Vol. 21, No. 3, 2023 Douglas M. Grim, Giulio Renzi-Ricci and Anna Madamba The explosion of interest in ESG investing has yielded several quantitative frameworks that seek to incorporate non-pecuniary ESG preferences into conventional multi-asset portfolio optimization models. In this article, the authors specify an accessible approach that allows investors to simultaneously optimize for both… Read more
the JOIM
Efficient Goal Probabilities: A New Frontier
Vol. 21, No. 3, 2023 Sanjiv Das, Daniel Ostrov, Anand Radhakrishnan and Deep Srivastav In goals-based wealth management (GBWM), an investor looks to maximize the probabilities of attaining each of n goals over time. Because the goals are in competition for potentially limited financial resources, their relative importance must be specified, which we do by… Read more
Are 60/40 Portfolio Returns Predictable?
Vol. 21, No. 3, 2023 Jamil Baz, Steve Sapra and German Ramirez Long-horizon asset class returns are reasonably predictable using simple models of expected return. However, equity returns over the last decade far exceeded model-based predictions. We posit a framework for the drivers of potential mean-reversion in equity returns. We believe increases in real bond… Read more
Practitioner’s Digest
Vol. 21, No. 3, 2023 Practitioner’s Digest View PDF… Read more
Review – Healthcare Finance: Modern Financial Analysis for Accelerating Biomedical Innovation
Vol. 21, No 2, 2023 by Andrew W. Lo and Shomesh E. Chaudhuri (Reviewed by Piyush Kontu ) Book Review View PDF… Read more
Case Study: Bitcoin ETFS: The Pros and Cons of a Spot ETF Versus a Futures ETF
Vol. 21, No 2, 2023 by Seoyoung Kim Case Study View PDF… Read more
Trading with the Informed and Against the Uninformed: Flows and Positioning in the Global Currency Market
Vol. 21, No 2, 2023 by Aldo Barrios, Rob Franolic, Davide Giovanardi and Michael Melvin FX trade settlement data from CLS provides the most comprehensive view of the opaque market of OTC currency trades. We use the flows of investment funds and non-financial corporates and develop trading signals where the former reflects speculative strategies, while… Read more
Is Index Concentration an Inevitable Consequence of Market-Capitalization Weighting?
Vol. 21, No 2, 2023 by Lisa R. Goldberg, Ananth Madhavan, Harrison Selwitz and Alexander Shkolnik Market-cap-weighted equity indexes are ubiquitous. However, there are growing concerns that such indexes are increasingly concentrated in a few stocks. We ask: Does market-cap weighting inevitably lead to increased concentration overtime? The question of inevitability arises from research that… Read more
Insight: A Practitioner’s Guide to Address Fat Tails and Downside Risk in Portfolio Construction
Vol. 21, No 2, 2023 by Eva A. Xu and Eric L. Tarkin Standard models of risk and return are known to underestimate the frequency of extreme events and cannot account for the observed phenomena of increasing correlations in times of stress. This was most salient during the global financial crisis. Despite all of this… Read more
Practitioner’s Digest
Vol. 21, No 2, 2023 Practitioner’s Digest View PDF… Read more