Many practitioners use technical trading in derivatives markets, especially futures. Academic
researchers, by contrast, consider “charting” to be without merit because it would violate the …

The cap-weighted standard is also facing a more subtle source of attack. Increasingly,
investors are reassessing their risk budgets, usually downward. This can create pressure to …

It is amply documented that a value portfolio outperforms a growth portfolio over long spans
in most markets worldwide; less well known, however, is how this outperformance is …

Much ink has been spilled on the perils of allowing some companies to become “too big to
fail.” This assumes that governments, hence taxpayers, must foot the bill when these Top …

A simulated portfolio deliberately based on stale price data--a Rip Van Winkle index fund--
has both substantially higher performance and lower volatility than a portfolio that uses up-to …

Jack Bogle, an ardent advocate of low-cost investing, transformed the investment industry in
the mid-1970s with the first Vanguard index mutual fund that offered retail investors the …

For over 40 years, our industry has relied on the Capital Asset Pricing Model (CAPM) beta
and the capitalization-weighted market portfolio for asset allocation, for market …

Abstract In 2009, Arnott, Li, and Sherrerd asked how a clairvoyant investor-an investor who
can see the future cash flows that a company will deliver to its shareholders and an eventual …

This study examines the relationship between the returns of two value and growth portfolios
and the return of market on 15 selected firms on Tehran Stock Exchange over the period …

An important contributor to performance for any portfolio is the selection of companies for
inclusion, no less so for indexes than for active portfolios. Rather than exploring this topic …