Volume 9, Number 4, Fourth Quarter 2011 View PDF… Read more
2011
PRACTITIONER’S DIGEST
Volume 9, Number 3, Third Quarter 2011 View PDF… Read more
BOOK REVIEWS: Debunkery: Learn It, Do It, and Profit From It – Seeing Through Wall Street’s Money-Killing Myths
Volume 9, Number 4, Fourth Quarter 2011 Debunkery: Learn It, Do It, and Profit From It – Seeing Through Wall Street’s Money-Killing Myths Ken Fisher and Lara Hoffman Reviewed By Bruce Grantier View PDF… Read more
CASE STUDIES: Understanding the Middle East
Jack L. Treynor Volume 9, Number 4, Fourth Quarter 2011 View PDF… Read more
Efficient Indexation: An Alternative to Cap-Weighted Indices
Noël Amenc, Felix Goltz, Lionel Martellini and Patrice Retkowsky Volume 9, Number 4, Fourth Quarter 2011 This paper introduces a novel method for the construction of equity indices that, unlike their cap-weighted counterparts, offer an efficient risk/return trade-off. The index construction method goes back to the roots of modern portfolio theory and focuses on the… Read more
Insights: What Taleb Can Learn From Markowitz
Jack L. Treynor Volume 9, Number 4, Fourth Quarter 2011 Markowitz’ 1959 book introduced a concept of value that could actually be tested. Markowitz’s quite general conditions can lead to the Central Limit Theorem. Consider weekly returns on Markowitz’s random wheel. Then annual returns on actual prices would have 52 terms reflecting returns on value… Read more
Managing the Volatility of Alpha Models
Tony Elavia and Migene Kim Volume 9, Number 4, Fourth Quarter 2011 After posting good performance for over two decades, quantitative equity investment managers have recently produced weak returns. We develop a measure of risk and show how changes in risk provide a common framework to explain factor returns and past underperformance. We find that… Read more
Pairs – Trading on Divergent Analyst Recommendations
Susana Yu Volume 9, Number 4, Fourth Quarter 2011 Pairs-trading is a short-term, self-financing arbitrage strategy in which buy and sell positions are simultaneously placed on two stocks whose prices have moved temporarily apart after following a long parallel path. We develop a new pairs-trading rule based on financial analysts’ buy/hold/sell recommendations from IBES Details… Read more
Another Look at Idiosyncratic Volatility and Expected Returns
Wei Huang, Qianqiu Liu, S. Ghon Rhee and Liang Zhang Volume 9, Number 4, Fourth Quarter 2011 We conduct comprehensive analyses of the return characteristics of stock portfolios sorted by idiosyncratic volatility. We show that the relationship between idiosyncratic volatility and expected stock returns depends on whether the portfolio is composed of stocks with extreme… Read more
BOOK REVIEWS: Bond Portfolio Investing and Risk Management
Volume 9, Number 3, Third Quarter 2011 Bond Portfolio Investing and Risk Management Vineer Bhansali Reviewed by Sebastien Page View PDF… Read more