Do Hedge Funds Profit from Public Information?
|
|
|
- Virgil Wilkins
- 6 years ago
- Views:
Transcription
1 Do Profit from Public Information? Alan Crane Kevin Crotty Tarik Umar Rice University Jones Graduate School of Business May 2018
2 Outline 1 Introduction 2 Data 3 Results 4 Literature 5 Conclusion
3 Motivation: Do HFs Profit from Public Information? HFs are sophisticated investors, perhaps yes?
4 Motivation: Do HFs Profit from Public Information? HFs are sophisticated investors, perhaps yes? HFs, in theory, can profit from public information with... Processing advantages (Grossman & Stiglitz, 1980)
5 Motivation: Do HFs Profit from Public Information? HFs are sophisticated investors, perhaps yes? HFs, in theory, can profit from public information with... Processing advantages (Grossman & Stiglitz, 1980) Complementary private signals (Kim & Verrecchia, 1994)
6 Motivation: Do HFs Profit from Public Information? Large literature dedicated to HF performance Exposed to risk factors (Fung & Hsieh, 2001) Have stock-picking skills (Agarwal et al, 2013) Trade on private information (Massoud et al, 2011) Profit from lobbyist connections (Gao & Huang, 2016) And make use of FOIA (Gargano et al., 2017)
7 Motivation: Do HFs Profit from Public Information? Large literature dedicated to HF performance Exposed to risk factors (Fung & Hsieh, 2001) Have stock-picking skills (Agarwal et al, 2013) Trade on private information (Massoud et al, 2011) Profit from lobbyist connections (Gao & Huang, 2016) And make use of FOIA (Gargano et al., 2017) Less clear whether HFs use and profit from public information
8 Approach: Do HFs Profit from Public Information? First, need data on hedge fund s usage of public information Have 560 hedge funds, including: AQR, Renaissance, Paulson & Co.
9 Approach: Do HFs Profit from Public Information? First, need data on hedge fund s usage of public information Have 560 hedge funds, including: AQR, Renaissance, Paulson & Co. Second, need systematic variation in usage of public information Cross-sectional & time-series variation in usage
10 Approach: Do HFs Profit from Public Information? First, need data on hedge fund s usage of public information Have 560 hedge funds, including: AQR, Renaissance, Paulson & Co. Second, need systematic variation in usage of public information Cross-sectional & time-series variation in usage Third, need usage to predict returns Any usage predicts 1.5%-higher future annualized returns Above-median usage earns even higher returns
11 Approach: Do HFs Profit from Public Information? First, need data on hedge fund s usage of public information Have 560 hedge funds, including: AQR, Renaissance, Paulson & Co. Second, need systematic variation in usage of public information Cross-sectional & time-series variation in usage Third, need usage to predict returns Any usage predicts 1.5%-higher future annualized returns Above-median usage earns even higher returns Fourth, mechanism?
12 Approach: Do HFs Profit from Public Information? First, need data on hedge fund s usage of public information Have 560 hedge funds, including: AQR, Renaissance, Paulson & Co. Second, need systematic variation in usage of public information Cross-sectional & time-series variation in usage Third, need usage to predict returns Any usage predicts 1.5%-higher future annualized returns Above-median usage earns even higher returns Fourth, mechanism? Fund Type: Within-fund
13 Approach: Do HFs Profit from Public Information? First, need data on hedge fund s usage of public information Have 560 hedge funds, including: AQR, Renaissance, Paulson & Co. Second, need systematic variation in usage of public information Cross-sectional & time-series variation in usage Third, need usage to predict returns Any usage predicts 1.5%-higher future annualized returns Above-median usage earns even higher returns Fourth, mechanism? Fund Type: Within-fund Cover-up: Filing Characteristics
14 Approach: Do HFs Profit from Public Information? First, need data on hedge fund s usage of public information Have 560 hedge funds, including: AQR, Renaissance, Paulson & Co. Second, need systematic variation in usage of public information Cross-sectional & time-series variation in usage Third, need usage to predict returns Any usage predicts 1.5%-higher future annualized returns Above-median usage earns even higher returns Fourth, mechanism? Fund Type: Within-fund Cover-up: Filing Characteristics Processors: Robots!
15 Approach: Do HFs Profit from Public Information? First, need data on hedge fund s usage of public information Have 560 hedge funds, including: AQR, Renaissance, Paulson & Co. Second, need systematic variation in usage of public information Cross-sectional & time-series variation in usage Third, need usage to predict returns Any usage predicts 1.5%-higher future annualized returns Above-median usage earns even higher returns Fourth, mechanism? Fund Type: Within-fund Cover-up: Filing Characteristics Processors: Robots! Private Info:??
