Z-Trader Quant Strategies: institutional investors

Showing posts with label institutional investors. Show all posts

Wednesday, April 10, 2013

Head and Shoulders Above the Rest? Institutional Investors and Technical Analysis

Here is the Abstract of a paper on institutional investors and their usage of technical analysis.

Abstract

Based on a study of more than 10,000 actively managed equity and balanced funds, including about one-third of which employ technical analysis, the authors compared the investment performance of funds that use technical analysis versus those that do not using five metrics. They found that funds using technical analysis provided a meaningful advantage to their investors.

Source:
http://www.cfainstitute.org/learning/products/publications/contributed/Pages/head_and_shoulders_above_the_rest__the_performance_of_institutional_portfolio_managers_who_use_technical_analysis.aspx

Registration may be required to read more, but the main ideas are listed.

Thursday, September 20, 2012

Improving Investment Decisions with Quant Analysis

Below are some excerpts on a SeekingAlpha article -- that highlights "the application of quant analyses to produce meaningful and objective investment information."

With so much at stake in the finance and investment world, there are constant debates about investment performance, asset allocation, active vs. passive approaches, and more. In this article, we review recent articles on the application of quantitative models to the investment world - and look at the stock market's technical outlook.

History can tell us where we have been -- and a scientific and mathematical approach can help guide our investment decisions going forward. Quantitative analytics can be applied to many areas within finance, ranging from asset allocation and risk management to trading / investment strategies and the growing interest in alternative assets.

Quantitative approaches can be used to improve investment decisions by producing objective analysis. The goal is to improve investment results and the probability of repeatability. Math and scientific methods can help put history and patterns on our side. Here are some important takeaways:

Varied interests and motivations can reduce optimal investment decisions.
Performance data is not necessarily useful in predicting future results, especially when studying short-term manager performance.
Behavioral finance has shown that many investors overreact to recent events, and tend to ignore long-term historical patterns.
Mathematical models can minimize the negative impacts of greed and fear, improving discipline -- and taking emotion out of the equation.
Robust quantitative analysis can improve "forward information" and repeatability.

Systematic and scientific approaches can yield meaningful information and help improve long-term performance by providing objective analysis to investment committees.

Monday, November 21, 2011

Large Institutional Investors & Gold

Gold has been in the news a lot lately. In particular, several large institutions have relatively large positions in gold. Here are some headlines on their positions.

Paulson & Co., the U.S. hedge fund run by John Paulson, cut a stake in the SPDR Gold Trust, an exchange-traded fund backed by the precious metal, during the third quarter, according to a government filing.

Paulson held 20.3 million shares in the SPDR Gold Trust as of Sept. 30, compared with 31.5 million a quarter earlier, a filing today with the U.S. Securities and Exchange Commission showed. SPDR is the biggest exchange-traded product backed by gold.

... University of Texas Investment Management Corporation’s (UTIMCO) recent announcement that they are holding $1 billion in gold bullion. This is significant investment for America’s second largest college endowment and it’s important for investors understand why UTIMCO chose to invest in so much gold, and also why they chose to invest in bullion.

Read more here:
http://www.thestockenthusiast.com/opinion/why-did-the-university-of-texas-buy-so-much-gold/

Another article:

The April purchase of nearly $1 billion in physical gold bullion by the University of Texas Investment Management Company (UTIMCO) is raising questions among endowments, think tanks, and asset managers: Was this a prescient investment, or a political statement?

“Gold has had a huge run-up—which suggests a bubble,” says Dean Baker, Co-Director at the left-leaning Center for Economic and Policy Research in Washington, who has previously warned about institutional investors overallocating to gold. “I would not consider investing in gold. I assume they expect higher inflation, but I don't understand it. I think it's silly. In this case, I don't see why UTIMCO would do this.”