Liquidity Timing
Can Hedge Funds Time Market Liquidity? ABSTRACT – Charles Cao and et al. “We explore a new dimension of hedge fund managers’ timing ability—their ability to time market liquidity—and examine whether fund managers can time liquidity by adjusting their portfolios’ market exposure as aggregate market liquidity conditions change. Using a large sample of equity-oriented hedge funds from 1994 to 2009, … Continue reading
Video Reports – My friend James Xiong’s video interview
Have Correlations Made Your Holdings One Color? Higher correlations paradoxically have caused diversification–and investors’ tools to attain it–to be even more important than they were before. Click here for the link
How far is a gigaparsec?
The scale of the universe portrayed in graphical form. How far is a gigaparsec? A long way. – HTWINS
GOAL – Global Strategy Paper: No. 3 – AsiaPac Valuation: What works, and when, 3/12/2012 by Tim Moe
Links between valuation and performance: The historical connections between valuation and performance show that: 1) equity returns are better when starting valuations are low, 2) valuations link best with returns over a 6m-2yr window, 3) extreme valuations have the strongest links with ensuing performance, and 4) valuation/return correlations are stronger at macro cycle peaks and … Continue reading
AQR Insight Award Update
Countercyclical Currency Risk Premia Hanno Lustig, Nick Roussanov, Adrien Verdelhan Market Expectations in the Cross Section of Present Values Bryan Kelly, Seth Pruitt The Other Side of Value: The Gross Profitability Premium Robert Novy-Marx The Recovery Theorem Steve Ross The Short of It: Investor Sentiment and Anomalies Robert F. Stambaugh, Jianfeng Yu, and Yu Yuan
Some interesting papers
Demystifying Risk Parity by Neuberger Berman QIG A template for understanding by Bridgewater
STARisk 