Browsing by Subject "Information ratio"

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    • 130/30 Funds The Evolution Of Active Equity Investing 

      Krusen, Charles; Weber, Florian; Weigand, Robert A.
      We analyze the confluence of factors contributing to the momentum in the 130/30 space, including the product's strong theoretical underpinnings and appropriateness for investors' objectives in the 21st century. We discuss ...

    • Cross-sectional Dispersion of Stock Returns, Alpha and the Information Ratio 

      Gorman, Larry R.; Sapra, Steven G.; Weigand, Robert A.
      We find that the cross-sectional dispersion of U.S. stock returns provides economically significant forecasts of alpha dispersion across high- and low-performing portfolios of stocks over 3-month and 1-year horizons. ...