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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

Practitioner’s Digest

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)

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