16 Outline 1 Introduction 2 Data 3 Results 4 Literature 5 Conclusion
17 Data Construction Step 1: Universe of HFR reporting HFs Equity Hedge, Event-Driven, Relative Value U.S. HFs Sample period 2003 to months of data Results robust to backfilling
18 Data Construction Step 1: Universe of HFR reporting HFs Equity Hedge, Event-Driven, Relative Value U.S. HFs Sample period 2003 to months of data Results robust to backfilling Step 2: Determine IP addresses of HFs ARIN WhoIS (2014, 2017) ARIN WhoWas MaxMind
19 Data Construction Step 1: Universe of HFR reporting HFs Equity Hedge, Event-Driven, Relative Value U.S. HFs Sample period 2003 to months of data Results robust to backfilling Step 2: Determine IP addresses of HFs ARIN WhoIS (2014, 2017) ARIN WhoWas MaxMind Step 3: Match IPs to Edgar IPs Edgar Masks IPs: abc Terabytes of data
20 ARIN Overview Like telephone book for IP addresses Names Location (street address, zip code,...) IP addresses (ex ) Orgs have blocks of IP addresses Rice University has many IP blocks One block is to (65,536 IPs) ARIN WhoWas provides registration histories by IP Rice University owned IP block since Nov
21 Top 15 using EDGAR since 2003 Form Type Total Firm Name Downloads 10-K/Q 8-K 4 AUM (MM) Renaissance Technologies Corp. 4,016, % 2.0% 85.8% 50,941 PanAgora Asset Management, Inc 3,969, % 21.6% 10.9% 42,798 Blackrock 3,704, % 0.7% 92.4% 5,689,273 Hutchin Hill Capital, LP 3,044, % 4.7% 8.8% 3,300 Tradeworx Inc 2,068, % 5.6% 51.4% 61 First Pacific Advisors, LLC 2,003, % 73.8% 0.0% 30,800 AQR Capital Management 1,944, % 0.2% 0.1% 194,900 Jennison Associates LLC 1,857, % 87.7% 1.5% 167,000 Schroder Investment Management 1,590, % 55.1% 0.0% 490,700 Zack s Investment Management 1,540, % 0.3% 96.8% 4,736 Ten Asset Management 1,044, % 7.2% 27.1% 36 Neuberger Berman 915, % 1.7% 89.3% 270,728 Bailard 804, % 0.2% 98.0% 2,421 LIM Advisors Limited 424, % 5.8% 76.8% 1,800 Benchmark Capital Advisors 309, % 14.4% 84.3% 250
22 Summary Stats: Hedge Fund Sample Attributes Mean Std. Dev 25th Median 75th Firm Assets (mm) Months in HFR Months in Sample Age in Months VW Excess Ret VW Abnormal Return Incentive Fee Management Fee Market Beta SMB Beta HML Beta RMW Beta CMA Beta MOM Beta Observations 557
23 Sample size over time
24 Fraction Downloading in Given Month
25 Ex: Paulson & Co.
26 Ex: Paulson & Co.
27 Ex: Paulson & Co. (IP /255)
28 Ex: Renaissance Technologies
29 Ex: Renaissance Technologies
30 Ex: Renaissance Technologies (IP /255)
31 Summary Stats: Hedge Fund EDGAR Usage Mean Std. Dev 25th Median 75th Downloads Downloads of 10-K/Q Downloads of 8-K Downloads of Form Downloads of 13-D Downloads of 13-F Downloads of 13-G % 10-K/Q % 8-K % % 13-D % 13-F % 13-G % Other Competing Views 10-K/Q Filing Age 10K/Q Filing Size 10K/Q (KB)
32 EDGAR Usage over Time
33 Composition of Downloads: 10-K/Qs
34 Composition of Downloads: 8-Ks
35 Composition of Downloads: Form 4
36 Outline 1 Introduction 2 Data 3 Results 4 Literature 5 Conclusion
37 Determinants of Information Acquisition (1) (2) (3) Any 10-K/Q 8-K Log Age (1.21) (0.77) (0.74) Log AUM (5.06) (6.38) (6.98) MKTRF Beta (-2.37) (-2.55) (-2.81) MKTRF(t-1) (-2.86) (-2.75) (-3.29) Time (0.85) (0.31) (2.44) New SEC Filings (-0.17) New SEC Filings-10K/Q 0.08 (4.05) New SEC Filings-8K (-0.08) Calendar Month FE Yes Yes Yes Adjusted R Number Firms Observations Suppressed Controls: SMB, HML, CMA, and RMW Betas, Incentive Fee, Management Fee, and Lagged Fund Return.
38 Information Acquisition and Performance: Extensive Any Download Any 10K/Q Any 8K Dependent Variable: Abnormal Return (t+1) (1) (2) (3) (4) (5) (6) (7) (3.32) (3.39) (3.58) Any (1.46) Any 13d Any 13f Any 13g (3.65) (1.98) (2.77) AUM (t) (0.83) (0.72) (0.66) (1.11) (0.79) (1.03) (0.94) Abn Ret (t) (8.75) (8.76) (8.74) (8.75) (8.74) (8.75) (8.75) Date FE Yes Yes Yes Yes Yes Yes Yes Number Firms Observations
39 Information Acquisition and Performance: Intensive Dependent Variable: Abnormal Return (t+1) Any Download Above Med. Down. Any 10K/Q Above Med. 10K/Q Any 8K (1) (2) (3) (4) (5) (6) (7) (2.12) (2.00) (1.99) (2.11) (2.43) Above Med. 8K (1.42) Any (0.81) Above Med (0.68) Any 13d (3.04) Above Med. 13d (-0.28) Any 13f (0.92) Above Med. 13f (1.60) Any 13g (2.36) Above Med. 13g (-0.20) Date FE Yes Yes Yes Yes Yes Yes Yes Number Firms Observations Suppressed Controls: AUM, Lagged Return
40 Information Acquisition and Performance: Within Fund Abnormal Return (t+1) (1) (2) (3) (4) Any Download (3.32) (1.76) (2.12) (1.51) Above Median Download (2.00) (0.80) AUM (t) (0.83) (-8.13) (0.51) (-8.14) Abn Ret (t) (8.75) (6.25) (8.74) (6.25) Firm FE No Yes No Yes Date FE Yes Yes Yes Yes Number Firms Observations
41 Abnormal Information Acquisition and Performance Dependent Variable: Abnormal Return (t+1) Abnormal Downloads(t) High Abnormal Downloads(t) (1) (2) (2.07) (2.72) Low Abnormal Downloads(t) (1.08) AUM (t) (1.61) (1.53) Abn Ret (t) (7.69) (7.69) Date FE Yes Yes Number Firms Observations
42 Heterogeneous Effects Dependent Variable: Abnormal Return (t+1) (1) (2) (3) (4) (5) (6) (7) Any 10K/Q (1.99) (1.97) (2.00) (1.98) (1.99) (1.96) (2.00) Abv. Median 10K/Q (0.11) (0.26) (0.40) (0.12) (0.07) (0.11) (0.11) - x Age (-1.61) - x File Size (-1.66) - x Other HF Views (2.04) - x IVol (1.03) - x Tracked (1.61) - x Amihud (0.86) - x Uncertainty (2.11) AUM (t) (-8.14) (-8.14) (-8.16) (-8.14) (-8.18) (-8.13) (-8.17) Abn Ret (t) (6.26) (6.25) (6.25) (6.25) (6.25) (6.26) (6.25) Date FE Yes Yes Yes Yes Yes Yes Yes Fund FE Yes Yes Yes Yes Yes Yes Yes Adjusted R Number Firms Observations
