Videos
David Nanigian, Mihaylo College of Business at CSUF
Does Past Performance Matter in Investment Manager Selection?
The authors empirically investigate the impact of commonly used manager selection heuristics that involve redeploying assets from underperforming to outperforming managers.
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Andrew W. Lo, MIT
What is an Index?
Any portfolio strategy that satisfies three properties should be considered an index: (1) it is completely transparent; (2) it is investable; and (3) it is systematic, i.e., it is entirely rules-based and contains no judgment or unique investment skill.
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Frank J. Fabozzi, Editor, The Journal of Portfolio Management
Upon Receiving the 2015 James R. Vertin Award
Frank Fabozzi discusses his career and background leading up to receiving the prestigious James R. Vertin Award presented periodically to recognize individuals who have produced a body of research notable for its relevance and enduring value to investment professionals.
Bruce D. Phelps, Barclays Capital Inc
The Hunt for a Low-Risk Anomaly in the USD Corporate Bond Market
To investigate, the authors sort corporate bonds according to various common risk measures and examine whether risk-adjusted returns decline as risk measure, they find conflicting evidence of a low-risk anomaly.
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Ronald N. Kahn, BlackRock
Smart Beta: The Owner’s Manual
Smart beta products have captured the interest of investors. But where do they fit in their portfolios? The typical investor, who currently owns active and index products, should own active, index, and smart-beta products.
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Meir Statman, Leavey School of Business, Santa Clara University
Behavioral Finance: Peter Bernstein and The Journal of Portfolio Management
Peter Bernstein encouraged and guided the author of this article as he contributed to the construction of behavioral finance in the pages of The Journal of Portfolio Management.
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ohn C. Bogle, Founder, Vanguard
Lightning Strikes: The Creation of Vanguard, and the Revolution It Spawned
“Lightning Strikes” tells the story of how John Bogle came to create a unique mutual fund structure in 1974, and how the index fund strategy almost inevitably followed.
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Marc R. Reinganum, State Street Global Advisors
The Role of Cap-Weighted Indices in the Future
The preponderance of evidence indicates that cap-weighted market indices are not necessarily the be all and end all for investors.
Campbell R. Harvey, Duke University
Evaluating Trading Strategies
In this article, the authors provide some new tools to evaluate trading strategies. When it is known that many strategies and combinations of strategies have been tried, it is necessary to adjust our evaluation method for these multiple tests.
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Marcos López de Prado, Guggenheim Partners
Correcting for Selection Bias, Backtest Overfitting, and Non-Normality
Marcos López de Prado expands on his thoughts about the deflated Sharpe Ratio as published in his JPM 40th Anniversary issue article.
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Wai Lee, Neuberger Berman
The Cases of Risk Parity & Risk Premia
Firms are promoting risk parity and risk premia, but these strategies don’t present any new insights about investing, nor are they new asset pricing theories that help improve return forecasts, Wai cautions.
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Peter L. Bernstein, Founding Editor, JPM
JPM Is a Communications Platform
The motivation behind launching JPM was a desire to bring the latest developments in financial theory and its applications, Peter explains.