Tag Archives: tracking error
Are momentum strategies antisocial?
We’ll get to “antisocial” via a look at a chapter in The Future of Finance from the London School of Economics. The chapter in question is “Why are financial markets so inefficient and exploitative?” by Paul Woolley. There are many things in this chapter with which I agree. There is roughly an equal number of … Continue reading
Posted in Fund management in general
Tagged active fund management, momentum, tracking error
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The volatility puzzle solved?
Finance textbooks say that more volatile assets should have higher returns. The volatility puzzle is that that doesn’t always hold true. You should be getting used to textbooks not always being right. Harin de Silva gave a talk last week entitled “Low Volatility Portfolios: A Free Lunch?” at a meeting of the CFA Society of … Continue reading