43 Robots!
44 Robots Dependent Variable: Abnormal Return (t+1) (1) (2) (3) (4) Scraper (3.15) (4.08) (4.10) (4.10) Any Downloads (2.55) (2.82) (2.29) (1.98) Any Downloads x Scraper (-2.62) (-2.90) (-1.54) Above Median Downloads Above Median Downloads x Scraper (1.20) (1.72) (-1.78) AUM (t) (0.31) (0.36) (0.24) (0.21) Abn Ret (t) (8.73) (8.73) (8.73) (8.73) Date FE Yes Yes Yes Yes Adjusted R Number Firms Observations
45 Robots - Heterogeneous Effects Dependent Variable: Abnormal Return (t+1) (1) (2) (3) (4) (5) (6) (7) Age (-0.34) File Size (2.25) Other HF Views (0.66) IVol (-0.01) Tracked (-1.85) Amihud (-0.42) Uncertainty (-0.17) AUM (t) (1.10) (1.70) (1.02) (1.24) (1.27) (1.25) (1.26) Abn Ret (t) (1.52) (1.28) (1.49) (1.48) (1.25) (1.52) (1.47) Date FE Yes Yes Yes Yes Yes Yes Yes Adjusted R Number Firms Observations
46 Summary Stats: Hedge Fund EDGAR Usage
47 Specialists Dependent Variable: Abnormal Return (t+1) (1) (2) (3) (4) Any 10K/Q (0.22) (-0.23) (1.89) (2.47) Above Med 10K/Q (1.28) (0.72) (1.98) (0.11) AUM (t) (1.40) (-4.45) (-0.51) (-6.76) Abn Ret (t) (5.87) (4.43) (6.83) (4.70) Date FE Yes Yes Yes Yes Fund FE No Yes No Yes Adjusted R Number Firms Observations
48 Outline 1 Introduction 2 Data 3 Results 4 Literature 5 Conclusion
49 Related EDGAR Papers (Dyer, 2017, JMP) considers trading profitability in local stocks Sample is 13-F universe, dominated by MFs, index funds, etc. Future stock returns 27bp/qtr higher when trades coupled with EDGAR usage
50 Related EDGAR Papers (Dyer, 2017, JMP) considers trading profitability in local stocks Sample is 13-F universe, dominated by MFs, index funds, etc. Future stock returns 27bp/qtr higher when trades coupled with EDGAR usage (Chen et al. 2017) show trading on Form 4s by MFs profitable for firms tracking
51 Related EDGAR Papers (Dyer, 2017, JMP) considers trading profitability in local stocks Sample is 13-F universe, dominated by MFs, index funds, etc. Future stock returns 27bp/qtr higher when trades coupled with EDGAR usage (Chen et al. 2017) show trading on Form 4s by MFs profitable for firms tracking (Chen et al. 2018) use closure of brokerage firms to shock information environment. Find PEAD increases, hedge funds trade more aggressively on affected stocks, hedge funds earn higher abnormal returns on affected stocks, confirm hedge funds increase public information acquisition of affected firms using EDGAR
52 Outline 1 Introduction 2 Data 3 Results 4 Literature 5 Conclusion
53 Conclusion Hedge funds profit from public information obtained through SEC Edgar Examine whether superior processing or private information Several results point to private information Return-usage relation more positive for characteristics associated with complementary private information Weaker relation for Robots and specialists
Do Hedge Funds Profit from Public Information?
