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Acadian pursues an advanced research agenda led by co-directors of research Brian Wolahan and Charles Wang. Rather than emphasizing fundamental analysis of individual companies, Acadian’s research effort is primarily focused on the design and ongoing enhancement of our entire investment process.
Acadian's research group systematically evaluates the returns to a broad array of stock, country, sector and currency-related factors. We seek to identify the factors most closely linked to excess return. The group regularly examines factor weights to ensure the process will continue to add value in an evolving market environment. Other projects include the testing of potential new factors and other process design enhancements, such as new weighting methodologies.
Acadian seeks to share its insights on a variety of investment topics through occasional research papers. A collection of recent Acadian research pieces appear below. Additional papers can be accessed by visiting our research library.
| Beyond CAPM – The Advantages of Managed Volatility Portfolios |
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Acadian Research Team |
11/2007 |
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The paper focuses on the advantages of portfolios constructed without reference to cap-weighted benchmarks. Our research demonstrates that this technique can be used to create portfolios that achieve market-like returns at lower than market risk. Optimizing relative to cash can also create more active portfolios that offer the very attractive potential to maximize risk-adjusted returns. |
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| Algorithmic U.S. equity strategy |
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Jackson Loomis |
11/2007 |
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Acadian's Jackson Loomis describes our new algorithmic U.S. equity strategy, explaining how the process brings fundamental analytical tools to a quantitative investment approach. |
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| Remove the Long-Only Constraint on Global Equity Performance |
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Brendan O. Bradley |
7/2007 |
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Traditional global equity managers often have constraints imposed that can hinder informational efficiency. This paper looks at the impact of these, particularly the long-only constraint that bars many portfolios from taking short positions and making use of negative stock forecasts. |
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| Global Financial Market Valuations -- Where Have All the Opportunities Gone? |
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Acadian Research Team |
5/2007 |
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Getting global asset allocation right over the coming years will be crucial to fund sponsor success. In this paper, we provide an analysis of present world equity valuations and suggest that an actively managed global approach that considers allocations beyond long-only strategies can provide opportunities for generating excess return. |
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| Emerging Market Debt: Entering the Virtuous Circle |
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Acadian Research Team |
5/2007 |
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Acadian has identified emerging market fixed income as a potentially promising new asset class in which to apply our investment process and experience in emerging markets. This paper outlines the rationale for this intriguing asset class. |
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| The Final Frontier: Investing in Frontier Emerging Markets |
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Charles H. Wang and Constantine Papageorgiou |
4/2007 |
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Beyond the emerging markets, there are 22 countries around the world that comprise the “frontier” markets. While markets in these countries are small and undeveloped, their long-term investment potential is compelling. In this paper, we outline the current state of the frontier market universe, and explore the risks and potential of this asset class. |
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| Identifying Exploitable Anomalies |
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Acadian |
3/2007 |
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This paper provides an outline of Acadian's process for identifying anomalies in markets that can be exploited to yield excess equity returns. |
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| Is Dividend Yield Dead? |
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Qi Zeng |
3/2007 |
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Dividends have long been used by investors as indicators of a company's growth prospects and potential to deliver shareholder value. In recent years, however, there has been increasing skepticism about their significance. Acadian's research suggests that the dividend landscape is changing, and that investors may need to re-evaluate their use of dividend yield information. |
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| Why We Get Risk Wrong |
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Terry Burnham |
12/2006 |
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The assessment of financial risk is a central tenet of any investment strategy. Most investment managers utilize a risk model within the framework of their investment process. Despite this, many investors either analyze financial risk incorrectly or, even when they do make correct assessments, fail to act on them in a consistent and rational manner. |
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| Recognizing Extreme Risk |
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Acadian Research Team |
11/2006 |
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Modern portfolio theory is based on the assumption that financial asset returns are normally distributed. Based on detailed pricing histories for many assets, however, there is growing evidence that the return distribution is not normal. In this paper, we discuss the potential for tools based on a branch of probability known as extreme value theory (EVT) to get a better grasp of risk and dependence between financial assets. |
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