This paper seeks to explain successful fund launches globally for equity, fixed income, and allocation asset classes and understand the factors that drive investor preferences for these new funds.  We define success as the forward 36-month Star Rating and investor preferences as the forward 36-month cumulative flows.  By studying the…

Bill Ahmuty from SSGA’s SPDR Fixed Income Group will discuss a number of important issues surrounding the use and trading of Fixed Income products.  Included but limited to: –       Growth of Fixed Income ETF market –       Institutional Uses of ETFs –       Liquidity Spectrum –       ETF Liquidity Enhancement in US High…

New, first-ever studies on use of options by more than 80 Investment Company funds were published in 2015, and results of the studies will be presented. Funds use options with the goals of managing portfolio risk, increasing income, and enhancing long-term risk-adjusted returns. This presentation discusses a number of risk-management…

Haohua (Andy) Tang, CFA is a Quantitative Analyst at Morningstar in Chicago. He is an expert in statistical and non-structured modeling, optimization, big data visualization and R package customization. He is experienced in risk model design and development and has experience building fixed income, yield curve, option pricing models. Andy…

During this presentation, we will explore: Trends in aggregate ownership by institutional investor type across the major U.S. indices Implications for investors who would like to leverage signals embedded in institutional ownership information Combining the long side of hedge fund and traditional institutional holdings with short interest as reported by…

Since 1997, Northfield has used various forms of “contemporaneously observable” information to improve estimates of the future risk of securities and investment portfolios.  The first effort was to include changes in “option implied” stock volatility in our short horizon risk models in the late 1990s.   In 2007, we began to…

This study builds on earlier findings that factors such as size, value and momentum are responsible for portfolio returns. In addition it has been shown that capital expenditures by the firm are predictors of future returns. This study examines the impact of capital expenditures and incorporates Altman’s Zeta score, a…

This study builds on earlier findings that factors such as size, value and momentum are responsible for portfolio returns. In addition it has been shown that capital expenditures by the firm are predictors of future returns. This study examines the impact of capital expenditures and incorporates Altman’s Zeta score, a…

Ruben Falk’s pdf overview of: A Systematic Approach to Country Allocation for Equities – Review of the efficacy of macro-economic and fundamental company factors for country selection – Data sources examined include top-down macro measures and bottom-up aggregations of company and market data such as ratios of valuation, growth, profitability…