Volume 12, Number 4, Fourth Quarter 2014 View PDF… Read more
2014
CASE STUDIES: Global Investing for the Value Trader
Jack L. Treynor Volume 12, Number 4, Fourth Quarter 2014 View PDF… Read more
BOOK REVIEW: Performance Evaluation and Attribution of Security Portfolios
Volume 12, Number 4, Fourth Quarter 2014 Performance Evaluation and Attribution of Security Portfolios Bernd R. Fischer and Russ Wermers Reviewed by Pierre-Emmanuel Marzouk View PDF… Read more
The Dependence of Upside Capture Ratios and Downside Capture Ratios on the Length of the Measurement Interval, Beta, and Alpha
Robert Ferguson, Danny Meidan and Joel Rentzler Volume 12, Number 4, Fourth Quarter 2014 Upside and downside capture ratios are used to assess the quality of investment managers and investment strategies. We propose a simple theoretical model which predicts that the upside capture ratio is an increasing function of the measurement interval length and that… Read more
Separating Winners From Losers Among Value and Growth Stocks in Different US Exchanges: 1969-2011
George Athanassakos Volume 12, Number 4, Fourth Quarter 2014 The purpose of this paper is twofold: (a) to determine whether there is value premium in our sample of US stocks for the period May 1, 1969–April 30, 2011; and (b) to examine whether an additional screening to the first step of the value investing process… Read more
A Simple Diversified Portfolio Strategy
Bernd Hanke and Garrett Quigley Volume 12, Number 4, Fourth Quarter 2014 We present a simple portfolio construction approach which is a blend of market weights and equal stock and sector weights. Our approach results in a highly diversified portfolio both on a stock level and on a sector level and generates higher portfolio returns… Read more
For Better Performance: Constrain Portfolio Weights Differentially and Globally
Haim Levy and Moshe Levy Volume 12, Number 4, Fourth Quarter 2014 Even after more than six decades since the publication of the breakthrough article by Markowitz, the Mean–Variance framework is still the most commonly employed portfolio management tool. Yet, as portfolio managers know all too well, the optimal diversification and the induced performance are… Read more
INSIGHTS: Free Cash Flows, Valuation and Growth Opportunities Bias
Hersh Shefrin Volume 12, Number 4, Fourth Quarter 2014 Analysts who base valuations on expected free cash flows are vulnerable to making biased assessments of terminal value because they fail to take into account the implications of disappearing growth opportunities during the terminal period. This leaves their valuations subject to “growth opportunities bias” (GOB). There… Read more
PRACTITIONER’S DIGEST
Volume 12, Number 3, Third Quarter 2014 View PDF… Read more
CASE STUDIES: Time Diversification
Jack L. Treynor Volume 12, Number 3, Third Quarter 2014 View PDF… Read more