UFM Madrid’s Post

Unveiling the Mysteries: Decay of Systematic Investment Strategies In the dynamic world of finance, a perplexing question lingers: why do published #investmentstrategies often lose their edge? A compelling study by Antoine Falck, Adam Rej, and David Thesmar investigates this decline, seeking to uncover the reasons why well-known strategies fade once they become public knowledge. This study's primary objective is to dissect the factors contributing to the diminished performance of investment strategies after their details are unveiled in academic journals. As #investors increasingly leverage published strategies, this understanding is vital. The authors embark on this quest by examining a dataset of 60 #published investment strategies, rigorously analyzing their performance before and after publication. The study employs a comprehensive approach, considering factors like arbitrage opportunities, overfitting indicators, and the influence of the publication date itself. The authors analyze a dataset of 60 published strategies, tracking their performance before and after publication. They consider #arbitrage (where profitability is eroded by new capital), #overfitting (where strategies excel in-sample due to excessive testing), and the influence of the publication date itself. A striking revelation is the #correlation between publication date and performance decay, accounting for 30% of the variance. This suggests finding lasting strategies becomes harder over time, with a 5 percentage point increase in Sharpe ratio decay per year for newly published strategies. Furthermore, overfitting stands out as a major issue. Strategies with complex calculations and sensitivity to data outliers exhibit sharper post-publication declines. Regression analysis reinforces this, with overfitting variables adding a significant 15% explanatory power to the model. The study concludes that the pursuit of novel strategies in #academia could be inadvertently leading to overfitted models that don't hold up in real #financialmarkets. Rigorous out-of-sample testing and skepticism toward in-sample success are essential. Falck, Rej, and Thesmar's work provides crucial guidance for academics and investors alike. It highlights the need to prioritize sustainable strategies that endure beyond initial publication. Link to the paper: https://lnkd.in/dbmmJVYp

Excited to announce the publication of our research paper titled "Comparing the Impacts of Investment Alternatives on Accumulated Wealth" in the International Journal of Scientific Research in Engineering and Management (IJSREM)! Under the guidance of Dr. Vinoth S & Dr.Gopalakrishnan C, alongside my co-author Kavya Sanil, we delve into the dynamics of investment decisions and their effects on wealth accumulation across diverse investor profiles. From short-term to long-term strategies, we explore factors influencing investment choices, including risk tolerance, portfolio composition, and market conditions. Our study aims to provide valuable insights for both individual and institutional investors, financial advisors, and policymakers, facilitating informed investment decisions and robust wealth management strategies. Check out the below link for a sneak peek into our findings! [Link : https://lnkd.in/gxTbjMna] 📈💼 #InvestmentResearch #WealthManagement #Finance #PublishedPaper

I am thrilled to announce the publication of our latest paper in the prestigious Journal of Accounting in Emerging Economies (JAEE) I extend my heartfelt appreciation to my esteemed co-authors, Muhammad Bilal Khan PhD, Dr. Ernest Ezeani (SFHEA), and Dr. Hummera Saleem. Their expertise, insights, and tireless efforts have been instrumental in shaping this work. #AccountingResearch #EmergingEconomies #PublicationSuccess #UCLAN

"Excited to share our latest research paper on " Comparing the impacts of investment alternative on accumulated wealth" in International Journal Of Scientific Research In Engineering And Management (IJSREM) Under the guidance of Dr. Vinoth S And Dr. GopalaKrishnan C .Proud to have contributed to this work alongside my co-author Lekhraj M. Our study aims to provide valuable insights for both individual and institutional investors, financial advisors and policy makers,facilitating informed investment decisions and robust wealth management strategies. Check it out and let me know your thoughts! [Link: https://lnkd.in/gxTbjMna] 💹 #research #publication #management#investment"

DSIT have just released the findings of a study to estimate the rate of return to public R&D spending. The study finds an average rate of return to public R&D of 40% 6 years after the investment is made. In other words, £100 million of public R&D investment could be expected on average to yield, in 6 years’ time, an increase in annual private sector productivity worth £40 million. The £40 million increase persists over time, and if anything the estimates suggest that an even greater return could be experienced over a longer time period. https://lnkd.in/e8FvvrWr

Respected Sir/Madam This is the questionnaire of my PhD Scholar who is doing research on " *An Analytical Framework of Mutual Fund Industry: Schemes, Perception and Challenges".* First of all, it is a pleasure to speak with you. Please give your response and also share related one's by completing the attached questionnaire. This questionnaire is designed to solicit your opinions on various topics related to investing decisions. https://lnkd.in/ghguYsgm Plz give your response and also share it Regards Prof. Arti Gaur CDLU, Sirsa Dear Sir/Madam I am doing a PhD(research)on Mutual Funds and this questionnaire is specially designed to know about investors'perspectives for research. It is requested to you please fill this Google form. The feedback given by you is used only for research and academic purposes. Your response will be proven very helpful for my research. Thanku you Regards Sweta Research Scholar(JRF) Chaudhary Devi Lal University,Sirsa

Want to get some insights and inspirations about applying experimental methodology on topics of sustainable finance? Check out our report from the first Experimental Sustainability Finance symposium!

Call for papers for #special #issue on "Multicriteria Analysis in #Sustainable #Finance and #ESG Decisions" under the supervision of Constantin Zopounidis and Christos Lemonakis in #Development and #Sustainability in #Economics and #Finance (DSEF) Elsevier. Deadline 31th March 2025 https://lnkd.in/eZNkBSMF #publication #research #VSI #Finance #Economy #OR