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Learning From Quest Partners' "Hedge Fund Index Replication"

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.

01 October, 2014 / 0 Comments

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

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

01 June, 2013 / 0 Comments

Learning From Quest Partners' "Know Your Skew"

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

01 August, 2011 / 0 Comments