2019

Vol. 17, No. 3, 2019 Aaron Brown and Richard Dewey We set out to investigate whether “Bond King” Bill Gross demonstrated alpha (excess average return after adjusting for market exposures) over his career, in the spirit of earlier papers asking the same question of “Oracle of Omaha,” Warren Buffett. The journey turned out to be… Read more

Vol. 17, No. 3, 2019 Blair Hull, Xiao Qiao and Petra Bakosova We use weighted least squares to combine 15 diverse variables to build a predictive model for the one- month-ahead market excess returns.We transform our forecasts into investable positions to form a market-timing strategy. From 2003 to 2017, our strategy had 16.6% annual returns… Read more

Vol. 17, No. 3, 2019 Johnny Kang, Kevin So and Thomas Tziortziotis We document novel empirical insights driving the prices of sovereign external emerging market bonds. In the time series, we examine the market portfolio’s time-varying exposures to a broad set of macro factors (rates, credit, currency, and equity) and identify these embedded betas as… Read more

Vol.17, No.3, 2019 Vineer Bhansali The use of “big” data, algorithms and machine learning is disrupting investment management. By carefully selecting domains where data is sparse and there is possibility of regime changes, a human investor can not only survive, but also thrive in a world of investment machines… Read more

Vol.17, No. 3, 2019 Ananth Madhavan and Aleksander Sobczyk This paper analyzes the “return gap” between internal rate of returns that account for intermediate investor flows (“dollar-weighted returns”) and more familiar buy-and-hold returns that funds typically must report. Our sample constitutes all US-domiciled open- end mutual funds and exchange-traded funds (ETFs), and covers both fixed… Read more