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“Bridging the theory & practice of investment management”
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2nd Quarter (2017)

0 comments / 2017-05-08 / the JOIM

The Legacy of Jack Treynor: Friends Reflect

Stephen Foerster JOIM Conference Series, March 2017 / San Diego View PDF… Read more

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In Memory of Stephen A. Ross

Stephen Foerster JOIM Conference Series, March 2017 / San Diego View PDF… Read more

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Case Study – The Rational Investor

Volume 15, Number 2, 2017 Craig French View PDF… Read more

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Book Review – Book of Value: The Fine Art of Investing Wisely 2016

Book of Value: The Fine Art of Investing Wisely 2016 by Anurag Sharma Reviewed by Bruce Grantier View PDF… Read more

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Practitioner’s Digest

Volume 15, Number 2, (2017) View PDF… Read more

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Leaning with the Wind: Long-Term Asset Owners and Procyclical Investing

Bradley A. Jones This paper seeks to shed light on the systematic investment patterns of long-term asset owners. Based on a sample of representative portfolios (totaling $24 trillion) for global central banks, U.S. public and private pension funds, U.S. insurers and U.S. endowment funds, four main findings are established. First, asset allocation decisions appear to… Read more

0 comments / 2017-05-08 / the JOIM

Horizon Effects that are Larger than You Think: Dynamic Allocation

Thomas J. O’Brien This paper illustrates optimal dynamic allocation in a traditional two-fund capital market model. As in previous literature, a mean-reverting market portfolio implies a “horizon effect” in typical investors’ allocations. For investors whose risk aversion is higher than the representative investor’s, the horizon effect becomes substantially larger in the capital market model than… Read more

0 comments / 2017-05-08 / the JOIM

A Pitfall in Ethical Investing: ESG Disclosures Reflect Vulnerabilities, not Virtues

Gerald T. Garvey, Joshua Kazdin, Ryan LaFond, Joanna Nash and Hussein Safa It is widely believed that ESG (Environmental, Social, Governance) investing reduces regulatory and reputational risks. In a large global panel, we find that business ethics controversies and regulatory issues are more likely for firms that disclose a richer set of ESG-friendly policies. The… Read more

0 comments / 2017-05-08 / the JOIM

Rethinking the Fundamental Law of Active Management

Jose Menchero The fundamental law of active management provides a powerful framework for analyzing portfolio diversification and risk-adjusted returns. It states that the information ratio of an unconstrained optimal portfolio is given by the product of the information coefficient (a measure of skill) and the square root of breadth, where breadth is the number of… Read more

0 comments / 2017-05-08 /

The Impact of Different Default Triggers on CMBS Risk Evaluation

Volume 15, Number 2, 2017 Andreas D. Christopoulos This paper presents a structural generalization for pricing commercial mortgage backed securities (CMBS) and their derivatives, CMBX. I compare results for the structural generalization with a reduced-form approach using identical data sets and analyses. My comparisons are made at both the loan and bond levels and cover… Read more

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