@IreneAldridge of @AbleMarkets spoke at Cornell University
Many portfolio managers underestimate the effects of intraday risk on their portfolio compositions. This presentation discusses a quantitative study of the intraday risk in portfolios of equities, commodities, and foreign exchange. The study shows that accounting for intraday risk in portfolios with monthly, quarterly and even annual rebalancing can improve performance by as much as 50 bps per annum, and Sharpe ratio by 0.5.
Watch the seminar here: