Sat, Jun 25, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Courant report: Investor biases lead to significant opportunities for value driven systematic investors

Tuesday, July 09, 2013

Benedicte Gravrand, Opalesque Geneva:

In a new report, Dr. Mel Mullin, CIO of New York-based Courant Capital Management, and his team observe the dynamics of U.S. large-cap equity mispricings that often result from investor behavioral biases. These behaviors often create significant opportunities for value-driven systematic investors.

In the report, entitled "Opportunities From Behavioral Rotations and Dispersion in U.S. Large-Cap Equities," the authors remark that investor biases lead to opportunities for value oriented investors, and that "disciplined participants constructing market neutral portfolios can often take advantage of both sides of mispricing biases, over exuberance and undue pessimism, to accumulate attractive positions ahead of their fundamentally oriented, value-seeking peers."

They found that:

  • Large cap stock investors have rotating lists of favorites and outsiders, which move according to recent news;
  • In most market environments, inefficient pricings from behavioural overreactions tend to correct within three months, as more value-seekers partake and company information is updated;
  • Biased investor behaviors "provide value and profit opportunities for long-only, long/short and market neutral investors;"
  • Systematic market neutral investors focused on U.S. large-cap universe can profit from pricing inefficiencies;
  • Long-only investors usually help restor......................

    To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Opalesque Roundup: Hedge funds shrink as liquidations outpace new launches in Q1: hedge fund news, week 27[more]

    In the week ending 17 May, 2016, HFR said hedge fund liquidations declined narrowly to begin 2016 after rising sharply to conclude 2015, as investors positioned f

  2. Europe - Hedge funds keep powder dry over big Brexit bets, Hedge funds sense profit in Europe shock waves after Brexit vote, Soros warns Brexit may cause pound plunge worse than Black Wednesday, After Brexit: What will happen if Britain votes to leave the UK?[more]

    Hedge funds keep powder dry over big Brexit bets From FT.com: Hedge funds are shying away from big bets on Brexit, with many unwilling to risk further losses having already suffered a painful first half of the year. With the outcome of a UK vote on the country’s membership of the Europea

  3. News Briefs - ’Flash Boys’ get green light to launch stock exchange, Pimco says ‘storm is brewing’ in U.S. commercial real estate, Bankers get ready to rumble at Hedge Fund Fight Night, AIMA Australia celebrates 15th anniversary[more]

    ’Flash Boys’ get green light to launch stock exchange In an investing environment ruled by fast, the newest U.S. public stock exchange is banking on slow. Well, slower. IEX Group, which won Securities and Exchange Commission approval on Friday to go head-to-head with the New York Stock E

  4. Blackstone buys minority stake in New York-based credit hedge fund Marathon[more]

    Benedicte Gravrand, Opalesque Geneva: Blackstone Strategic Capital Holdings Fund, a vehicle managed by Blackstone Alternative Asset Management (BAAM), has acquired a passive, minority interest in Marathon Asset Management, for an undisclosed sum. Based in New York,

  5. Global markets fell, hedge funds gain in mid-June on Brexit, Fed rate concerns[more]

    Komfie Manalo, Opalesque Asia: Global financial markets declined through mid-June, as uncertainty associated with the upcoming Brexit referendum and expected U.S. Fed interest rate hike contributed to increases in volatility across asset classes, data provider