Research Paper 12: Research: The Foundation for Alpha

The Research Process is the first building block in the investment process and a key metric of investment skill; it is where ideas are generated and fight for a position in the portfolio. The importance of research is undoubted. However, what is the relationship between successful decision making in the Research Process and the ultimate goal of alpha generation?

Using the Inalytics Peer Group, we uncover the relationship between decision-making success in the Research Process and alpha generation. This paper furthers our understanding of investment skill and reveals why it is essential for asset owners to assess the effectiveness of the Research Process in conducting due diligence. For asset managers, it provides a new way to analyse their investment process when it comes to idea generation and alpha generation.

Download the full study to learn more about how we go about identifying investment skill or contact us to learn more about how we analyse portfolios and decision making to improve the investment process and help select skilful portfolio managers.

Research Paper 11: Selling over earnings announcements

A key finding of the ‘Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors’ academic paper, was that selling decisions in response to earnings announcements were significantly better than at other times.

One likely explanation is that these specific selling decisions are research led, as in all likelihood this is the time when Analysts and Fund Managers get together to assess the prospects for the company, probably at the highly choreographed morning meeting.

Download the full study to learn more about how we go about identifying investment skill or contact us to learn more about how we analyse portfolios and decision making to improve the investment process and help select skilful portfolio managers.

Podcast S1 Ep5: Managing Bad News

Managing Bad News is the episode 5 of the Podcast Analysing Investment Skill hosted by Rick Di Mascio & Tim Harkness. Read more about the podcast series here.

Even elite performers come up against occasions where they need to manage bad news, overcome periods of poor form or decision making.

Rick and Tim discuss how to bounce back after bad news, stay resolute and professional in the face of adversity, and how to isolate external factors from personal mistakes.

Listen to the episode here:

Podcast S1 Ep4: Data and Performance

Data and Performance is the episode 4 of the Podcast Analysing Investment Skill hosted by Rick Di Mascio & Tim Harkness. Read more about the podcast series here.

Following on from episode three’s discussion about where data is being misused, Rick and Tim discuss how it can be effectively harnessed as a way of driving continual improvement. How has data allowed experts to focus on getting an additional 1% out of the very best 1%?

Listen to the episode here:

Podcast S1 Ep3: People and Data

People and Data is the episode 3 of the Podcast Analysing Investment Skill hosted by Rick Di Mascio & Tim Harkness. Read more about the podcast series here.

Data is in an increasingly powerful tool, whether you are looking at sports or fund management performance. But we need to be able to look beyond the numbers to get anything meaningful.

Rick and Tim look at the importance of people and personalisation in an increasingly data-driven world.

Listen to the episode here:

Podcast S1 Ep2: Maintaining Focus

Maintaining Focus is the episode 2 of the Podcast Analysing Investment Skill hosted by Rick Di Mascio & Tim Harkness. Read more about the podcast series here.

Maintaining focus under pressure can be incredibly challenging, whether you are going for an Olympic medal, or you’re in charge of an investment fund. Rick and Tim discuss how the very best stay focused and composed when the competition gets tough.

Listen to the episode here:

Podcast S1 Ep1: Overcoming Poor Performance

Overcoming Poor Performance is the debut episode of the Podcast Analysing Investment Skill hosted by Rick Di Mascio & Tim Harkness. Read more about the podcast series here.

Periods of poor performance happen to almost everyone, even the very best. In episode 1 Rick and Tim look at what causes performance problems, and how they can be overcome.

Listen to the episode here:

Are shorts just negative longs?

This Academic paper which uses evidence from detailed hedge fund portfolio data was co-authored by Bastian von Beschwitz of Federal Reserve Board & Sandro Lunghi of Inalytics.

Using detailed data on the trades and portfolio holdings of long-short equity hedge funds, we examine the differences between trades related to long and short positions. We find that long buys and short sells are informed, but that long sells and short buys are uninformed. In fact, it is possible to generate significant alphas by taking the opposite trades to long sells and short buys implying that hedge funds close their positions too early and “leave money on the table”. Furthermore, while hedge funds trade on momentum when establishing both long and short positions, follow-up orders exhibit momentum for shorts and are contrarian for longs. We argue this comes from hedge funds’ desires to keep their position sizes stable.

Download the full academic paper or contact us to learn more about how we analyse portfolios and decision making to improve the investment process and help select skilful portfolio managers.

Using Machine Learning to Provide Custom Portfolio Analysis

11.8% – The difference between the most and least effective momentum buying style at T+12m is 11.8% (based on an Inalytics sample portfolio). This provides an opportunity to hone the investment process.

Download the full white paper or get in contact with us to understand the insight clients are yielding from Inalytics’ work with machine learning. We’ll be expanding our analysis and usage of machine learning for clients to help them meet their investment objectives.

Observations from 100 million investment decisions

Inalytics have made observations from a large set of data. Through analysing over 100 million investment decisions we have made several key observations on how investors behave and generate alpha.

Download the full research article to learn more about how we go about identifying investment skill or contact us to learn more about how we analyse portfolios and decision making to improve the investment process and help select skilful portfolio managers.