Do Hedge Funds Profit from Public Information? Alan Crane Jones Graduate School of Business Rice University, Houston, TX 77005, U.S.A. Kevin Crotty Jones Graduate School of Business Rice University, Houston,
Internet Appendix for: Change You Can Believe In? Hedge Fund Data Revisions
Internet Appendix for: Change You Can Believe In? Hedge Fund Data Revisions Andrew J. Patton, Tarun Ramadorai, Michael P. Streatfield 22 March 2013 Appendix A The Consolidated Hedge Fund Database... 2
Sources of Hedge Fund Returns: Alphas, Betas, Costs & Biases. Outline
Sources of Hedge Fund Returns: s, Betas, Costs & Biases Peng Chen, Ph.D., CFA President and CIO Alternative Investment Conference December, 2006 Arizona Outline Measuring Hedge Fund Returns Is the data
Table I Descriptive Statistics This table shows the breakdown of the eligible funds as at May 2011. AUM refers to assets under management. Panel A: Fund Breakdown Fund Count Vintage count Avg AUM US$ MM
Style rotation and the performance of Equity Long/Short hedge funds
Original Article Style rotation and the performance of Equity Long/Short hedge funds Received (in revised form): 9th August 2010 Jarkko Peltomäki is an assistant professor at the University of Vaasa. His
Daily Winners and Losers by Alok Kumar, Stefan Ruenzi, and Michael Ungeheuer
Daily Winners and Losers by Alok Kumar, Stefan Ruenzi, and Michael Ungeheuer American Finance Association Annual Meeting 2018 Philadelphia January 7 th 2018 1 In the Media: Wall Street Journal Print Rankings
Trading Costs of Asset Pricing Anomalies
Trading Costs of Asset Pricing Anomalies Andrea Frazzini AQR Capital Management Ronen Israel AQR Capital Management Tobias J. Moskowitz University of Chicago, NBER, and AQR Copyright 2014 by Andrea Frazzini,
21-1. Background. Issues. CHAPTER 19 Globalization and International Investing
CHAPTER 19 Globalization and International Investing 19.1 GLOBAL MARKETS FOR EQUITIES Background Global market US stock exchanges make up approximately 45.8% of all markets Emerging market development
Institutional Investor Cliques and Governance: Internet Appendix
Institutional Investor Cliques and Governance: Internet Appendix Alan D. Crane Jones Graduate School of Business Rice University Andrew Koch Katz Graduate School of Business University of Pittsburgh Sébastien
Can Hedge Funds Time the Market?
International Review of Finance, 2017 Can Hedge Funds Time the Market? MICHAEL W. BRANDT,FEDERICO NUCERA AND GIORGIO VALENTE Duke University, The Fuqua School of Business, Durham, NC LUISS Guido Carli
STRATEGIES SUMMARY. Quarterly Portfolio Recommendations. Save The Date Quarterly Investment Review
STRATEGIES SUMMARY Quarterly Portfolio Recommendations Save The Date Quarterly Investment Review The Quarterly Investment Review will be pre-recorded. You will be able to download the multimedia presentation
Economic Uncertainty and the Cross-Section of Hedge Fund Returns
Economic Uncertainty and the Cross-Section of Hedge Fund Returns Turan Bali, Georgetown University Stephen Brown, New York University Mustafa Caglayan, Ozyegin University Introduction Knight (1921) draws
Risk Spillovers of Financial Institutions
Risk Spillovers of Financial Institutions Tobias Adrian and Markus K. Brunnermeier Federal Reserve Bank of New York and Princeton University Risk Transfer Mechanisms and Financial Stability Basel, 29-30
Information Environment, Sophisticated Investors, and Market Efficiency: Evidence from a Natural Experiment *
Information Environment, Sophisticated Investors, and Market Efficiency: Evidence from a Natural Experiment * Yong Chen Texas A&M University Bryan Kelly Yale University Wei Wu Texas A&M University December
Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies
Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies Andrew Ellul 1 Vijay Yerramilli 2 1 Kelley School of Business, Indiana University 2 C. T. Bauer College of Business, University
Liquidity Risk Management for Portfolios
Liquidity Risk Management for Portfolios IPARM China Summit 2011 Shanghai, China November 30, 2011 Joseph Cherian Professor of Finance (Practice) Director, Centre for Asset Management Research & Investments
Are there common factors in individual commodity futures returns?
Are there common factors in individual commodity futures returns? Recent Advances in Commodity Markets (QMUL) Charoula Daskalaki (Piraeus), Alex Kostakis (MBS) and George Skiadopoulos (Piraeus & QMUL)
Internet Appendix for. On the High Frequency Dynamics of Hedge Fund Risk Exposures
Internet Appendix for On the High Frequency Dynamics of Hedge Fund Risk Exposures This internet appendix provides supplemental analyses to the main tables in On the High Frequency Dynamics of Hedge Fund
Man Group Stock Performance. US$ Per Share 35
Panel Sponsored by: Man Group Stock Performance US$ Per Share 35 30 25 20 15 10 5 0 95 96 97 98 99 00 01 02 03 What is a Hedge Fund? The term "hedge fund" is not formally defined by federal securities
Performance Persistence
HSE Higher School of Economics, Moscow Research Seminar 6 April 2012 Performance Persistence of Hedge Funds Pascal Gantenbein, Stephan Glatz, Heinz Zimmermann Prof. Dr. Pascal Gantenbein Department of
Hedging Factor Risk Preliminary Version
Hedging Factor Risk Preliminary Version Bernard Herskovic, Alan Moreira, and Tyler Muir March 15, 2018 Abstract Standard risk factors can be hedged with minimal reduction in average return. This is true
The Real Value of China s Stock Market
The Real Value of China s Stock Market 中国股票市场的实体价值 Jennifer N. Carpenter New York University Fangzhou Lu MIT Robert F. Whitelaw New York University JOIM Conference Series Legacy of Jack Treynor, Future
Essays on Open-Ended on Equity Mutual Funds in Thailand
Essays on Open-Ended on Equity Mutual Funds in Thailand Roongkiat Ratanabanchuen and Kanis Saengchote* Chulalongkorn Business School ABSTRACT Mutual funds provide a convenient and well-diversified option
When Low Beats High: Riding the Sales Seasonality Premium
When Low Beats High: Riding the Sales Seasonality Premium Gustavo Grullon Rice University grullon@rice.edu Yamil Kaba Rice University yamil.kaba@rice.edu Alexander Núñez Lehman College alexander.nuneztorres@lehman.cuny.edu
The Good News in Short Interest: Ekkehart Boehmer, Zsuzsa R. Huszar, Bradford D. Jordan 2009 Revisited
Utah State University DigitalCommons@USU All Graduate Plan B and other Reports Graduate Studies 5-2014 The Good News in Short Interest: Ekkehart Boehmer, Zsuzsa R. Huszar, Bradford D. Jordan 2009 Revisited
Is Information Risk Priced for NASDAQ-listed Stocks?
