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
the JOIM
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
The Math Gender Gap and Women’s Career Outcome
Vol 21, No, 2, 2023 by Renée B. Adams, Brad M. Barber and Terrance Odean We show that the gender gap in mathematics is related to women’s career outcomes. The math gender gap predicts the proportion of women in the investment profession across countries and across states in the US. Our results suggest that societal… Read more
Book Review: Prediction Revisited: The Importance of Observation, 1st Edition
Vol.21, No.1, 2023 by Mark P. Kritzman, David Turkington and Megan Czasonis (Reviewed by Kenneth Winston) Prediction Revisited is a delightfully nonlinear romp through the basics of linear statistical inference. Its stated goal is to reframe the subject with a relevance-weighted approach. But there’s a second goal: to emulate the singer Mark Anthony. Mark Anthony… Read more
Financing Fusion Energy
Vol.21, No.1, 2023 by Abdullah Alhamdan, Zachery M. Halem, Irene Hernandez, Andrew W. Lo, Manish Singh and Dennis Whyte The case for investing in fusion energy has never been greater, given increasing global energy demand, high annual carbon dioxide output, and technological limitations for wind and solar power. Nevertheless, financing for fusion companies through traditional… Read more
The Role of Options in Goals-Based Wealth Management
Vol.21, No.1, 2023 by Sanjiv R. Das and Greg Ross We develop a methodology using dynamic programming for goals-based wealth management over long horizons where portfolio rebalancing uses the standard securities and also derivative securities. A kernel density estimation approach is developed to accommodate derivative assets, solving a high-dimensional problem with fast computation. The approach… Read more
How Inefficient is the 1/N Strategy for a Factor Investor?
Vol.21, No.1, 2023 by Kevin Khang, Antonio Picca, Shaojun Zhang and Minzhi Zhu The last decade’s dramatic democratization of factor investing has broadened its investor base to individual investors and their advisors. This paper studies the performance of classic allocation strategies—1/N, mean–variance, and minimum-variance—from these investors’ perspective. Specifically, we curate commonly available long-only factor funds… Read more
Leveraging Text Mining to Extract Insights from Earnings Call Transcripts
Vol.21, No.1, 2023 by Andrew Chin and Yuyu Fan We apply text-mining techniquesin earnings call transcriptsto extract meaningful features that capture management and investment community signals. Using a corpus of transcripts of earnings calls for global companies from 2010 to 2021, we create fundamentally driven features spanning document attributes, readability, and sentiment on different sections… Read more
Practitioner’s Digest
Vol.21, No.1, 2023 The “Practitioner’s Digest” emphasizes the practical significance of manuscripts featured in the “Insights” and “Articles” sections of the journal. Readers who are interested in extracting the practical value of an article, or who are simply looking for a summary, may look to this section. View PDF… Read more