a high alpha is always good. Beta, on the other hand, measures the volatility (or risk) of an investment. It is an indication of Aqr Risk Parity fund's relative risk over its benchmark. Aqr Risk Parity has a beta of0.13. As returns on the market increase, Aqr Risk's returns are ...
So I certainly wouldn't consider bridgewater all weather or AQR risk partiy as "passive" funds. IMHO, quant-driven models all have human judgements built in. I do agree with you that any excess returns that can be explained by trading rule...
However, we find that the alpha becomes insignificant when controlling for exposures to Betting-Against-Beta and Quality-Minus-Junk factors. Further, we estimate that Buffett's leverage is about 1.6-to-1 on average. Buffett's returns appear to be neither luck nor magic, but, rather, reward ...
The returns of crowded hedge fund factor and residual bets vary over time as the funds go through cycles of capital inflows and outflows. Consequently, generic analysis of hedge fund crowding can herd investors into losing bets on the wrong side of a cycle. For instance, depending on the tre...
(https://www.aqr.com/insights/datasets/betting-against-beta-equity-factors-daily) in addition to the risk-free rate. data shown includes dividend reinvestment and reflects fund expense ratios. results shown are hypothetical, simulated, and are not an indicator of future results. the "avg return...
用于识别低波动性股票的指标涵盖范围很广,一边实现了波动率(标准差),另一边则进行了预测(隐含)波动率和相关性。 有些将低波动性作为低beta值进行操作。 支持波动率异常的证据对于不同指标似乎很可靠。 4. 质量因子 质量因子旨在获取高利润,高效运营,安全,稳定且管理良好(简而言之,高质量)的公司的超额收益。 市场...
After looking into it, it is the proxy in my case too, curl returns the 7 exit code. Just to try it out, I managed to hack together a version of the hyperkube image which works. 1.I passed in the proxy details as env in both cluster/images/hyperkube/master-multi.json and cluster/...
However, we find that the alpha becomes insignificant when controlling for exposures to Betting-Against-Beta and Quality-Minus-Junk factors. Further, we estimate that Buffett’s leverage is about 1.6-to-1 on average. Buffett’s returns appear to be neither luck nor magic, but, rather, reward...
a high alpha is always good. Beta, on the other hand, measures the volatility (or risk) of an investment. It is an indication of Aqr Large Cap fund's relative risk over its benchmark. Aqr Large Cap has a beta of0.94. Aqr Large returns are very sensitive to returns on the market. ...
The returns of crowded hedge fund factor and residual bets vary over time as the funds go through cycles of capital inflows and outflows. Consequently, generic analysis of hedge fund crowding can herd investors into losing bets on the wrong side of a cycle. For instance, depending on the tre...