Research and projects
Research and projects
A continuation of my MPhil thesis I wrote while at Robeco Quantitative Investing.
We infer investor views from the actual portfolios of active mutual funds. Summary: disagreement on the market factor is a positively priced source of risk. Abstracting away from investors' stock picking choices improves the signal.
We contrast the return series of factor portfolios based on how much of the daily variability is "noise" rather than, e.g., informed trading (see Brogaard et al., 2022RFS).