Volume 12, Number 2, Second Quarter 2014 View PDF… Read more
Second Quarter (2014)
CASE STUDIES: A Solution to the Trade Deficit?
Jack L. Treynor Volume 12, Number 2, Second Quarter 2014 View PDF… Read more
BOOK REVIEW: Global Macro: Theory & Practice
Volume 12, Number 2, Second Quarter 2014 Global Macro: Theory & Practice Andrew Razanov Reviewed by Cel Kulasekaran View PDF… Read more
Does Factor Timing Explain Hedge Fund Alpha?
Hyuna Park Volume 12, Number 2, Second Quarter 2014 This paper empirically decomposes hedge fund excess return into factor timing, security selection, and risk premium. Portfolio-level tests show that security selection explains most of the excess return generated by hedge funds during 1994–2009, and the contribution of factor timing is small. Fund-level tests find significant… Read more
Restoring Value to Minimum Variance
Lisa Goldberg, Ran Leshem and Patrick Geddes Volume 12, Number 2, Second Quarter 2014 A long-only investable minimum variance strategy outperformed the S&P 500 over the four decades from January 1973 to December 2012. Through the lens of a factor model, we show that this outperformance can be largely attributed to implicit style bets. Specifically… Read more
The Shadow Price of Liquidity in Asset Allocation – A Case Study
Bac Van Luu, Yazid Sharaiha, Nikolay Doskov, Chirag Patel and David Turkington Volume 12, Number 2, Second Quarter 2014 We apply a framework for estimating the investor-specific value of liquidity which can be used to inform asset allocation decisions. The shadow price of liquidity is a central concept in this framework. In the case study… Read more
INSIGHTS: Mutual Fund Outperformance and Growth
Gregg S. Fisher, Philip Z. Maymin and Zakhar G. Maymin Volume 12, Number 2, Second Quarter 2014 Does better performance lead to more assets? We examine nearly 30,000 mutual funds to determine the effect that a fund’s outperformance relative to its peers has on the fund’s later asset size. We find that a fund that… Read more
SURVEYS AND CROSSOVERS: Sovereign Credit Default Swap Premia
Patrick Augustin Volume 12, Number 2, Second Quarter 2014 This paper reviews the young but rapidly growing literature on sovereign credit default swap premia. A discussion of current debates in the academic and popular press hopefully raises thought-provoking questions with valuable insights for academics, policymakers and practitioners alike. The main elements of the review relate… Read more
IMPACT OF CREDIT MARKETS ON DYNAMIC STOCHASTIC REAL AGGREGATE PRODUCTION
This paper provides a dynamic stochastic macro-financial model that describes the impact of the credit market on real production risk and provides some empirical evidence of the reasonableness of the model. Our model shows that the uncertain real sector output affects the performance of the credit market, which in turn, impacts the real production of… Read more
INSIGHTS: The Link Between Inflation and the Value of Plant
Jack L. Treynor Volume 12, Number 2, Second Quarter 2014 When negotiators have fixed the money wage, if the central bank wants to change the level of money prices, it has to change the real wage. But the real wage changes whenever the identity—hence the age and productivity—of the marginal plant changes. On the other… Read more