This paper introduces a new approach to pricing sovereign risk based on sovereign credit
default swap (CDS) spreads. We estimate a dynamic market-based measure of sovereign …

This paper evaluates numerous diversification strategies as a possible remedy against
widespread costly investment mistakes of individual investors. Our results reveal that a very …

For participants in defined contribution (DC) plans who refrain from exercising investment
choice, plan contributions are invested following the default investment option of their …

XTFs are plain-vanilla Exchange Traded Funds (ETFs) which replicate a broad,
internationally diversified market index. We question, if XTFs can optimize the performance …

Socially conscious individual investors face a host of challenges, not least of which are a
stock buy list screened by environmental, social, and governance (ESG) criteria, and …

Implementing sector rotation strategies with a set of low-frequency economic measures, the
authors construct long-only sector exchange traded fund (ETF) portfolios that respond …

Since the onset of the Great Recession in 2008, the practice of tactical asset allocation has
received increased interest from practitioners. Though commonly used in conjunction with …

Praise for Active Alpha" Active alpha is the quest for every sophisticated investor. This book
covers all of the key alpha sources currently mined by active managers, reduces the …

We examine the asset allocation, returns and expenses of superannuation funds whose
assets are mainly invested in default investment options. A majority of these funds fail to …

This study analyzes the economic importance of portfolio advice for an investor with an
international and multiple-asset investment strategy. We construct portfolios based upon the …