Richard O. Michaud, David N. Esch and Robert O. Michaud Volume 10, Number 4, Fourth Quarter 2012 The when-to-trade decision is a critical yet neglected component of modern asset management. Typical rebalancing rules are based on suboptimal heuristics. Rebalancing is necessarily a statistical similarity test between current and proposed optimal portfolios. Available tests ignore many… Read more
2012
PRACTITIONER’S DIGEST
Voulume 10, Number 4, Fourth Quarter 2012 View PDF… Read more
BOOK REVIEWS: What Investors Want / Pension Finance: Putting the Risk and Cost of Defined Benefit Plans Under Your Control
Volume 10, Number 3, Third Quarter 2012 What Investors Want Meir Statman Reviewed by Manny Hunjan Pension Finance: Putting the Risk and Costs of Defined Benefit Plans Under Your Control M. Barton Waring Reviewed by Bruce Grantier View PDF… Read more
CASE STUDIES: Investing Early for Retirement
Jack L. Treynor Volume 10, Number 3, Third Quarter 2012 View PDF… Read more
A New Perspective on the Validity of the CAPM: Still Alive and Well
Moshe Levy and Richard Roll Volume 10, Number 3, Third Quarter 2012 The Capital Asset Pricing Model (CAPM) has far-reaching practical implications for both investors and corporate managers. The model implies that the market portfolio is mean-variance efficient, and thus advocates passive investment. It also provides the most widely used measure of risk, beta, which… Read more
Estimating the Negative Impact of “Noise” on the Returns of Cap-Weighted Portfolios In Various Segments of the Equity Markets
Russell J. Fuller, Bing Han and Yining Tung Volume 10, Number 3, Third Quarter 2012 Capital Market Theory assumes that the ex ante market portfolio (which is cap-weighted) lies on the (ex ante) efficient frontier. However, we show that ex ante cap-weighted portfolios will always be interior portfolios relative to the end-of-investment-period ex post efficient… Read more
The Relative Strength of Industries versus Countries in Global Equity Markets
Jose Menchero and Andrei Morozov Volume 10, Number 3, Third Quarter 2012 The relative strength of industries versus countries is of great practical interest for global equity investors. In this article, we investigate the relative strength of these effects in the global equity markets over the sample period 1994-2010. In particular, we examine three market… Read more
How Does Your State Stack Up? Participation Costs in Higher Education Optional Retirement Plans
Daniel Bradley and Lei Wedge Volume 10, Number 3, Third Quarter 2012 We examine the costs to higher education employees investing in optional retirement plans (ORP). We find vast differences across states in terms of the number of providers, number of funds offered per provider, and fees. We find the same provider offering the same… Read more
Redemption Fees and the Risk-Adjusted Performance of International Equity Mutual Funds
Iuliana Ismailescu and Matthew Morey Volume 10, Number 3, Third Quarter 2012 In the wake of the market timing and late trading mutual fund scandals, many mutual funds adopted redemption fees to limit market timing. In this paper we investigate the impact of redemption fees on the risk-adjusted performance of U.S. based international equity funds… Read more
PRACTITIONER’S DIGEST
Volume 10, Number 3, Third Quarter 2012 View PDF… Read more