Third Quarter (2017)

Volume 15, Number 3, 2017 Ganlin Xu This paper compares two heuristic rebalancing rules for taxable accounts. The first one is trading X percent annually. The second one is based on the result of recent research, which indicate there existence of no-trading zone. The no-trading zone is obtained by using a quadratic function to approximate… Read more

Volume 15, Number 3, 2017 Cliff Asness, Antti Ilmanen and Thomas Maloney Successful market timing is a tantalizing holy grail for investors, especially when there seems to be persuasive evidence that simple valuation measures can predict subsequent market performance. But, as both researchers and investors have discovered, outperforming a passive buy-and-hold approach is harder than… Read more

Volume 15, Number 3, 2017 Michael Suen, Hany Guirguis, Stan Beckers and Ted Theodore What is value in an equity market? Among investors, there is no universally accepted definition. This paper constructs a value index for the US equity market using the Stock and Watson (1988, 1991) methodology. The new value index is derived from… Read more

Moshe Levy Vol. 15, No. 3, 2017 The most popular portfolio performance measures are the Sharpe ratio and alpha. While the Sharpe ratio is optimal under the capital asset pricing model (CAPM) assumptions of normal return distributions and unlimited borrowing at the risk-free rate, we find that it is not well aligned with investors’ preferences… Read more