AQR's DELTA Strategy (TN)

Daniel  Bergstresser; Lauren  Cohen; Christopher  Malloy; Randolph B. Cohen; Timothy  Gray

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Teaching Note | HBS Case Collection | March 2012 (Revised February 2013)

AQR's DELTA Strategy (TN)

by Daniel Bergstresser, Lauren Cohen, Christopher Malloy, Randolph B. Cohen and Timothy Gray

Language: English

Format: Print

16 pages

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Citation:

Bergstresser, Daniel, Lauren Cohen, Christopher Malloy, Randolph B. Cohen, and Timothy Gray. "AQR's DELTA Strategy (TN)." Harvard Business School Teaching Note 212-084, March 2012. (Revised February 2013.)

About the Authors

Lauren H. Cohen

L.E. Simmons Professor of Business Administration

Finance

Entrepreneurial Management

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Christopher J. Malloy

Sylvan C. Coleman Professor of Financial Management

Finance

Entrepreneurial Management

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Randolph B. Cohen

Senior Lecturer of Business Administration

Finance

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View Publications »

More from these Authors

Article | Journal of Financial Economics | October 2020

IQ from IP: Simplifying Search in Portfolio Choice

Huaizhi Chen, Lauren Cohen, Umit Gurun, Dong Lou, Christopher J. Malloy, Huaizhi Chen, Lauren Cohen, Umit Gurun, Dong Lou and Christopher J. Malloy

Using a novel database that tracks web traffic on the SEC’s EDGAR servers between 2004 and 2015, we show that mutual fund managers gather information on a very particular subset of firms and insiders, and their surveillance is very persistent over time. This tracking behavior has powerful implications for their portfolio choice and its information content. An institution that downloaded an insider-trading filing by a given firm last quarter increases its likelihood of downloading an insider-trading filing on the same firm by more than 41.3% this quarter. Moreover, the average tracked stock that an institution buys generates annualized alphas of between 9% to 18% relative to the purchase of an average non-tracked stock. We find that institutional managers tend to track members of the top management teams of firms (CEOs, CFOs, presidents, and board chairs) and tend to share educational and location-based commonalities with the specific insiders they choose to follow. Collectively, our results suggest that the information in tracked trades is important for fundamental firm value and is only revealed following the information-rich dual trading by insiders and linked institutions.

Keywords: tracked trades; Return Predictability; institutional trading; insider trading; Institutional Investing; Information; Investment Portfolio; Decisions; Management;

Citation:
Chen, Huaizhi, Lauren Cohen, Umit Gurun, Dong Lou, and Christopher J. Malloy. "IQ from IP: Simplifying Search in Portfolio Choice." Journal of Financial Economics 138, no. 1 (October 2020): 118–137. (Winner of the First Prize, Crowell Memorial Award for Best Paper in Quantitative Investments, PanAgora Asset Management, 2019.) View Details

Cite View Details SSRN SSRN Find at Harvard Find at Harvard Related
Article | Journal of Financial Economics | October 2020

IQ from IP: Simplifying Search in Portfolio Choice

Huaizhi Chen, Lauren Cohen, Umit Gurun, Dong Lou, Christopher J. Malloy, Huaizhi Chen, Lauren Cohen, Umit Gurun, Dong Lou and Christopher J. Malloy

Using a novel database that tracks web traffic on the SEC’s EDGAR servers between 2004 and 2015, we show that mutual fund managers gather information on a very particular subset of firms and insiders, and their surveillance is very persistent over time. This tracking behavior has powerful implications for their portfolio choice and its information content. An institution that downloaded an insider-trading filing by a given firm last quarter increases its likelihood of downloading an insider-trading filing on the same firm by more than 41.3% this quarter. Moreover, the average tracked stock that an institution buys generates annualized alphas of between 9% to 18% relative to the purchase of an average non-tracked stock. We find that institutional managers tend to track members of the top management teams of firms (CEOs, CFOs, presidents, and board chairs) and tend to share educational and location-based commonalities with the specific insiders they choose to follow. Collectively, our results suggest that the information in tracked trades is important for fundamental firm value and is only revealed following the information-rich dual trading by insiders and linked institutions.

Keywords: tracked trades; Return Predictability; institutional trading; insider trading; Institutional Investing; Information; Investment Portfolio; Decisions; Management;

Citation:
Chen, Huaizhi, Lauren Cohen, Umit Gurun, Dong Lou, and Christopher J. Malloy. "IQ from IP: Simplifying Search in Portfolio Choice." Journal of Financial Economics 138, no. 1 (October 2020): 118–137. (Winner of the First Prize, Crowell Memorial Award for Best Paper in Quantitative Investments, PanAgora Asset Management, 2019.) View Details

Cite View Details SSRN SSRN Find at Harvard Find at Harvard Related
Case | HBS Case Collection | August 2020

Rapid7: The Price of Principle

Lauren H. Cohen and Spencer C. N. Hagist

Citation:
Cohen, Lauren H., and Spencer C. N. Hagist. "Rapid7: The Price of Principle." Harvard Business School Case 221-021, August 2020. View Details

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AQR's DELTA Strategy (TN)

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