Is Information Risk Priced for NASDAQ-listed Stocks? Kathleen P. Fuller School of Business Administration University of Mississippi kfuller@bus.olemiss.edu Bonnie F. Van Ness School of Business Administration
A Tough Act to Follow: Contrast Effects in Financial Markets. Samuel Hartzmark University of Chicago. May 20, 2016
A Tough Act to Follow: Contrast Effects in Financial Markets Samuel Hartzmark University of Chicago May 20, 2016 Contrast eects Contrast eects: Value of previously-observed signal inversely biases perception
Alpha or Beta in the Eye of the Beholder: What Drives Hedge Fund Flows? Internet Appendix
Alpha or Beta in the Eye of the Beholder: What Drives Hedge Fund Flows? Internet Appendix This appendix consists of four parts. Section IA.1 analyzes whether hedge fund fees influence investor preferences
GAIM - Funds of Funds November 20th, 2003
GAIM - Funds of Funds November 20th, 2003 The Brave New World of Hedge Fund Indices Desperately Seeking Pure Style Indices Lionel Martellini EDHEC Risk and Asset Management Research Center lionel.martellini@edhec.edu
Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns
Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns Kevin Oversby 22 February 2014 ABSTRACT The Fama-French three factor model is ubiquitous in modern finance. Returns are modeled as a linear
EWY ishares MSCI South Korea ETF
ishares MSCI South Korea ETF ETF.com segment: Equity: South Korea - Total Market Competing ETFs: DBKO, H, FKO, KOR, FLKR Related ETF Channels: Asia-Pacific, South Korea, Vanilla, Equity, Size and Style,
A Replication Study of Ball and Brown (1968): Comparative Analysis of China and the US *
DOI 10.7603/s40570-014-0007-1 66 2014 年 6 月第 16 卷第 2 期 中国会计与财务研究 C h i n a A c c o u n t i n g a n d F i n a n c e R e v i e w Volume 16, Number 2 June 2014 A Replication Study of Ball and Brown (1968):
An Alternative to Rescue the Middle Class Fund Family
An Alternative to Rescue the Middle Class Fund Family Russell Campbell Q1 2016 Your Second Opinion, LLC Executive Summary Liquid alternatives in mutual fund form have attracted a lot of attention in recent
The debate on NBIM and performance measurement, or the factor wars of 2015
The debate on NBIM and performance measurement, or the factor wars of 2015 May 2016 Bernt Arne Ødegaard University of Stavanger (UiS) How to think about NBIM Principal: People of Norway Drawing by Arild
PRUDENTIAL PREMIER ADVISOR VARIABLE ANNUITY PRUDENTIAL PREMIER RETIREMENT VARIABLE ANNUITY PRUDENTIAL PREMIER INVESTMENT VARIABLE ANNUITY
PRUDENTIAL PREMIER ADVISOR VARIABLE ANNUITY PRUDENTIAL PREMIER RETIREMENT VARIABLE ANNUITY PRUDENTIAL PREMIER INVESTMENT VARIABLE ANNUITY PRUCO LIFE INSURANCE COMPANY PRUCO LIFE FLEXIBLE PREMIUM VARIABLE
Information, Investors and Technology
Information, Investors and Technology Jake Thornock University of Washington April 2013 Information Investors Information Investors Dissemination Processing Acquisition CARE Conference! Information Investors
Size Matters, if You Control Your Junk
Discussion of: Size Matters, if You Control Your Junk by: Cliff Asness, Andrea Frazzini, Ronen Israel, Tobias Moskowitz, and Lasse H. Pedersen Kent Daniel Columbia Business School & NBER AFA Meetings 7
BOYNTON BEACH POLICE PENSION FUND INVESTMENT PERFORMANCE PERIOD ENDING MARCH 31, 2013
BOYNTON BEACH POLICE PENSION FUND INVESTMENT PERFORMANCE PERIOD ENDING MARCH 31, 2013 NOTE: For a free copy of Part II (mailed w/i 5 bus. days from request receipt) of Burgess Chambers and Associates,
Long and Short Run Correlation Risk in Stock Returns
Long and Short Run Correlation Risk in Stock Returns Discussion by Ric Colacito Econometric Society Winter Meetings, Denver, 1/2011 1 / 10 Contribution 1 Background: market variance risk premium predicts
Perks or Peanuts? The Dollar Profits to Insider Trading
Perks or Peanuts? The Dollar Profits to Insider Trading Peter Cziraki University of Toronto Jasmin Gider University of Bonn ABFER Annual Conference May 24, 2017 Motivation Common prior: corporate insiders
Volatility Appendix. B.1 Firm-Specific Uncertainty and Aggregate Volatility
B Volatility Appendix The aggregate volatility risk explanation of the turnover effect relies on three empirical facts. First, the explanation assumes that firm-specific uncertainty comoves with aggregate
Variable Investment Option Performance Update
Brighthouse Life Insurance Company Variable Investment Option Performance Update One Month YTD 1 Year 3 Year* 5 Year* The performance data quoted represents past performance and does not guarantee future
Optimal Debt-to-Equity Ratios and Stock Returns
Utah State University DigitalCommons@USU All Graduate Plan B and other Reports Graduate Studies 5-2014 Optimal Debt-to-Equity Ratios and Stock Returns Courtney D. Winn Utah State University Follow this
Variable Investment Option Performance Update
Variable Investment Option Performance Update Brighthouse Investment Architect SM - Standard Version Brighthouse Life Insurance Company The performance data quoted represents past performance and does
Topic Nine. Evaluation of Portfolio Performance. Keith Brown
Topic Nine Evaluation of Portfolio Performance Keith Brown Overview of Performance Measurement The portfolio management process can be viewed in three steps: Analysis of Capital Market and Investor-Specific
