Brian Hurst, Yao Hua Ooi and Lasse Heje Pedersen Volume 11, Number 3, Third Quarter 2013 We show that the returns of Managed Futures funds and CTAs can be explained by time series momentum strategies and we discuss the economic intuition behind these strategies. Time series momentum strategies produce large correlations and high R-squares with… Read more
2013
Generating Superior Performance in Private Equity: A New Investment Methodology
S.P. Kothari, Gitanjali Swamy and Konstantin Danilov Volume 11, Number 3, Third Quarter 2013 This paper provides a new investment methodology for private equity portfolios that applies principles of investment management used in traditional asset classes. We apply Modern Portfolio Theory (MPT) with rational selection of portfolios that are on the efficient frontier of risk-reward… Read more
LIBOR Versus OIS: The Derivatives Discounting Dilemma
John Hull and Alan White Volume 11, Number 3, Third Quarter 2013 Traditionally practitioners have used LIBOR and LIBOR-swap rates as proxies for risk-free rates when valuing derivatives. This practice has been called into question by the credit crisis that started in 2007. Many banks now consider that overnight indexed swap (OIS) rates should be… Read more
SURVEYS AND CROSSOVERS: Value of Corporate Control: Some International Evidence
Paul Hanouna, Atulya Sarin and Alan C. Shapiro Volume 11, Number 3, Third Quarter 2013 Existing literature shows that the market values control because controlling shareholder can generate private benefits and improve the efficiency of the corporation. In this study, we provide a measure of the value of control for a set of domestic and… Read more
PRACTITIONER’S DIGEST
Volume 11, Number 3, Third Quarter 2013 View PDF… Read more
BOOK REVIEWS: The Most Important Thing – Uncommon Sense for the Thoughtful Investor
Volume 11, Number 2, Second Quarter 2013 The Most Important Thing – Uncommon Sense for the Thoughtful Investor Howard Marks Reviewed by Javier Estrada View PDF… Read more
CASE STUDIES: The Dividend Decision
Jack L. Treynor Volume 11, Number 2, Second Quarter 2013 View PDF… Read more
VarGamma Stress Tests
Kent Osband Volume 11, Number 2, Second Quarter 2013 Standard financial stress tests are ad hoc. They offer no guidance on how to select the target stress levels, how to adjust for randomness within crisis, or how to integrate the results with other risk measures. The VarGamma metric introduced by Osband (2013) offers an appealing… Read more
Mutual Fund’s Net Economic Alpha: Definition and Evidence
Sharon Garyn-Tal and Beni Lauterbach Volume 11, Number 2, Second Quarter 2013 It is sometimes argued that existing methodologies for assessing mutual fund’s performance are unfair, as fund’s return is taken net of expenses and benchmark return is gross of expenses. Examining over 1000 U.S. non-specialized mutual funds in 2001-2009, we find that the abovementioned… Read more
Approaches to Improving Bank Share Value Using Credit Portfolio Management and Credit – Transfer Pricing
Jeffrey R. Bohn and Roger M. Stein Volume 11, Number 2, Second Quarter 2013 Prudent credit risk management within a bank requires that a number of agents within the firm communicate, agree and act in a concerted fashion to manage credit risk both at the individual exposure level and at the broader portfolio level. This… Read more