Vol. 20, No. 3, 2022 by Antti Illmanen (Reviewed by Zachary Crowell) View PDF… Read more
3rd Quarter (2022)
CASE STUDY: Passive Versus Active ESG Investing: How a Small Hedge Fund Converts an Oil Giant
Vol. 20, No. 3, 2022 by Ye Cai and Seoyoung Kim View PDF… Read more
What’s in the Moneyness? Moneyness Spread and Future Stock Returns
Vol. 20, No. 3, 2022 by Zhan Li There exists a significant and positive cross-sectional relation between moneyness spread and future stock returns. Stocks with high moneyness spread outperform stocks with low moneyness spread, measured by raw and risk-adjusted returns. This predictability can last for at least 15 days, and the predictability of open interest-weighted… Read more
Just Say No to Leveraged ETFs
Vol. 20, No. 3, 2022 by Ziemowit Bednarek and Pratish Patel The daily return on a positive Leveraged Exchange-Traded Fund (LETF) is a multiple of its benchmark. We compare the risk–reward trade-off of investing in an LETF relative to the benchmark. The main contribution is straightforward: Sharpe Ratio (SR) adequately and sufficiently captures the trade-off… Read more
Portfolio Performance Attribution via Shapley Value
Vol. 20, No. 3, 2022 by Nicholas Moehle, Stephen Boyd and Andrew Ang We consider an investment process that includes a number of features, each of which can be active or inactive. Our goal is to attribute or decompose an achieved performance to each of these features, plus a baseline value. There are many ways… Read more
Tax-Rate Arbitrage: Realization of Long-Term Gains to Enable Short-Term Loss Harvesting
Vol. 20, No. 3, 2022 by Lisa Goldberg, Taotao Cai and Pete Hand We look at an enhanced loss-harvesting strategy, tax-rate arbitrage, which exploits the differential between short- and long-term tax rates. In ourstudy, we examine tax-managed strategies over numerous historical periods. For the ideal tax-rate arbitrage investor, one who is subject to the highest… Read more
Insight: Interview with Dean Lebaron and Charley Ellis
Vol. 20, No. 3, 2022 As part of our twentieth anniversary of the JOIM, I have asked a few luminaries to share their sage thoughts in our “Insights” section. The following contribution is from Dean LeBaron who also enlisted comments from Charley Ellis in an interview which preceded our publication. My thanks to Dean and… Read more
Practitioner’s Digest
Vol. 20, No. 3, 2022 View PDF… Read more