Miquel Noguer Alonso, Executive Director, UBS & Adjunct Assistant Professor, Columbia University
| September 19, 2017
Miquel explores the most common approaches and introduces a new framework to address the portfolio allocation problem in the different signal-factor-security spaces.
Active strategies face the challenge of combining information from different sources in order to maximize that information’s after-cost effectiveness. This challenge is evident for investors who follow a systematic, structured investment process. It is also an issue, although often unrecognized, for more traditional managers who must balance top-down views and the views of in-house and sell-side analysts.
In any case, a decision is made either through default, analysis, or whimsy. This task is commonly called signal weighting, although risk budgeting can be an alternative description. The approach is based on standard methods of portfolio analysis and their extension to dynamic portfolio management.
RavenPack's 5th Annual Research Symposium
, that took place September 19, 2017 in New York City.
Please use your business email. If you don't have one, please email us at email@example.com.
We will process your personal data with the purpose of managing your personal account on
RavenPack and offering our services. You can exercise your rights of access, rectification,
erasure, restriction of processing, data portability and objection by emailing us at firstname.lastname@example.org. For more information, you can
Your request has been recorded and a team member will be in touch soon.
We consider incorporating sentiment signals from news, earnings call transcripts, and insider transactions to
boost the risk-adjusted returns, and revive factor performance.
We find stronger, more predictable market reactions when the words of company executives agree with their actions.
We have gathered 12 insights from 2021 research that can be leveraged in 2022.