Variable Investment Option Performance Update
Brighthouse Life Insurance Company of NY Variable Investment Option Performance Update The performance data quoted represents past performance and does not guarantee future results. Current performance
Variable Investment Option Performance Update
Brighthouse Investment Architect SM - C Share Option Brighthouse Life Insurance Company Variable Investment Option Performance Update The performance data quoted represents past performance and does not
DBKO Xtrackers MSCI South Korea Hedged Equity ETF
Xtrackers MSCI South Korea Hedged Equity ETF ETF.com segment: Equity: South Korea - Total Market Competing ETFs: EWY, HEWY, FKO, KOR, FLKR Related ETF Channels: South Korea, Total Market, Currency Hedged,
Variable Investment Option Performance Update
One Month YTD 1 Year 3 Year* 5 Year* Brighthouse Life Insurance Company The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or
Investment Worksheet. FlexChoice Access. A VA Rider ANNUITIES VARIABLE
Investment Worksheet ANNUITIES VARIABLE FlexChoice Access A VA Rider Option A Designed to furnish a professionally managed asset allocation that provides automatic diversification. Asset Allocation American
Variable Investment Option Performance Update
Brighthouse Life Insurance Company Variable Investment Option Performance Update One Month YTD 1 Year 3 Year* 5 Year* * The performance data quoted represents past performance and does not guarantee future
Variable Investment Option Performance Update
Brighthouse Life Insurance Company Variable Investment Option Performance Update One Month YTD 1 Year 3 Year* 5 Year* * The performance data quoted represents past performance and does not guarantee future
Variable Investment Option Performance Update
Variable Investment Option Performance Update Brighthouse Investment Architect SM - Standard Version Brighthouse Life Insurance Company The performance data quoted represents past performance and does
Informed Trading by Hedge Funds
Informed Trading by Hedge Funds Qiping Huang November 5 th, 2017 Abstract Using daily equity transactions, I create a hedge fund informed trading measure (ITM ) that separates information related trades
Variable Investment Option Performance Update
Brighthouse Life Insurance Company of NY Variable Investment Option Performance Update The performance data quoted represents past performance and does not guarantee future results. Current performance
GOALS-BASED PORTFOLIOS An investment solution designed to meet investors financial goals.
GOALS-BASED PORTFOLIOS An investment solution designed to meet investors financial goals. seic.com seic.com SEI s Goals-Based Portfolios provide a core investment solution designed to meet a wide variety
Variable Investment Option Performance Update
Brighthouse Life Insurance Company of NY Variable Investment Option Performance Update The performance data quoted represents past performance and does not guarantee future results. Current performance
Variable Investment Option Performance Update
Brighthouse Life Insurance Company Variable Investment Option Performance Update The performance data quoted represents past performance and does not guarantee future results. Current performance may be
Size and Value in China. Jianan Liu, Robert F. Stambaugh, and Yu Yuan
Size and Value in China by Jianan Liu, Robert F. Stambaugh, and Yu Yuan Introduction China world s second largest stock market unique political and economic environments market and investors separated
Prudential Premier Retirement Variable Annuity B Series SM
Prudential Premier Retirement Variable Annuity B Series SM Portfolio Analysis Customized for: Joe Client Prepared by: John Q. Doe Firm name: Prudential Annuities Date Prepared: February 25, 2011 Pg. 1
EWO ishares MSCI Austria ETF
ishares MSCI Austria ETF ETF.com segment: Equity: Austria - Total Market Competing ETFs: N/A Related ETF Channels: Europe, Austria, Total Market, Vanilla, Equity, Size and Style, Broad-based Find more
Internet Appendix for. On the High Frequency Dynamics of Hedge Fund Risk Exposures
Internet Appendix for On the High Frequency Dynamics of Hedge Fund Risk Exposures This internet appendix provides supplemental analyses to the main tables in On the High Frequency Dynamics of Hedge Fund
Revisiting Idiosyncratic Volatility and Stock Returns. Fatma Sonmez 1
Revisiting Idiosyncratic Volatility and Stock Returns Fatma Sonmez 1 Abstract This paper s aim is to revisit the relation between idiosyncratic volatility and future stock returns. There are three key
SCHV Schwab U.S. Large-Cap Value ETF
Schwab U.S. Large-Cap Value ETF ETF.com segment: Equity: U.S. - Large Cap Value Competing ETFs: VTV, IWD, MGV, VONV, PWV Related ETF Channels: North America, Smart-Beta ETFs, Large Cap, U.S., Value, Equity,
Variable Investment Option Performance Update
Brighthouse Life Insurance Company of NY Variable Investment Option Performance Update The performance data quoted represents past performance and does not guarantee future results. Current performance
DVY ishares Select Dividend ETF
ishares Select Dividend ETF ETF.com segment: Equity: U.S. - High Dividend Yield Competing ETFs: VYM, SDY, FVD, DHS, PEY Related ETF Channels: U.S., Smart-Beta ETFs, Dividend, High Dividend Yield, Equity,
Can Behavioral Factors Improve Tactical Performance?
