Volume 12, Number 3, Third Quarter 2014 View PDF… Read more
3rd Quarter (2014)
PRACTITIONER’S DIGEST
Volume 12, Number 3, (2014) View PDF… Read more
CASE STUDIES: Time Diversification
Jack L. Treynor View PDF… Read more
INSIGHTS: Hedge Fund Beta Replication: A Five-Year Retrospective
Peter A. Lee and Andrew W. Lo 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 fund industry. We present a review of… Read more
Large Price Changes and Subsequent Returns
Suresh Govindaraj, Joshua Livnat, Pavel G. Savor and Chen Zhao We investigate whether large stock price changes are associated with short-term reversals or momentum, conditional on the issuance of analyst price target or earnings forecast revisions immediately following these price changes. Our study provides evidence that prices of stocks exhibit momentum when analysts issue revisions… Read more
BOOK REVEIW: The Undercover Economist Strikes Back – How to Run or Ruin an Economy
Volume 12, Number 3, Third Quarter 2014 The Undercover Economist Strikes Back – How to Run or Ruin an Economy Tim Harford Reviewed by Javier Estrada View PDF… Read more
BOOK REVEIW: The Undercover Economist Strikes Back – How to Run or Ruin an Economy
The Undercover Economist Strikes Back – How to Run or Ruin an Economy Tim Harford Reviewed by Javier Estrada View PDF… Read more
SURVEYS AND CROSSOVERS: A Survey of University Endowment Management Research
Georg Cejnek, Richard Franz, Otto Randl and Neal Stoughton There is significant interest in how university endowments manage money and perform, and an emerging strand of finance research specializes in this growing area. The purpose of this paper is to survey and review the state-of-the-art in this field. We classify papers into four areas. (1)… Read more
Dilution of Sector Exposures: When Does Unintended Indexing Happen?
Michael Stein and Svetlozar T. Rachev We analyze how the inclusion of several sectors in a portfolio leads to a countering of exposures and to a replication of the index. Using a weight-based measure, we find that on a composition level unintended indexing appears to happen with only moderate severity. However, co-movement with the broad… Read more
Corporate Credit Limits for Fixed Income Portfolios
Miikka Taurén and Thomas Philips Fixed income portfolio managers and risk managers constantly grapple with the question of how to size their corporate credit trades. Their task is made more difficult by the fact that corporate credit events are rare, particularly among Investment Grade bonds, and that tail risk is not well captured by most… Read more
INSIGHTS: A Rule-Based Commodity Index
John M. Mulvey 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 for improving risk-adjusted performance. Index performance is… Read more