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“Bridging the theory & practice of investment management”
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3rd Quarter (2021)

0 comments / 26/07/2021 / the JOIM

Practitioner’s Digest

Vol. 19, No. 3, 2021 Practitioner’s Digest View PDF… Read more

0 comments / 26/07/2021 / the JOIM

Book Review – The Premonition

Vol. 19, No. 3, 2021 By Michael Lewis (Reviewed by Javier Estrada) View PDF… Read more

0 comments / 19/07/2021 / the JOIM

A Market Signal-Based Alternative to Buy-and-Hold Investing

Vol. 19, No. 3, 2021 Atanu Saha and Yong Xu We propose a simple, hindsight-free, rule-based method of entry and exit into the stock market, with the goal of improving returns by averting large losses. Using data from 1928 through March 2020, we demonstrate that the proposed strategy delivers statistically significant outperformance over the S&P… Read more

0 comments / 19/07/2021 / the JOIM

Advances in Estimating Covariance Matrices

Vol. 19, No. 3, 2021 Jose Menchero and Lei Ji Correlation matrices are widely used in finance both for risk forecasting and for portfolio optimization. It is well known that the sample correlation matrix is unreliable for portfolio optimization. However, we show that for purposes of predicting portfolio risk, the sample correlation matrix is close… Read more

0 comments / 19/07/2021 / the JOIM

On the Use of the Daily Fama–French Risk-Free Rate

Vol. 19, No. 3, 2021 Joshua C. Fairbanks, Mark D. Griffiths and Drew B. Winters The Fama and French (1992) risk-free rate is used throughout the extant finance literature. The daily risk-free series has issues that raise concerns about its use as a benchmark. We detail the issues and discuss viable low-cost alternatives. We suggest… Read more

0 comments / 19/07/2021 / the JOIM

Long-Run Implied Market Fundamentals: An Exploration

Vol. 19, No. 3, 2021 Heinz Zimmermann The paper studies the volatility and correlation pattern of the fundamental valuation parameters (growth rate and its determinants, discount rate) calculated from widely used valuation ratios using the Gordon formula, and compares the findings to well-known insights from the asset pricing literature. Our results reveal a substantially different… Read more

0 comments / 19/07/2021 / the JOIM

A New Index of the Business Cycle

Vol. 19, No. 3, 2021 William Kinlaw, Mark Kritzman and David Turkington The authors introduce a new index of the business cycle that uses the Mahalanobis distance to measure the statistical similarity of current economic conditions with past episodes of recession and robust growth. Their approach has a key advantage compared to approaches that simply… Read more

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