Mon, Aug 31, 2015
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. Investing - Hedge funds suddenly find real money is back in Argentina's debt, Elon Musk buys more SolarCity stock following hedge fund manager short, BlackRock plans to get into rental-home financing[more]

    Hedge funds suddenly find real money is back in Argentina's debt From Bloomberg.com: The real money is back in Argentina. Before the country’s default in July 2014 (its second in 13 years), most long-term investors abandoned its bond market. As they rushed out, Argentina became a favorit

  2. Activist News - Carl Icahn has snapped up a huge stake in Freeport-McMoRan, and the stock is ripping, Meet Europe's best activist investor[more]

    Carl Icahn has snapped up a huge stake in Freeport-McMoRan, and the stock is ripping From Businessinsider.com: Carl Icahn has picked his next target: Freeport-McMoRan. Icahn and a group of other investors have snapped up an 8.46% stake in mining company Freeport-McMoRan, according to a j

  3. North America - Hedge fund manager Ray Dalio’s challenge to the Fed[more]

    From Newyorker.com: For some reason, Janet Yellen, the chair of the Federal Reserve, decided to skip this year’s annual Fed conference in Jackson Hole, where monetary policymakers from the United States and abroad get together with some prominent academics to discuss the big issues of the moment. Th

  4. Performance - Hedge funds set to bank millions by short selling during London share slump, The China market chaos has made this hedge fund its most money in 2 years, Odey hedge fund said to surge 9% betting against China, Hedge funds with long-held bearish views on China rack up profits, Hedge funds in U.S. seen curbing damage from August turbulence, Hedge funds collect on their predictions of a fall, How did managed futures do while the Dow was down 1000[more]

    Hedge funds set to bank millions by short selling during London share slump From TheGuardian.com: Hedge funds are set to bank tens of millions of pounds from the slump in share prices in London, having bet almost £18bn that the FTSE 100 would fall. The funds making the bets include Lansd

  5. Opalesque Exclusive: John C Head IV leaves alternative investment firm Gallery Capital, David Harrison joins as co-CIO[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: John C Head IV, former president and co-founder of Gallery Capital Management, an alternative inv

 

banner