Vol. 21, No 2, 2023 by Andrew W. Lo and Shomesh E. Chaudhuri (Reviewed by Piyush Kontu ) Book Review View PDF… Read more
2nd Quarter (2023)
Case Study: Bitcoin ETFS: The Pros and Cons of a Spot ETF Versus a Futures ETF
Vol. 21, No 2, 2023 by Seoyoung Kim Case Study View PDF… Read more
Trading with the Informed and Against the Uninformed: Flows and Positioning in the Global Currency Market
Vol. 21, No 2, 2023 by Aldo Barrios, Rob Franolic, Davide Giovanardi and Michael Melvin FX trade settlement data from CLS provides the most comprehensive view of the opaque market of OTC currency trades. We use the flows of investment funds and non-financial corporates and develop trading signals where the former reflects speculative strategies, while… Read more
Is Index Concentration an Inevitable Consequence of Market-Capitalization Weighting?
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
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