Stephen Foerster JOIM Conference Series, March 2017 / San Diego View PDF… Read more
Second Quarter (2017)
In Memory of Stephen A. Ross
Volume 15, Number 2, 2017 Stephen Foerster JOIM Conference Series, March 2017 / San Diego View PDF… Read more
Case Study – The Rational Investor
Volume 15, Number 2, 2017 Craig French View PDF… Read more
Book Review – Book of Value: The Fine Art of Investing Wisely 2016
Volume 15, Number 2, 2017 Book of Value: The Fine Art of Investing Wisely 2016 by Anurag Sharma Reviewed by Bruce Grantier View PDF… Read more
Practitioner’s Digest
Volume 15, Number 2, Second Quarter 2017 View PDF… Read more
Leaning with the Wind: Long-Term Asset Owners and Procyclical Investing
Volume 15, Number 2, 2017 Bradley A. Jones This paper seeks to shed light on the systematic investment patterns of long-term asset owners. Based on a sample of representative portfolios (totaling $24 trillion) for global central banks, U.S. public and private pension funds, U.S. insurers and U.S. endowment funds, four main findings are established. First… Read more
Horizon Effects that are Larger than You Think: Dynamic Allocation
Volume 15, Number 2, 2017 Thomas J. O’Brien This paper illustrates optimal dynamic allocation in a traditional two-fund capital market model. As in previous literature, a mean-reverting market portfolio implies a “horizon effect” in typical investors’ allocations. For investors whose risk aversion is higher than the representative investor’s, the horizon effect becomes substantially larger in… Read more
A Pitfall in Ethical Investing: ESG Disclosures Reflect Vulnerabilities, not Virtues
Volume 15, Number 2, 2017 Gerald T. Garvey, Joshua Kazdin, Ryan LaFond, Joanna Nash and Hussein Safa It is widely believed that ESG (Environmental, Social, Governance) investing reduces regulatory and reputational risks. In a large global panel, we find that business ethics controversies and regulatory issues are more likely for firms that disclose a richer… Read more
Rethinking the Fundamental Law of Active Management
Volume 15, Number 2, 2017 Jose Menchero The fundamental law of active management provides a powerful framework for analyzing portfolio diversification and risk-adjusted returns. It states that the information ratio of an unconstrained optimal portfolio is given by the product of the information coefficient (a measure of skill) and the square root of breadth, where… Read more
The Impact of Different Default Triggers on CMBS Risk Evaluation
Volume 15, Number 2, 2017 Andreas D. Christopoulos This paper presents a structural generalization for pricing commercial mortgage backed securities (CMBS) and their derivatives, CMBX. I compare results for the structural generalization with a reduced-form approach using identical data sets and analyses. My comparisons are made at both the loan and bond levels and cover… Read more