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Full-Text Articles in Business
Factor Based Statistical Arbitrage In The U.S. Equity Market With A Model Breakdown Detection Process, Seoungbyung Park
Factor Based Statistical Arbitrage In The U.S. Equity Market With A Model Breakdown Detection Process, Seoungbyung Park
Master's Theses (2009 -)
Many researchers have studied different strategies of statistical arbitrage to provide a steady stream of returns that are unrelated to the market condition. Among different strategies, factor-based mean reverting strategies have been popular and covered by many. This thesis aims to add value by evaluating the generalized pairs trading strategy and suggest enhancements to improve out-of-sample performance. The enhanced strategy generated the daily Sharpe ratio of 6.07% in the out-of-sample period from January 2013 through October 2016 with the correlation of -.03 versus S&P 500. During the same period, S&P 500 generated the Sharpe ratio of 6.03%. This thesis is …
Asset Owner Governance And Fiduciary Effectiveness: The Case Of Public Pension Plans, Christopher Kinne Merker
Asset Owner Governance And Fiduciary Effectiveness: The Case Of Public Pension Plans, Christopher Kinne Merker
Dissertations (1934 -)
Purpose: The U.S. and many developed countries are currently facing a retirement savings crisis. The governance of institutional funds, such as public pension plans, is coming under greater scrutiny in light of systematic chronic underfunding, declining investment returns and shifts into higher risk asset classes. A disconnect exists between an organization’s process under the standards, and the outcome of this process, the overall effectiveness of the organization and, in particular, its investment performance and funding status. Methodology: In 2012, there were approximately 6,300 public retirement systems in the United States with over $3 trillion in assets. We collected financial, governance …