Articles

Vol. 20, No. 3, 2022 by Nicholas Moehle, Stephen Boyd and Andrew Ang We consider an investment process that includes a number of features, each of which can be active or inactive. Our goal is to attribute or decompose an achieved performance to each of these features, plus a baseline value. There are many waysto… Read more

Vol. 20, No. 3, 2022 by Lisa Goldberg, Taotao Cai and Pete Hand We look at an enhanced loss-harvesting strategy, tax-rate arbitrage, which exploits the differential between short- and long-term tax rates. In ourstudy, we examine tax-managed strategies over numerous historical periods. For the ideal tax-rate arbitrage investor, one who is subject to the highest… Read more

Vol. 20, No. 2, 2022 by Aaron Brown and Richard Dewey Bubbles are among the most puzzling and controversial phenomena of financial markets. Although rare, their cumulative impact on both investor returns and the broader economy can be great. One particular question that has motivated research is why shrewd short sellers don’t prevent excessive price… Read more

Vol. 20, No. 2, 2022 by Jonathan T. Vu, Benjamin K. Kaplan, Shomesh Chaudhuri, Monique K. Mansoura and Andrew W. Lo Recent outbreaks of infectious pathogens such as Zika, Ebola, and COVID-19 have underscored the need for the dependable availability of vaccines against emerging infectious diseases (EIDs). Prior to the COVID-19 pandemic, the cost and… Read more

Vol. 20, No. 2, 2022 by Jeffrey R. Bohn, Lisa R. Goldberg and Simge Ulucam Many investors have shifted their asset allocations to account for Environmental, Social, and Governance (ESG) issues. While we welcome this shift from an ethical perspective, the financial and non-financial benefits of ESG investing as well as best practices for portfolio… Read more

Vol. 20, No. 2, 2022 by Karishma Kaul, Katharina Schwaiger, Muling Si and Andrew Ang We construct fixed income portfolios for sovereign bonds and corporate bonds with sustainable insights. The climate methodology for sovereign bonds can be applied as an overlay on any benchmark and tilts toward sovereigns more prepared with the climate transition and… Read more

Vol. 20, No. 2, 2022 by Bradford Cornell This paper is devoted primarily to asking questions about the implications of the growing focus on ESG (environment, social and governance) for investing and corporate financial policy rather than offering answers. Many of the questions raised here were anticipated by Milton Friedman in his classic New York… Read more

Vol. 20, No. 1, 2022 by Moshe Levy and Haim Levy In the absence of market-timing ability, investors are better-off keeping their asset allocation constant through time. Target-date funds help reduce variation in the asset allocation, by taking into account that human capital, which is a part of the investor’s total portfolio and is typically… Read more

Vol. 20, No. 1, 2022 by Nicholas Apergis, Thomas Poufinas, Alexandros Panagakis and Ioannis Ritsios Institutional investors are investigating systematic, rule-based investment directions other than purely passive investing, such as factor-based investing. This study examines how well the factor-ETFs capture the Fama–French factors and attempts to explain their difference from the smart beta indexes applied… Read more