Videos
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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 under-performing to outperforming managers. |
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Sin Stocks Revisited: Resolving the Sin Stock Anomaly |
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Anchored in Reality or Blinded by a Paradigm: 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. |
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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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The Road Not Taken |
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David and Goliath: Who Wins the Quantitative Battle? |
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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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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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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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Lightening Strikes: The Creation of Vanguard, the First Index Mutual Fund, 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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The Deflated Sharpe Ratio: 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 Journal of Portfolio Management 40th Anniversary issue article. |
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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./span> |
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Constraints and Innovations for Pension Investment: The Cases of Risk Parity and Risk Premia Investing 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./span> |
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Price Discovery: The Economic Function of a Stock Exchange Everybody knows the function of a stock exchange is to match trades. But there is another function that is underappreciated and vitally important. |
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Investing Under Inflation Risk |
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Liquidity and Portfolio Choice: A Unified Approach Winner of the Peter L. Bernstein Award 2013 |
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The Devil in HML’s Details |
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The Aftermath of Investment-Grade Distress |
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Fighting the Next Battle: Redefining the Inflation-Protected Portfolio |
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The Clash of the Cultures |
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Risk-Based Asset Allocation: A New Answer to an Old Question? Winner of the Peter L. Bernstein Award 2012 |
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The Sustainability of Endowment Spending Levels: A Wake-up Call for University Endowments |
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Risk-Adjusted Performance |
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An Alternative Future |
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Risk Management Lessons Worth Remembering from the Credit Crisis of 2007–2009 |
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The Deeper Causes of the Financial Crisis: Mortgages Alone Cannot Explain It |
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The Journal of Portfolio Management 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. |
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Invited Editorial Comment: |
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Invited Editorial Comment: |
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