Can Behavioral Factors Improve Tactical Performance? More and more, Financial Advisors agree that portfolios with a tactical tilt provide increased asset allocation flexibility that can improve returns
Sample Report PERFORMANCE REPORT I YOUR FUND
Produced on //28 Data as of 6/3/28 PERFORMANCE REPORT I 5 East 57 th Street, Floor, New York, NY 22 Tel (22) 248-532 Fax (646) 45-884 7 Seventh Avenue, Suite 2, Seattle, WA 98 Tel (26) 47-254 Fax (26)
XHE SPDR S&P Health Care Equipment ETF
SPDR S&P Health Care Equipment ETF ETF.com segment: Equity: U.S. Health Care Equipment & Supplies Competing ETFs: IHI Related ETF Channels: Sectors, U.S., Smart-Beta ETFs, Equity, Equal-Weighted, Healthcare,
Callan Associates Inc. Investment Measurement Service Quarterly Review City of Milwaukee Employees Retirement System March 31, 2011
Callan Associates Inc. Investment Measurement Service Quarterly Review March 31, 2011 The following report was prepared by Callan Associates Inc. ("CAI") using information from sources that include the
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle Robert F. Stambaugh The Wharton School University of Pennsylvania and NBER Jianfeng Yu Carlson School of Management University of Minnesota Yu
Further Evidence on the Performance of Funds of Funds: The Case of Real Estate Mutual Funds. Kevin C.H. Chiang*
Further Evidence on the Performance of Funds of Funds: The Case of Real Estate Mutual Funds Kevin C.H. Chiang* School of Management University of Alaska Fairbanks Fairbanks, AK 99775 Kirill Kozhevnikov
Firm specific uncertainty around earnings announcements and the cross section of stock returns
Firm specific uncertainty around earnings announcements and the cross section of stock returns Sergey Gelman International College of Economics and Finance & Laboratory of Financial Economics Higher School
Case Study # 3 Investing in Hedge Funds
Case Study # 3 Investing in Hedge Funds IFSWF Subcommittee II: Investment & Risk Management Presented by the Korea Investment Corporation Dr. Keehong Rhee, Head of Research 1 Contents I. KIC Hedge Fund
Positive Correlation between Systematic and Idiosyncratic Volatilities in Korean Stock Return *
Seoul Journal of Business Volume 24, Number 1 (June 2018) Positive Correlation between Systematic and Idiosyncratic Volatilities in Korean Stock Return * KYU-HO BAE **1) Seoul National University Seoul,
Investment Worksheet. FlexChoice Access. A VA Rider ANNUITIES VARIABLE
Investment Worksheet ANNUITIES VARIABLE FlexChoice Access A VA Rider Personalized Investment Strategy At Brighthouse Financial, we believe annuities play an essential role in building a holistic financial
U.S. Dynamic Equity Fund Money Manager and Russell Investments Overview April 2017
Money Manager and Russell Investments Overview April 2017 RUSSELL INVESTMENTS APPROACH Russell Investments uses a multi-asset approach to investing, combining asset allocation, manager selection and dynamic
XES SPDR S&P Oil & Gas Equipment & Services ETF
SPDR S&P Oil & Gas Equipment & Services ETF ETF.com segment: Equity: U.S. Oil & Gas Equipment & Services Competing ETFs: IEZ, PXJ Related ETF Channels: U.S., Smart-Beta ETFs, Sectors, Energy, Equal-Weighted,
STRATEGIC PORTFOLIOS An investment solution designed to meet investors financial goals.
