment Process

May 21, 2013, 11:00 AM EDT

Register today! https://www2.gotomeeting.com/register/790324898

Good forecasts should translate to outperforming portfolios. The Fundamental Law of Active Management tells us so. Why, then, do we so often hear the complaint that they don't? Can this discrepancy be explained?

We argue that a consistent investment process is key. In our experience, quantitative investment strategies tend to be inconsistent in at least one way. Here we show through case studies both the ill-effects of an inconsistent process, as well as the benefits of modifying an investment process to be fully consistent.

Questions to be addressed include:

• How much information to do I really have in my expected returns?
• How efficiently is my information being transferred to the portfolio?
• Are constraints alone to blame for low efficiency?
• What nuances must I consider in the construction of expected returns?
• What risk model should I use in constructing my portfolios?