Jack Treynor Volume 13, Number 4, Fourth Quarter 2015 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
4th Quarter (2015)
Fundamental Indexation and the Fama-French Three Factor Model: Risk Assimilation or Stock Mispricing?
Xiaofeng Shi, Mike Dempsey and Laurence Irlicht Volume 13, Number 4, Fourth Quarter 2015 We confirm the outperformance of fundamental indexation (FI) portfolio returns as due to an exploitation of stock mispricing, while, simultaneously, largely explained in terms of the Fama–French three-factor (FF-3F) model. This leads us to conclude that rather than FI representing a… Read more
Efficiently Combining Multiple Sources of Alpha
Jose Menchero and Jyh-Huei Lee Volume 13, Number 4, 2015 In this article, we examine the question of efficiently combining multiple sources of alpha. We begin with a comparison of the various methods used by practitioners for constructing portfolios that capture a single alpha signal. These methods are broadly categorized as either: (a) simple factor… Read more
Investing in the Asset Growth Anomaly Across the Globe
Xi Li and Rodney N. Sullivan Volume 13, Number 4, 2015 We document the existence of an anomalous asset growth effect globally and find that it comprises some combination of a market mispricing and some pervasive global systematic risk. To support our findings, we explore a battery of tests to include how country-level governance and… Read more
Book Review: Portfolio Management Under Stress: A Bayesian-Net Approach to Coherent Asset Allocation
Volume 13, Number 4, 2015 Portfolio Management Under Stress: A Bayesian-Net Approach to Coherent Asset Allocation Riccardo Rebonato and Alexander Denev Reviewed by Cel Kulasekaran View PDF… Read more
Case Studies: Male Life Expectancy Graph
Volume 13, Number 4, Fourth Quarter 2015 Jack L. Treynor View PDF… Read more
Funding Translational Medicine via Public Markets: The Business Development Company
Sandra M. Forman, Andrew W. Lo, Monica Shilling and Grace K. Sweeney Volume 13, Number 4, Fourth Quarter 2015 A business development company (BDC) is a type of closed-end investment fund with certain relaxed requirements that allow it to raise money in the public equity and debt markets, and can be used to fund multiple… Read more