[{"data":1,"prerenderedAt":-1},["ShallowReactive",2],{"detail-sidebar-cat-1-en-105":3,"doc-seo-205059-105":53,"doc-detail-205059-en":127},{"code":4,"msg":5,"data":6},0,"success",[7,14,19,24,29,34,39,44,49],{"id":8,"doc_module":9,"doc_module_name":10,"category_name":11,"show_sort_weight":12,"slug":13},11,1,"Template","Presentations",90,"presentations",{"id":15,"doc_module":9,"doc_module_name":10,"category_name":16,"show_sort_weight":17,"slug":18},12,"Resumes",80,"resumes",{"id":20,"doc_module":9,"doc_module_name":10,"category_name":21,"show_sort_weight":22,"slug":23},14,"Invoices",70,"invoices",{"id":25,"doc_module":9,"doc_module_name":10,"category_name":26,"show_sort_weight":27,"slug":28},15,"Posters",60,"posters",{"id":30,"doc_module":9,"doc_module_name":10,"category_name":31,"show_sort_weight":32,"slug":33},16,"Social Media",50,"social-media",{"id":35,"doc_module":9,"doc_module_name":10,"category_name":36,"show_sort_weight":37,"slug":38},17,"Forms",40,"forms",{"id":40,"doc_module":9,"doc_module_name":10,"category_name":41,"show_sort_weight":42,"slug":43},18,"Letters",30,"letters",{"id":45,"doc_module":9,"doc_module_name":10,"category_name":46,"show_sort_weight":47,"slug":48},21,"Paper Templates",5,"papers-templates",{"id":50,"doc_module":9,"doc_module_name":10,"category_name":51,"show_sort_weight":4,"slug":52},158,"General","general-158",{"code":4,"msg":54,"data":55},"ok",{"site_id":56,"language":57,"slug":58,"title":59,"keywords":60,"description":61,"schema_data":62,"social_meta":120,"head_meta":122,"extra_data":124,"updated_unix":126},105,"en","alternative-beta-matters-quarterly-report-q2-2016","Alternative Beta Matters - Quarterly Report - Q2 2016","","Quarterly Report for Q2 2016 recaps major developments across equities, fixed income/credit, FX, commodities and alternatives, using a methodology-agnostic approach where applicable. It highlights evidence on in-sample bias and the risks of overfitting in strategy selection, then examines the quality stock effect as a behavioral anomaly tied to misplaced focus and sticky analyst forecasts. The report summarizes equity index performance and key market drivers, including currency moves and Brexit-related uncertainty impacting volatility and 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forecasts.","https://schema.org",{"og:url":78,"og:type":121,"og:title":59,"og:site_name":91,"og:description":61},"article",{"robots":123,"canonical":78},"index,follow",{"doc_id":125,"site_id":56},205059,1791257009,{"code":4,"msg":5,"data":128},{"doc_id":125,"user_id":129,"nickname":88,"user_avatar":130,"doc_module":9,"category_id":8,"category_name":11,"doc_title":59,"doc_description":61,"doc_content":131,"file_id":132,"file_url":133,"file_type":134,"file_size":135,"view_count":101,"is_deleted":4,"is_public":9,"is_downloadable":9,"audit_status":9,"page_count":136,"language":137,"language_code":57,"site_id":56,"html_lang":57,"table_of_contents":138,"faqs":139,"seo_title":140,"seo_description":61,"update_tm":141,"read_time":101},1099514067438,"https://ap-avatar.wpscdn.com/avatar/100002539ee87300030?x-image-process=image/resize,m_fixed,w_180,h_180&k=1780474512215547542","ALTERNATIVE BETA MATTERS  \nQuarterly Report – Q2 2016  \nAll Data as of 30 June 2016  \nINTRODUCTION ................................................................................................................3  \nEQUITY INDICES ...............................................................................................................4  \nSTOCKS AND FACTORS ..................................................................................................5  \nFIXED INCOME AND CREDIT ...........................................................................................6  \nCOMMODITIES ..................................................................................................................7  \nFX .......................................................................................................................................8  \nALTERNATIVE INDUSTRY PERFORMANCE ...................................................................9  \nIN-SAMPLE OVERFITTING – AVOIDING THE PITFALLS IN DATA MINING .................11  \nTHE EXCESS RETURNS OF \"QUALITY\" STOCKS: A BEHAVIORAL ANOMALY..........20  \nOTHER NEWS .................................................................................................................21  \nCONTACTS ......................................................................................................................22  \nDISCLAIMER ....................................................................................................................23  \nIntroduction  \nWelcome to CFM’s “Alternative Beta Matters” Quarterly Report.  \nWithin this report we recap major developments of the quarter for Equities, Fixed Income / Credit, FX and Commodities, as well as Alternatives. All discussion is agnostic to particular approaches or techniques, and where alternative benchmark strategy results are presented, the exact methodology used is given.  \nWe have also included one white paper and an extended academic abstract from a paper published during the quarter. Our hope is that these publications, which convey our views on topics related to Alternative Beta that have arisen in our many discussions with clients, can be used as a reference for our readers, and can stimulate conversations on these topical issues.  \nIN-SAMPLE OVERFITTING – AVOIDING THE PITFALLS IN DATAMINING  \nThis white paper discusses the dangers of in-sample biases in strategy selection. We start by showing empirical evidence illustrating the strength of the effect before discussing its origin. We then demonstrate the dangers of overcomplexifying an investment approach before providing advice on how best to mitigate the risk of bias in allocating to managers and/or strategies.  \nTHE EXCESS RETURNS OF QUALITY STOCKS – A BEHAVIORAL ANOMALY  \nThis academic paper describes a study of the quality anomaly using cashflow data and analyst recommendation data from the IBES database. We find that analysts significantly underweight the importance of this cashflow data when forecasting stock prices and that, when confronted with new information, stock analysts are too slow to react and update their forecasts. We therefore attribute the quality effect to two behavioral biases – misplaced focus and the “stickiness” of analyst forecasts.  \nEquity indices  \nEquity indices in the second quarter of 2016 were globally flat , with little divergence between the MSCI World and the MSCI Emerging Market indices. The MSCI World Equity index, made up of 23 developed country equity indices, returned 0.3% through Q2, while the MSCI EM index, made up of 23 emerging countries, returned-0.3% . The correlation between the two indices continues to rise and has surpassed 85%, a level still below the last peak seen in 2012.  \nThe return of the MSCI World and MSCI Emerging Market indices for the past year.  \nThe key events affecting stocks in Q2 were the continued precipitous climb in the Japanese Yen, making a Nikkei 225 investor’s life difficult and, of course, the resul","cbCaigGkjl1M5AUA","https://ap.wps.com/l/cbCaigGkjl1M5AUA","pdf",1864495,23,"English","# Introduction\n## Equity indices\n## In-sample overfitting – avoiding the pitfalls in data mining\n## The excess returns of \"quality\" stocks: a behavioral anomaly\n## Other news\n## Contacts\n## Disclaimer","[{\"question\":\"What topics does the Q2 2016 report cover across markets?\",\"answer\":\"It recaps major developments for equities, fixed income/credit, FX, commodities, and alternatives, including discussion of equity indices and volatility/liquidity conditions.\"},{\"question\":\"What does the white paper on in-sample overfitting focus on?\",\"answer\":\"It explains dangers of in-sample biases in strategy selection, shows empirical evidence of the effect, warns against overcomplexifying approaches, and provides guidance to mitigate bias when allocating to managers and/or strategies.\"},{\"question\":\"How does the academic study explain the quality stock anomaly?\",\"answer\":\"It finds analysts underweight the relevant cashflow information and react too slowly to new information, attributing the quality effect to behavioral biases: misplaced focus and the stickiness of analyst forecasts.\"}]","Alternative Beta Matters - Quarterly Report - Q2 2016 | PDF",1788577351]