First Quarter (2004)

Susana Yu and Joel Rentzler Volume 2, Number 1, First Quarter 2004 Day trading index futures is popular. Two common strategies are trend-following and gap-reversal. This paper uses these strategies as “base strategies” and asks whether simple intraday exit rules can increase their profitability. Intraday stop-loss exit rules appear to add return to a trend-following… Read more

Sherry L. Jarrell and Edward S. O’Neal Volume 2, Number 1, First Quarter 2004 The authors quantify and analyze the current annual fees in the institutional mutual fund industry. They identify the primary determinants of fund expenses and develop a methodology for gauging whether fees on an institutional investment are consistent with other similar alternative… Read more

Harry M. Kat Volume 2, Number 1, First Quarter 2004 We study the possible role of managed futures in portfolios of stocks, bonds and hedge funds. We find that allocating to managed futures allows investors to achieve a very substantial degree of overall risk reduction at, in terms of expected return, relatively limited costs. Adding… Read more

Mark Rubinstein Volume 2, Number 1, First Quarter 2004 This is the third in a series of articles on Great Moments in Financial Economics to appear in the Journal. For each, the purpose is to trace, as well as the author can, the history of the development of an important idea. In this case, the… Read more