Vol. 20, No. 1, 2022 by Soohun Kim, Robert A. Korajczyk and Andreas Neuhierl We propose new methodology to construct arbitrage portfolios by utilizing information contained in firm characteristics for both abnormal returns and betas (and, therefore, smart-beta risk premiums). Our methodology gives maximal weight to risk-based interpretations of characteristics’predictive power before any attribution to… Read more
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Characteristic-Based Returns: Alpha or Smart Beta?
Vol. 20, No. 1, 2022 by Soohun Kim, Robert A. Korajczyk and Andreas Neuhierl We propose new methodology to construct arbitrage portfolios by utilizing information contained in firm characteristics for both abnormal returns and betas (and, therefore, smart-beta risk premiums). Our methodology gives maximal weight to risk-based interpretations of characteristics’predictive power before any attribution to… Read more
Characteristic-Based Returns: Alpha or Smart Beta?
Vol. 20, No. 1, 2022 by Soohun Kim, Robert A. Korajczyk and Andreas Neuhierl We propose new methodology to construct arbitrage portfolios by utilizing information contained in firm characteristics for both abnormal returns and betas (and, therefore, smart-beta risk premiums). Our methodology gives maximal weight to risk-based interpretations of characteristics’ predictive power before any attribution… Read more
2022 Archives
Volume 20, No. 1, First Quarter 2022 Practitioner’s Digest ARTICLES Measuring the Economic and Academic Impact of Philanthropic Funding: The Breast Cancer Research Foundation Detelina Vasileva, Larry Norton, Marc Hurlbert and Andrew W. Lo Exponential Glide Paths Moshe Levy and Haim Levy Relevance Megan Czasonis, Mark Kritzman and David Turkington How Well Do Factor ETFS… Read more
Harry M. Markowitz Award
Harry M. Markowitz 1927-2023 The Harry M. Markowitz Award (sponsored jointly by ( JOIM and New Frontier Advisors, LLC ) recognizes the seminal and transcendent impact of Dr. Markowitz’s work as a financial economist and mathematician on both theoretical finance and the practice of asset management. The award has been established to honor his legacy and to support future… Read more