2019 Archives
Volume 17, No. 1, 2019
Does Extreme Correlation Matter in Global Equity Asset Allocation?
Bruno Solnik and Thaisiri Watewai
Explaining Buyout Industry Returns: New Evidence
David Turkington
Lessons Learned From Student Managed Portfolios
Stephan Kranner , Neal Stoughton, and Josef Zechner
Portfolio Optimization with Noisy Covariance Matrices
Jose Menchero and Lei Ji
Book Review – Rational Investing: The Subtleties of Asset Management
By Hugues Langlois and Jacques Lussier (Reviewed by Savannah Smith)
Surveys&Crossovers – Predicting Investor Success Using Graph Theory and Machine Learning
Jeffrey Glupker, Vinit Nair, Benjamin Richman, Kyle Riener and Amrita Sharma
Letter from the Editor
John (Jack) Bogle, Sr passed away on January 16, 2019
Volume 17, No. 2, 2019
A Portfolio Approach to Accelerate Therapeutic Innovation in Ovarian Cancer
Shomesh Chaudhuri, Katherine Cheng, Andrew W. Lo, Shirley Pepke, Sergio Rinaudo, Lynda Roman and Ryan Spencer
A Model of Bond Value: Explaining Yields with Growth and Inflation
Thomas Shevlin
Optimal Holdings of Active, Passive and Smart Beta Strategies
Edmund Bellord, Joshua Livnat, Dan Porter and Martin B. Tarlie
Automated Financial Management: Diversification and Account Size Flexibility
Michael Reher and Celine Sun
Quantifying the Skewness Loss of Diversification
James X. Xiong and Thomas M. Idzorek
Case Study – Using Social Media Analytics in the Management of Investment Management
Seoyoung Kim
Book Review – The Fifth Risk
By Michael Lewis (Reviewed by Javier Estrada)
Volume 17, No. 3, 2019
Does Trading By ETF and Mutual Fund Investors Hurt Performance? Evidence from Time-and Dollar-Weighted Returns
Ananth Madhavan and Aleksander Sobczyk
How to Beat the Machines Before They Beat You
Vineer Bhansali
Embedded Betas and Better Bets: Factor Investing in Emerging Market Bonds
Johnny Kang, Kevin So and Thomas Tziortziotis
Return Predictability and Market-Timing: A One-Month Model
Blair Hull, Xiao Qiao and Petra Bakosova
Bill Gross’ Alpha: The King Versus the Oracle
Aaron Brown and Richard Dewey
Surveys and Crossovers
The F-Utility of Wealth: It’s All Relative
Arun Muralidhar
Case Study
Do You Know the Provenance of Your Alternative Data
Seoyoung Kim
Book Review
The Son also Rises: Surnames and the History of Social Mobility
By Gregory Clark (Reviewed by Savannah Smith)
Volume 17, No. 4, 2019
Funding Long Shots
John Hull, Andrew W. Lo and Roger M. Stein
Don’t Get Carried Away: Uncovering Macro Characteristics in Carry Portfolios
Marco Aiolfi and Yesim Tokat-Acikel
Ratings versus Spreads as Indicators of Price Risk
Martin Fridson, CFA, Begum Ipek Yavuz, Kai Zhao and Yan Yu
Tilt Nickels to Diamonds: An Orthogonalization Approach
Wenfeng Wu, George Xiang and Tong Yu
Surveys and Crossovers
What Does the Bet Against Beta Strategy Mean in a Multi-FactorWorld?
Brian Ayash, Ziemowit Bednarek and Pratish Patel
Insights
The Success Equation
Yu (Ben) Meng
Book Review
Weapons of Math Destruction: How Big Data Increases Inequality and Threatens Democracy
By Cathy O’Neil (Reviewed by Savannah Smith)