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01 Oct Learning From Quest Partners' "Hedge Fund Index Replication"

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The paper proposed a futures based replicator for the Credit Suisse Hedge Fund Index. Timing the individual four factors used in the replicator improved risk adjusted returns.

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01 Jun Learning From Quest Partners' "Quantitative Trend Following Strategies and Equity Risk"

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Style drifts in some trend following funds reduced their ability to hedge equity drawdowns and reduced their positive skew.

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01 Aug Learning From Quest Partners' "Know Your Skew"

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Momentum strategies, with frequent small gains and losses and occasional large gains, are inherently positively skewed.

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Jay Ng’s personal blog on living well, parenting, starting up ventures and investing.