Peter A. Lee and Andrew W. Lo During the past few years, hedge fund beta replication strategies have become more common. At the same time, questions about the relevance, performance, and applicability of these strategies have been raised in response to the rapidly shifting landscape in the hedge fund industry. We present a review of… Read more
Insights
INSIGHTS: Mutual Fund Outperformance and Growth
Gregg S. Fisher, Philip Z. Maymin and Zakhar G. Maymin Does better performance lead to more assets? We examine nearly 30,000 mutual funds to determine the effect that a fund’s outperformance relative to its peers has on the fund’s later asset size. We find that a fund that earns ten percent more than the size-weighted… Read more
INSIGHTS: The Trouble With Corporate Disclosure
Jack L. Treynor View PDF… Read more
INSIGHTS: THE LINK BETWEEN INFLATION AND THE VALUE OF PLANT
Jack L. Treynor When negotiators have fixed the money wage, if the central bank wants to change the level of money prices, it has to change the real wage. But the real wage changes whenever the identity—hence the age and productivity—of the marginal plant changes. On the other hand the scarcity rents on younger, more… Read more
INSIGHTS: A Rule-Based Commodity Index
John M. Mulvey A commodity index is designed as an equal-weighted set of four complementary tactics. The resulting portfolio takes advantage of well-established patterns in commodity markets, including high volatility and the relative independence of the return drivers. These conditions are ideal for achieving rebalancing gains and thusly for improving risk-adjusted performance. Index performance is… Read more
INSIGHTS: Norway’s Summit on Responsible Investing
Mitch Towner This is a summary of the issues discussed at the 2013 Investment Strategy Summit of the Norwegian Government Pension Fund Global. The emphasis of the summit was responsible investing with a special emphasis on ways to strengthen the Funds work on responsible investment. The summit brought together experts (both practitioners and academics) and… Read more
INSIGHTS: Stakeholders Perspectives on Norwegian Investment Responsibility
Sarah Takaki The Strategy Council for Norway’s Government Pension Fund Global, supported by the Norwegian Ministry of Finance, hosted the Responsible Investment Conference held in Oslo on 20 June 2013. The conferences goal was to facilitate dialogue with stakeholders on environmental, social, and governance (ESG) issues to inform the Strategy Councils forthcoming report on the… Read more
INSIGHTS: Finance Professionals in the Financial Crisis: Values, Fairness and Culture
Meir Statman Finance professionals have expressed their views on values, fairness, and culture in the great debate about the global financial crisis and its aftermath. Yet, their positions remain precarious because they stand accused of instigating the crisis, because their views on values, fairness, and culture are not widely shared in society, and because they… Read more
INSIGHTS: The Intended and Collateral Effects of Short Sale Bans as a Regulatory Tool
Terrence Hendershott, Ethan Namvar and Blake Phillips Short-sale bans have been utilized globally as a regulatory tool during periods of financial crisis. This paper reviews the observed intended and unintended effects of short-sale bans. Research has documented pervasive effects spanning many financial markets that include options, convertible bonds, credit default swaps, and exchange traded funds… Read more
Insights: On the Kurz Model of Asset Prices with Rational Beliefs
Craig W. French Mordecai Kurz has proposed an asset pricing model incorporating endogenous uncertainty. Kurz contrasts Rational Belief Equilibrium (RBE) with the more familiar theory of Rational Expectations Equilibrium (REE). In RBE, the aggregate market will generally misprice assets and stock returns can be explained by forecasting mistakes of investors. RBE suggests a strong basis… Read more