Volume 10, Number 1, First Quarter 2012 View PDF… Read more
First Quarter (2012)
BOOK REVIEWS: Expected Returns: An Investor’s Guide to Harvesting Market Rewards
Volume 10, Number 1, First Quarter 2012 Expected Returns: An Investor’s Guide to Harvesting Market Rewards Antti Ilmanen Reviewed by Graham Rennison View PDF… Read more
CASE STUDIES: Baby Boomers in Retirement
Jack L. Treynor Volume 10, Number 1, First Quarter 2012 View PDF… Read more
Calibrating Neutrality: The Evolving Global Opportunity Set
Sharon Hill and Chris Gowlland Volume 10, Number 1, First Quarter 2012 Modern portfolio theory suggests that investors can achieve maximum diversification holding a portfolio of risky assets reflecting the entire market, but no generally accepted method exists to construct such a portfolio. We present data on global equities and global fixed-income securities since 1990… Read more
Timing the Value Style Index in a Markov Regime-Switching Model
Hany Guirguis, Ted Theodore and Michael Suen Volume 10, Number 1, First Quarter 2012 We construct and test a popular indicator for timing value style investment: the earnings yield dispersion (EYD). Conventional wisdom holds that one should invest in value style when there is a wide dispersion in earnings yield (E/P ratios) across the equity… Read more
Lifecycle Consumption-Investment Policies and Pension Plans: A Dynamic Analysis
Zvi Bodie, Jérôme Detemple and Marcel Rindisbacher Volume 10, Number 1, First Quarter 2012 This paper explores the optimal design of personal pensions based on the economic theory of the life cycle. It assumes that individuals derive utility from consumption of goods and leisure and that at some date they retire and stop earning income… Read more
Insights: Live Prices and Stale Quantities: T+1 Accounting and Mutual Fund Mispricing
Peter Tufano, Michael Quinn and Ryan Taliaferro Volume 10, Number 1, First Quarter 2012 Most mutual funds use day-old fund holdings but current-day prices to calculate net asset values. This practice, sanctioned under SEC Rule 2a-4, results in deviations between reported net asset values (NAVs) and returns and the economic values of those quantities. Using… Read more