Matthew Lyberg, CFA

We all know that diversification is vital in smart portfolio construction. But, how does one evaulate the diversification benefits of quant multi-asset strategies? And, how does one identify the smartest quant strategies to add to a well-diversified portfolio in order to achieve the best outcomes? Join us to find out! John Hynes of HedgeFacts will moderate this astute panel of highly skilled experts including John Hall, CFA of Teacher Retirement System of Texas, Ryan O'Grady of ROW Asset Management, Wassim Sakka of Wilshire, and Anne-Sophie van Royen, Ph.D of Asset Management One. Thankful for our brilliant industry partners: Abbey Capital Limited, AFBI LP, Galaxy Plus, Investcorp-Tages, Welton Investment Partners, Wilshire, ABR Dynamic Funds, LLC, Asset Management One, Bodhi Research Group, Cinctive Capital, Graham Capital Management, L.P., HedgeFacts, Metori Capital Management, O'Brien Investment Group, One River Asset Management, Quest Partners LLC, ROW Asset Management, and SSI Investment Management. Harry Pagel, Andy Schneider, Milena Dubinsky, Scott Glickman, CFA, CAIA, Mark Tower #assetallocation #portfolioconstruction #quants #managedfutures #hedgefunds https://conta.cc/3ycc6jz

30

2 Comments

Newly published research from the CFA Institute Research and Policy Center explores how generative AI tools are creating new opportunities. https://lnkd.in/e_henrhg #generativeAI #investmentmanagement #fintech

2

"As a Hedgeye subscriber, you depend on "The Best Macro Analysis Money Can Buy" and a process that is built around transparency, accountability, and trust," writes Eric McArdle. "This resonates with us deeply. More than a way to manage money, it is a way to live." "We built Simplify Asset Management to bring you access to hard-to-reach exposures, high conviction investment strategies, and thoughtful, seasoned market experts. Delivered via low cost, liquid, and tax efficient ETFs, our strategies will modernize and round out your toolkit to help give you an edge in any market." Click below to learn more and enhance your investing game.

21

See how volatility may impact an options portfolio! Join OIC instructor Ken Keating as he expands on volatility fundamentals during the second session of May’s #webinar series. Ken will be highlighting the following topics: - Historical and implied #volatility concepts - Vega - Volatility skew and volatility ratios - Overview of relative value You can expect to learn this and more when you register now https://bit.ly/4ajASLD.

7

Today at 2:00 PM EST learn about Unmasking Stochastic Volatility in Discontinuous Continuity Approximations and Extracting VIX Optionality Directly from SPX Implied Volatilities Dilip Madan, Professor Emeritus of Mathematical Finance at the University of Maryland - Robert H. Smith School of Business will discuss how, when it comes to volatility, Brownian motion is blind and unable to distinguish three important aspects of motion. These are speed, the rate of motion in time, scale, the rate of motion in space, and the degree of continuity in motion or the relativity of speed to scale at small scales. The third is lost by being continuous, the first two are identified with each other by the scaling property. By focusing attention on discontinuous approximations to continuity instead, one is able to distinguish all three and then ask what is stochastic when volatility is stochastic. Is it speed, scale, or the degree of continuity? Models of stochastic speed are formulated by adapting current speeds going forward to realized speeds looking back. When they are calibrated to SPX option prices it is shown that they directly imply, via an endogenous construction of the volatility of volatility, the prices for options on both volatility and variance. Stylized facts observed in VIX option prices are then directly derived from SPX option prices. To learn more visit: https://lnkd.in/eQjjaD4Z #quantbootcamp #arpm #mathematicalfinance #equitytrading #datascience

14

If asset classes were racehorses in the quant strategy stakes, FX’s odds would be shortening fast. https://hubs.li/Q02xmJMN0 Non-subscribers can get a snapshot of Risk’s coverage. Registration is free and allows you to read two articles a month: https://hubs.li/Q02xmJ3S0

2

ICYMI: Last month, Managing Director Steve Moseley represented Wafra at SALT iConnections NY, speaking on a panel about innovations in institutional investing.   "I'm excited about the opportunities that emerge inevitably from disruption. A chaotic market creates additional incentive for new firms to spinout from big firms…These big firms are factories for innovation. To the extent that there is innovation in private markets, and I think there can be a great deal, it's happening with new and emerging managers…[Innovation] has to happen at new firms pursuing new strategies."   You can watch Steve's panel in full here: https://lnkd.in/euymJhe5. 

45

3 Comments

The chart below was featured in our new piece, "Excessive Extrapolation & Stock Based Compensation" ↓ https://loom.ly/no5HtNY It illustrates the stark contrast in stock-based compensation issuance between the top 20% and bottom 20% of #stocks over the last decade. The best-performing stocks issued a staggering $703 billion, while the worst-performing issued just $134 billion. This flood of stock grants from top stocks creates a dangerous situation, as their success makes it even harder for employees to diversify. Given that employees often view these grants as financial advice or endorsements, FAs are now struggling to convince clients to implement basic #diversification and risk management strategies. Click the link below to subscribe to our newsletter ↓ https://loom.ly/loanBbc

1

The chart below was featured in our new piece, "Excessive Extrapolation & Stock Based Compensation" ↓ https://loom.ly/no5HtNY It illustrates the stark contrast in stock-based compensation issuance between the top 20% and bottom 20% of #stocks over the last decade. As you can see, the top performers issued $703 billion in stock, while the worst performers issued just $134 billion. Based on historical research conducted by the great Shlomo Benartzi, the stock of companies with the best trailing 10-year returns severely underperformed the stocks with the worst trailing 10-year returns. We believe that concentrated stock-based compensation is a major risk factor that prudent #investors should avoid. Click the link below to subscribe to our newsletter ↓ https://loom.ly/loanBbc

3

If asset classes were racehorses in the quant strategy stakes, FX’s odds would be shortening fast. https://hubs.li/Q02xmJMM0 Non-subscribers can get a snapshot of Risk’s coverage. Registration is free and allows you to read two articles a month: https://hubs.li/Q02xmLS90

2

UPDATE on the CFT-Max (J1939) Data fields now include: Peak flows and total flow volumes since last reset as well as the current flow and flow averaged / 500 ms. Knowing more Flow Data increases the Value of the Data!

8

3 Comments

We expect the #ETF to feature more heavily in #modelportfolio construction as newer products begin to hit their three- and five-year track records, which are typically required for consideration, Matthew Apkarian, CFA said. Explore more in the Financial Times: https://lnkd.in/eEUYgk9A

7