“Systematic strategies are being increasingly utilized by institutional investors in tail hedging and defensive overlay programs, as well as in asset allocation solutions to replace part of equity and fixed income portfolios. As such, the time is right to launch a journal dedicated to this emerging subfield of financial economics.” Campbell R Harvey, Duke University, National Bureau of Economic Research. Academic Advisor to the Journal of Systematic Investing (JSI).
The inaugural issue of the JSI features theoretical and practitioner research from leaders in systematic investing worldwide. The lead, exclusive paper of the JSI’s first issue, authored by MIT Sloan School of Management’s Andrew W. Lo and Alexander Remorov, proposes a heuristic approach to modeling investor behavior by simulating combinations of simpler systematic investment strategies associated with well-known behavioral biases using parameters calibrated from historical data.
This is followed by Wells Fargo Asset Management’s Wai Lee’s paper that develops an analytical framework to shed light on ex-ante stylized characteristics of a simple trend following strategy.
When it comes to alternative risk premia timing, Unigestion’s Olivier Blin, Florian Ielpo, Joan Lee and Jérôme Teiletche investigate the question of dynamic allocation across a diversified range of alternative risk premia.
Addressing performance, Aalto University’s Antti Suhonen and Clear Alpha’s Matthias Lennkh examine the realized performance of alternative beta strategies using a database of returns since 2008, whose results suggest that the poor performance of the strategies in 2018–20 was not an aberration, but rather a continuation of patterns already present in earlier data.
The first issue of the JSI’s concluding paper addresses one of the most topical areas in the modern age of systematic investing: tail risk hedging. AQR’s Antti Ilmanen, Ashwin Thapar, Harsha Tummala and Dan Villalon summarize key research findings on risk-mitigating strategies and offer an overview of the strengths and weaknesses of regular index put buying and multi-asset trend following as tail hedges.
Stay at the forefront of the evolution in systematic investing by accessing the Journal of Systematic Investing.
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.