Why Do Markets Trend? Two Perspectives
A comparison of the institutional and behavioral perspectives on why markets trend.
A comparison of the institutional and behavioral perspectives on why markets trend.
In the context of the hedge fund industry’s growth over the past two decades, Andrew Lo, Peter Lee, and Mila Getmansky present a selective review of recent hedge fund academic literature and updated empirical results...
What are managed futures strategies? What role can they play in a durable portfolio? This brief positioning paper examines managed futures strategies and their historical performance to address these questions.
In the Adaptive Markets Hypothesis (AMH) intelligent but fallible investors learn from and adapt to changing economic environments. This implies that markets are not always efficient, but are usually competitive and adaptive, varying in their...
The quantitative aspirations of economists and financial analysts have for many years been based on the belief that it should be possible to build models of economic systems—and financial markets in particular—that are as predictive...
Drs. Andrew Lo and Alexander Healy propose a futures overlay strategy designed to hedge out or control the common factor exposures of gated assets. The study demonstrates that by taking countervailing positions in stock, bond,...
The study investigated the possibility of creating passive replicating portfolios or “clones” using liquid exchange-traded instruments that could provide similar risk exposures as hedge funds’ at lower cost and with greater transparency.
One of the most influential ideas in the past 30 years is the Efficient Markets Hypothesis, the idea that market prices incorporate all information rationally and instantaneously. However, the emerging discipline of behavioral economics and...
