Volume 2, Issue 1
Journal of
Systematic Investing
The second volume of the JSI includes thought-provoking research from leading academics and practitioners in systematic investing, across the globe. The lead article in volume two of the JSI is authored by UCLA’s Bradford Cornell. In his exclusive paper, he presents a high-level, intuitive, analysis of the relation between data mining, non-stationarity, and entropy in order to determine their implications for practical investment management.
Campbell R. Harvey of Duke University and the National Bureau of Economic Research investigates whether economic incentives distort outcomes in academic and practitioner finance research.
MIT Sloan School of Management’s Andrew W. Lo and Alexander Remorov propose a Markov chain Monte Carlo (MCMC) algorithm for estimating the parameters of algorithmic models of investor behavior. Following up on their exclusive paper in Volume one of the JSI, the authors then compare the accuracy of the MCMC approach to regression analysis in predicting the relative importance of heuristics at the individual and aggregate levels.
Addressing time variation of the illiquidity premium, GIC’s Fanesca Young and Utah State University’s Benjamin M. Blau and Ryan J. Whitby examine investor sentiment and the return premium associated with liquidity through time.
The final paper of the second volume of the Journal of Systematic Investing focuses on style premia in relation to trading costs. Goldman Sachs’ Giuliano De Rossi, Eliad Hoch, and Michael Steliaros analyze the cost of trading factor strategies using a market impact model, which is estimated from actual transactions data, realistic and multiple portfolio construction techniques and up-to-date data. In addition, by building portfolios across different factors and with alternative portfolio construction techniques, they are able to assess the degree of similarity amongst strategies over time, which can be viewed as a measure of crowding. Then, the crowding indicator’s relation to volatility, liquidity and market impact is assessed.
All issues
Volume 1, Issue 1
Editor-In-Chief
Amit Goyal
Swiss Finance Institute professor of finance, Université de Lausanne
Academic Advisor
Cam Harvey
professor of finance at the Fuqua School of Business, Duke University
Executive Editor
Nick Baltas
managing director and head of R&D of the Systematic Trading Strategies (STS) Group, Goldman Sachs
Executive Editor
Spyros Mesomeris
global head of QIS structuring, UBS
Associate Editor
Jenn Bender
director of research, global equity beta, State Street Global Advisors
Associate Editor
Emmanuel Jurczenko
director of graduate finance programs, EDHEC Business School
Associate Editor
Harald Lohre
executive director, Robeco
About JSI
The EQDerivatives Journal of Systematic Investing (JSI) attracts and disseminates the latest academic and practitioner research in the space of systematic investing. As more assets become managed in a systematic manner, investment professionals seek to stay abreast of all the relevant academic and industry advances through JSI.
The JSI features theoretical and practitioner research from leaders in systematic investing worldwide. New opportunities sourced through innovative systematic solutions have arisen in recent years driven by changes in liquidity and market structure, regulation, the emergence of technology, among other factors. Furthermore, the performance of the traditional 60% equities and 40% bonds portfolio is being questioned, and with interest rates at a floor in many of the world’s nations and equity valuations remaining high, institutional investors are increasingly exploring new and novel systematic solutions across asset classes and market to capture specific trends, source alpha and diversify portfolios.
The aspirations in launching the JSI is to encourage and promote thought-provoking research in systematic investing to cover not only equities but also the less-well researched asset classes of rates, commodities, fx and credit. The JSI will also unravel cross-asset factor allocation and outcome-orientated portfolio construction research, as well other areas of innovation.