Volume 8, Number 4, Fourth Quarter 2010 The Little Book of Safe Money Jason Zweig Reviewed by Javier Estrada The Little Book of Bulletproof Investing Ben Stein and Phil Demuth Reviewed by Javier Estrada View PDF… Read more
Fourth Quarter (2010)
CASE STUDIES: Linear Causality
Jack L. Treynor Volume 8, Number 4, Fourth Quarter 2010 View PDF… Read more
What’s the Best Way to Trade Using the January Barometer?
Michael J. Cooper, John J. McConnell and Alexei V. Ovtchinnikov Volume 8, Number 4, Fourth Quarter 2010 According to Streetlore, as embedded in the adage “As goes January so goes the rest of the year,” the market return in January provides useful information to would-be investors in that the January market return predicts the market… Read more
The Rule of 72 for Lifetime Savings
Thomas K. Philips Volume 8, Number 4, Fourth Quarter 2010 Financial planners often impress upon their clients the power of compounding by quoting them the Rule of 72: With annual compounding, a dollar invested in an investment account at a constant interest rate of r% per annum grows to two dollars in approximately 72/r years… Read more
How Quickly Do Equity Prices Converge to Intrinsic Value?
Dennis R. Capozza and Ryan D. Israelsen Volume 8, Number 4, Fourth Quarter 2010 This research hypothesizes that in markets where information costs, transactions costs and the economic impact of information can vary widely, we should expect both significant predictability and systematic variation in the predictability. Controlling for other factors, we find that on average… Read more
Equally Weighted Rebalancing as the Average of all Investment Strategies
Masahito Shimizu Volume 8, Number 4, Fourth Quarter 2010 In a performance evaluation, it is important for both sponsors and portfolio managers to estimate the opportunity set of possible performances. In this regard, we investigate the average performance of all possible strategies and how performance varies across strategies. We show that the average is equal… Read more
SURVEYS AND CROSSOVERS: Implementing Option Pricing Models Using Python and Cython
Sanjiv R. Das and Brian Granger Volume 8, Number 4, Fourth Quarter 2010 In this article we propose a new approach for implementing option pricing models in finance. Financial engineers typically prototype such models in an interactive language (such as Matlab) and then use a compiled language such as C/C++ for production systems. Code is… Read more
INSIGHTS: A New Taxonomy of the Dynamic Term Structure Models
Sanjay K. Nawalkha, Natalia A. Beliaeve and Gloria Soto Volume 8, Number 4, Fourth Quarter 2010 This paper gives a new taxonomy of dynamic termstructure models (TSMs) that classifies all existing TSMs as either fundamental models or preference-free single-plus, double-plus, and triple-plus models.We exemplify the new taxonomy by considering preference-free versions of some well-known fundamental… Read more
PRACTITIONER’S DIGEST
Volume 8, Number 4, Fourth Quarter 2010 View PDF… Read more