2021 Archives
Volume 19, No. 1, First Quarter 2021
Practitioner’s Digest
INSIGHTS
Insights: Active Investing and the Efficiency of Security Markets
Russ Wermers
ARTICLES
Investment Style Volatility and Mutual Fund Performance
Keith C. Brown, W. V. Harlow and Hanjiang Zhang
Lending to Lose: Who Buys Negatively Yielding Bonds and What it Means for Investors
Vineer Bhansali
Idiosyncratic Risk and When to Tilt Toward Value
Jason D. Fink and Kristin E. Fink
Comovement, Liquidity and Asymmetries
James X. Xiong
CASE STUDY
Case Study
Seoyoung Kim
BOOK REVIEW
Beyond Diversification: What Every Investor Needs to Know About Asset Allocation
By Sébastien Page (Reviewed by Cel Kulasekaran)
Volume 19, No. 2, Second Quarter 2021
Practitioner’s Digest
ARTICLES
Asset Pricing, Asset Allocation and Risk-Adjusted Performance with Multiple Goals and Agency: The Goals and Risk-Based Asset Pricing Model
Arun Muralidhar
Active Investing as a Negative Sum Game: A Critical Review
Geoffrey J. Warren
What Happens with More Funds than Stocks? Analysis of Crowding in Style Factors
and Individual Equities
Ananth Madhavan, Aleksander Sobczyk and Andrew Ang
The Magic Formula: Value, Profitability, and the Cross-Section of Global Stock Returns
Douglas W. Blackburn and Nusret Cakici
BOOK REVIEW
Book Review: The Financial Ecosystem — The Role of Finance in Achieving Sustainability
by Satyajit Bose, Guo Dong and Anne Simpson (Reviewed by Hui (Stacie) Wang)
Volume 19, No. 3, Third Quarter 2021
Practitioner’s Digest
ARTICLES
A New Index of the Business Cycle
William Kinlaw, Mark Kritzman and David Turkington
Long-Run Implied Market Fundamentals: An Exploration
Heinz Zimmermann
On the Use of the Daily Fama–French Risk-Free Rate
Joshua C. Fairbanks, Mark D. Griffiths and Drew B. Winters
Advances in Estimating Covariance Matrices
Jose Menchero and Lei Ji
A Market Signal-Based Alternative to Buy-and-Hold Investing
Atanu Saha and Yong Xu
BOOK REVIEW
Book Review: The Premonition
By Michael Lewis (Reviewed by Javier Estrada)
Volume 19, No. 4, Fourth Quarter 2021
INSIGHTS
Are We at the Inflection Point of Climate Investing?
Yu (Ben) Meng
ARTICLES
How Do Factor Premia Vary Over Time? A Century of Evidence
Antti Ilmanen, Ronen Israel, Rachel Lee, Tobias J. Moskowitz and Ashwin Thapar
The U.S. Treasury Term Structure and the Distribution of Real GDP Growth
J. Benson Durham
Good States, Bad States: What Do Options Tell Us About Schizophrenic Behavior of Mr. Market and What Can We Do About It?
Vineer Bhansali and Jeremie Holdom
Horizon-Adjusted Portfolio Performance Measure
Yoram Kroll and Moshe Ben-Horin
Private Equity Valuation Before and After ASC 820
Peter Easton, Stephannie Larocque and Jennifer Sustersic Stevens
BOOK REVIEW
Book Review: Trading at the Speed of Light: How Ultrafast Algorithms are Transforming Financial Markets
By Donald Mackenzie (Reviewed by Hanbin Im)