Volume 18, No. 1, 2020 Abhilash Babu, Ari Levine, Yao Hua Ooi, Lasse Heje Pedersen and Erik Stamelos We provide new out-of-sample evidence on trend-following investing by studying its performance for 82 securities not previously examined and 16 long–short equity factors. Specifically, we study the performance of time series momentum for emerging market equity index futures… Read more
2020
Timing is not Everything—Assessing Manager Skill in Factor Timing
Volume 18, No. 1, 2020 Andrew Chin and Piyush Gupta We introduce an innovative framework to assess the contribution and persistence of factor timing within US large-cap equity funds. After decomposing active returns into three components—strategic factor contribution, tactical factor contribution and security selection—we find that they are all significant but security selection is the dominant contributor… Read more
Do High-Frequency Traders Improve Your Implementation Shortfall?
Volume 18, No. 1, 2020 Robert A. Korajczyk and Dermot Murphy We take advantage of a regulatory change that effectively imposed a “tax” on HFT order activity on Canadian equity venues to study the resulting effect on the execution costs of large institutional trades.We find that bid–ask spreads increase and price impact decreases for these trades… Read more