STRATEGIC PORTFOLIOS An investment solution designed to meet investors financial goals. seic.com The SEI Strategic Portfolios provide a core investment solution designed to meet a wide variety of investors
IXG ishares Global Financials ETF
ishares Global Financials ETF ETF.com segment: Equity: Global Financials Competing ETFs: DFNL Related ETF Channels: Broad-based, Vanilla, Global, Equity, Financials, Sectors Find more ETFs with our ETF
The Capital Asset Pricing Model
INTRO TO PORTFOLIO RISK MANAGEMENT IN PYTHON The Capital Asset Pricing Model Dakota Wixom Quantitative Analyst QuantCourse.com The Founding Father of Asset Pricing Models CAPM The Capital Asset Pricing
SIL Global X Silver Miners ETF
Global X Silver Miners ETF ETF.com segment: Equity: Global Silver Miners Competing ETFs: SLVP, J Related ETF Channels: Silver, Vanilla, Global, Equity, Sectors, Silver Miners Find more ETFs with our ETF
Blackstone Alternative Alpha Fund (BAAF)
Blackstone Alternative Alpha Fund (BAAF) Blackstone For Accredited Investors Only As of February 29th, 2016 Investment approach Blackstone Alternative Alpha Fund ( BAAF or the Fund ) is a closed end registered
Variable Investment Option Performance Update
Variable Investment Option Performance Update Brighthouse Life Insurance Company The performance data quoted represents past performance and does not guarantee future results. Current performance may be
Liquidity in ETFs: What really matters
Liquidity in ETFs: What really matters Laurent DEVILLE, Affiliate Professor, EDHEC Business School This research has been carried out with the support of Amundi ETF ETFs and liquidity ETF markets are designed
** Department of Accounting and Finance Faculty of Business and Economics PO Box 11E Monash University Victoria 3800 Australia
CORPORATE USAGE OF FINANCIAL DERIVATIVES AND INFORMATION ASYMMETRY Hoa Nguyen*, Robert Faff** and Alan Hodgson*** * School of Accounting, Economics and Finance Faculty of Business and Law Deakin University
Preference Plus Select Variable Annuity - B Class
Metropolitan Life Insurance Company B Class Preference Plus Select Variable Annuity - B Class Performance Summary as of 12/31/17 Variable Option Performance Update The performance data quoted represents
Complexity Aversion when Seeking Alpha
Complexity Aversion when Seeking Alpha By Tarik Umar Rice University March 7, 2018 Investor Attention Investor Attention 1 Overview 2 Field Experiment 3 Complexity 4 Sentiment 5 Cognitive Abilities 6 Instrument
Hedge Funds, Hedge Fund Beta, and the Future for Both. Clifford Asness. Managing and Founding Principal AQR Capital Management, LLC
Hedge Funds, Hedge Fund Beta, and the Future for Both Clifford Asness Managing and Founding Principal AQR Capital Management, LLC An Alternative Future Seven years ago, I wrote a paper about hedge funds
DXJ WisdomTree Japan Hedged Equity Fund
WisdomTree Japan Hedged Equity Fund ETF.com segment: Equity: Japan - Total Market Competing ETFs: HJPX, DDJP, DBJP, HEWJ, FLJH Related ETF Channels: Smart-Beta ETFs, Total Market, Currency Hedged, Broad-based,
JPN Xtrackers Japan JPX-Nikkei 400 Equity ETF
Xtrackers Japan JPX-Nikkei 400 Equity ETF ETF.com segment: Equity: Japan - Total Market Competing ETFs: JPXN, DXJ, HJPX, DDJP, EWJ Related ETF Channels: Smart-Beta ETFs, Broad-based, Total Market, Single
New England Life Insurance Company. American Forerunner Series Variable Annuity - Standard Class Variable Investment Option Performance Update
New England Life Insurance Company Standard Class American Forerunner Series Variable Annuity - Standard Class Variable Investment Option Performance Update The performance data quoted represents past
Searching for a Hedge Fund Bubble
Searching for a Hedge Fund Bubble Keith Black, CFA, CAIA Illinois Institute of Technology Author Managing a Hedge Fund Gerald Laurain, CFA ABN Amro Asset Management Director of Alternative Investments
KOR AdvisorShares KIM Korea Equity ETF
AdvisorShares KIM Korea Equity ETF ETF.com segment: Equity: South Korea - Total Market Competing ETFs: EWY, DBKO, HEWY, FKO, FLKR Related ETF Channels: South Korea, Underlying Index, Active Management,
VXF Vanguard Extended Market ETF
Vanguard Extended Market ETF ETF.com segment: Equity: U.S. - Extended Market Competing ETFs: PRFZ, SPMD, ISMD, SMMD, SDVY Related ETF Channels: North America, U.S., Extended Market, Broad-based, Vanilla,
State Ownership at the Oslo Stock Exchange. Bernt Arne Ødegaard
State Ownership at the Oslo Stock Exchange Bernt Arne Ødegaard Introduction We ask whether there is a state rebate on companies listed on the Oslo Stock Exchange, i.e. whether companies where the state
Preference Plus Select Variable Annuity - C Class Performance Summary as of 05/31/18
Preference Plus Select Variable Annuity - C Class Performance Summary as of 05/31/18 Metropolitan Life Insurance Company Variable Option Performance Update The performance data quoted represents past performance
Preference Plus Select Variable Annuity - C Class Performance Summary as of 12/31/18
Preference Plus Select Variable Annuity - C Class Performance Summary as of 12/31/18 Metropolitan Life Insurance Company Variable Option Performance Update The performance data quoted represents past performance
Daily Data is Bad for Beta: Opacity and Frequency-Dependent Betas Online Appendix
Daily Data is Bad for Beta: Opacity and Frequency-Dependent Betas Online Appendix Thomas Gilbert Christopher Hrdlicka Jonathan Kalodimos Stephan Siegel December 17, 2013 Abstract In this Online Appendix,
Senior Research. Topic: Testing Asset Pricing Models: Evidence from Thailand. Name: Wasitphon Asawakowitkorn ID:
Senior Research Topic: Testing Asset Pricing Models: Evidence from Thailand Name: Wasitphon Asawakowitkorn ID: 574 589 7129 Advisor: Assistant Professor Pongsak Luangaram, Ph.D Date: 16 May 2018 Senior