Artificial Intelligence… Generative AI Applications and Solutions: A View from Asset Management 17 Jul 202312 Aug 2023 Generative AI, a branch of AI that involves generating new data, content, or media, has found applications in the asset management industry. At Fundopedia, we started building different generative AI…
Behavioral Finance… The Halloween Effect Revisit 4 Nov 201323 Jan 2024 Historically, stocks tend to outperform in November, stall in December and January, and then resume higher in February and March. Stock markets have seasonal effects and calendar anomalies, which challenge…
Asset Allocation… Theory Versus Practice: Rethink Your Portfolio Optimizers 9 Oct 201310 Oct 2013 Portfolio optimization is a mathematical process of assigning the proportions of various asset classes or investment styles to be held in a portfolio, in a way as to construct the…
Asset Allocation… Balancing Risk and Reward: Asset Allocation 8 Oct 201316 Oct 2013 The Importance Asset Allocation Many portfolio managers believe that asset allocation is one of the most important decisions that investors make: From a portfolio design standpoint, portfolio theory asserts that…
Alternative Investments… From Modern Portfolio Theory to Pioneering Portfolio Management: The Endowment Model 6 Oct 201315 Oct 2013 Implications of Modern Portfolio Theory Traditional and widely used institutional policy portfolios commonly consisted of a majority of U.S. equities and a reciprocal proportion of U.S. bonds, e.g., 60% stock/40%…
Equity… Earnings Manipulation Detection and The M-Model 30 Jul 201331 Jul 2013 Management quality is one of the most important elements in choosing an investment; management is incentivized to hit the target and increase long-term earnings, in reality, this does not necessarily…
Financial Modeling… Fixed Income Portfolio Attribution Frameworks 固定收益组合绩效归因 22 Jun 201322 Jun 2013 Fund managers market their strategy products as that they are able to achieve consistent competitive performance through particular repetitive decision-making process; attribution is an extremely useful tool in verifying their…
Financial Modeling… Financial Instability Hypothesis, Debt Deflation, and Debt-to-GDP 19 Apr 20132 Sep 2013 The debt-to-GDP ratio is one of the indicators of the health of an economy; governments aim for low debt-to-GDP ratios which most likely indicate that they can stand up to…
Equity… U.S. Mid Cap Equity Fund Investment Philosophy and Approach (Core, Value, Growth) 27 Feb 20131 Jul 2013 In the U.S., mid-capitalization companies are typically defined as those having a market capitalization range of $2 billion to $10 billion. During the period of January 1979 through December 2012,…
Alternative Investments… Alternative Investments in a Portfolio 23 Jan 201312 Sep 2023 Traditional asset classes such as stocks, bonds, and cash tend to be highly correlated with each other during the down markets. The long-only investments may not meet the changing needs…
Financial Modeling… Robert Merton’s Approach for Macrofinancial Risks 罗伯特·默顿的主权信用风险模型 31 Oct 20121 Jul 2013 Traditional Macrofinancial framework vs. Robert Merton’s Macrofinancial Framework The traditional approach to measure sovereign credit risk is based upon the assessment of a country’s ability and willingness to service its…
Asset Allocation… Behavioral Portfolio versus Mean-Variance Portfolio 19 Oct 201214 Sep 2022 Investors that follow the mean-variance portfolio (MVT) theory (Markowitz, 1952) determine optimal aggregate portfolios on the efficient frontier by balancing risk aversion and return preference. Many investors have difficulty specifying…
Behavioral Finance… Time Series Momentum, Cross-Sectional Momentum, Market Return Drivers 10 Aug 201220 Jul 2023 Traditionally, annualized return volatility is believed to decrease over long periods because of mean reversion. In fact, stocks are more volatile over long periods because of parameter uncertainty. In order…
Financial Modeling… Portfolio Optimization, Risk Aversion, Constraints 21 Jul 201217 Jul 2023 Portfolio Optimization Since an investor can trade risk for return along the efficient frontier, the motivation of optimizing a portfolio originates from the idea that a greater expected return for…
Financial Modeling… Valuation Multiples, BtM, Tobin’s q, and EM 10 Jul 201220 Jul 2023 Empirical studies indicate that value stocks have beaten the market over the long run, which are characterized by low multiples: price-to-earnings (P/E), price-to-book (P/B), enterprise value (EV), earnings before interest,…
Financial Modeling Financial Research, Financial Model, Market Efficiency 21 Jun 201212 Jul 2023 “If you give CAPM and VaR to monkeys, they are going to create financial crisis.” This is one of the most vivid sayings I have heard these days, although I…