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Insight

0 comments / 27/11/2015 / the JOIM / Archives, Insight

INSIGHTS: Limits on the Level of Demand a Country Can Afford

Volume 13, Number 4, Fourth Quarter 2015 Jack Treynor With home goods (e.g urban services) output equals demand; when demand increases we put older machines back to work. But the real wage depends on the productivity of the marginal home goods plant. Because money prices go up when the real wage goes down, an increase… Read more

0 comments / 14/08/2015 / the JOIM / Archives, Insight

Insights: Consumption, Investment and Insurance in the Game of Life

Volume 13, Number 3, 2015 Harry M. Markowitz Markowitz (1991) proposed the development of a “Game of Life” simulator in which portfolio selection was just one type of move in the financial actions of a subject household. Sherri Grabot’s invitation to Markowitz in the late 1990s to form and join the design committee of GuidedChoice… Read more

0 comments / 20/03/2015 / the JOIM / Archives, Insight

INSIGHTS: Investment, Financial System, Real Output and Macro-Risk Management

Volume 13, Number 1, First Quarter 2015 Thomas S. Y. Ho and Sang Bin Lee Loan underwriting standards and quantitative easing are examples of macro-risk management tools that affect the financial sector, which in turn affects real sector outputs. And therefore asset returns, real sector outputs, financial sector, and macro-risk management are interrelated. This paper… Read more

0 comments / 20/03/2015 / the JOIM / Archives, Insight

INSIGHTS: Free Cash Flows, Valuation and Growth Opportunities Bias

Hersh Shefrin Volume 12, Number 4, Fourth Quarter 2014 Analysts who base valuations on expected free cash flows are vulnerable to making biased assessments of terminal value because they fail to take into account the implications of disappearing growth opportunities during the terminal period. This leaves their valuations subject to “growth opportunities bias” (GOB). There… Read more

0 comments / 20/03/2015 / the JOIM / Archives, Insight

INSIGHTS: Hedge Fund Beta Replication: A Five-Year Retrospective

Peter A. Lee and Andrew W. Lo Volume 12, Number 3, Third Quarter 2014 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… Read more

0 comments / 18/03/2015 / / Archives, Insight

INSIGHTS: Mutual Fund Outperformance and Growth

Gregg S. Fisher, Philip Z. Maymin and Zakhar G. Maymin Volume 12, Number 2, Second Quarter 2014 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… Read more

0 comments / 18/02/2015 / the JOIM / Archives, Insight

INSIGHTS: The Trouble With Corporate Disclosure

Jack L. Treynor Volume 1, Number 4, Fourth Quarter 2003… Read more

0 comments / 22/12/2014 / the JOIM / Archives, Insight

INSIGHTS: The Link Between Inflation and the Value of Plant

Jack L. Treynor Volume 12, Number 2, Second Quarter 2014 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… Read more

0 comments / 05/11/2014 / the JOIM / Archives, Insight

INSIGHTS: A Rule-Based Commodity Index

John M. Mulvey Volume 12, Number 3, Third Quarter 2014 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… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Insight

INSIGHTS: Norway’s Summit on Responsible Investing

Mitch Towner Volume 12, Number 1, First Quarter 2014 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… Read more

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