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The Journal of Portfolio Management
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The Journal of Portfolio Management

The Journal of Portfolio Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
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    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
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Videos

 

Invited Editorial Comment:
Rational Decision Making under Uncertainty: Observed Betting Patterns on a Biased Coin

VICTOR HAGHANI
Founder and CEO of Elm Partners
RICHARD DEWEY
Independent Researcher

 

 

Invited Editorial Comment:
Do Index Buyers Make Overvalued Stocks More Overvalued?


VICTOR HAGHANI
Founder and CEO of Elm Partners

 

 

Does Past Performance Matter in Investment Manager Selection?

DAVID NANIGIAN
Associate Professor of Finance and Director of the Personal Financial Planning Program in the Mihaylo College of Business at California State University

The authors empirically investigate the impact of commonly used manager selection heuristics that involve redeploying assets from under-performing to outperforming managers.

 

 

Sin Stocks Revisited: Resolving the Sin Stock Anomaly

DAVID BLITZ
Head of Quantitative Equity Research at Robeco Asset Management

 

 

Anchored in Reality or Blinded by a Paradigm: The Role of Cap-Weighted Indices in the Future

MARC R. REINGANUM
Senior Managing Director and Chief Quantitative Strategist at State Street Global Advisors

The preponderance of evidence indicates that cap-weighted market indices are not necessarily the be all and end all for investors.

 

 

What Is an Index?

ANDREW W. LO
Charles E. and Susan T. Harris Professor at MIT Sloan School of Management, Principal Investigator at MIT Computer Science and Artificial Intelligence Laboratory, and Chief Investment Strategist at AlphaSimplex Group, LLC.

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.

 

 

The Road Not Taken

JOHN C. BOGLE
Founder and Former Chairman of The Vanguard Group and of Vanguard 500 Index Fund

 

 

David and Goliath: Who Wins the Quantitative Battle?

JOHN C. BOGLE
Founder and Former Chairman of The Vanguard Group and of Vanguard 500 Index Fund

 

 

The Hunt for a Low-Risk Anomaly in the USD Corporate Bond Market

BRUCE D. PHELPS
Managing Director at Barclays Capital Inc.

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.

 

 

Smart Beta: The Owner’s Manual

RONALD N. KAHN
Global Head of Scientific Equity Research at BlackRock

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.

 

 

Behavioral Finance: Peter Bernstein and The Journal of Portfolio Management

MEIR STATMAN
Glenn Klimek Professor of Finance at Santa Clara University's Leavey School of Business

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.

 

 

Lightening Strikes: The Creation of Vanguard, the First Index Mutual Fund, and the Revolution It Spawned

JOHN C. BOGLE
Founder and Former Chairman of The Vanguard Group and of Vanguard 500 Index Fund

“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.

 

 

The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting, and Non-Normality

MACROS LÓPEZ DE PRADO
Senior Managing Director at Guggenheim Partners, and Research Fellow at Lawrence Berkeley National Laboratory in Berkeley

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.

 

 

Evaluating Trading Strategies

CAMPBELL R. HARVEY
Professor at Duke University Durham, NC, and a Fellow at the National Bureau of Economic Research in Cambridge

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>

 

 

Constraints and Innovations for Pension Investment: The Cases of Risk Parity and Risk Premia Investing

WAI LEE
CIO and Director of Research at the Quantitative Investment Group of Neuberger Berman

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>

 

 

Price Discovery: The Economic Function of a Stock Exchange

NAZLI SILA ALAN
Ph.d. Candidate at the Zicklin School of Business, Baruch College, CUNY
ROBERT A. SCHWARTZ
Marvin M. Speiser Professor of Finance and University Distinguished Professor at the Zicklin School of Business, Baruch College, CUNY

Everybody knows the function of a stock exchange is to match trades. But there is another function that is underappreciated and vitally important. 

 

 

Investing Under Inflation Risk

GEORGE CRAWFORD
Head of Investment Research Foundation in New York

 

 

Liquidity and Portfolio Choice: A Unified Approach

WILL KINLAW
Senior Managing Director of State Street Associates
MARK KRITZMAN
President and CEO of Windham Capital Management
DAIVD Turkington
Managing Director of State Street Associates

Winner of the Peter L. Bernstein Award 2013

 

 

The Devil in HML’s Details

CLIFFORD ASNESS
Founding and Managing Principal at AQR Capital Management

 

 

The Aftermath of Investment-Grade Distress

BRUCE D. PHELPS
Managing Director of Barclays Capital Inc.

 

 

Invited Editorial Comment: 
Herd on the Street


ROBERT A. SCHWARTZ
Founding and Managing Principal at AQR Capital Management

 

 

Fighting the Next Battle: Redefining the Inflation-Protected Portfolio

JON RUFF
Director of Research for AB Real Asset Strategies at AllianceBernstein

 

 

The Clash of the Cultures

JOHN C. BOGLE
Founder of the Vanguard Group

 

 

Risk-Based Asset Allocation: A New Answer to an Old Question?

WAI LEE
Director of Research and CIO of the Quantitative Investment Group at Neuberger Berman

Winner of the Peter L. Bernstein Award 2012

 

 

Invited Editorial Comment: 
In Diversification We Trust?


LIONEL MARTELLINI
Professor of Finance at the EDHEC Business School and the Scientific Director at the EDHEC-Risk Institute

 

 

The Sustainability of Endowment Spending Levels: A Wake-up Call for University Endowments

GREGORY P. HO
President and COO of Spring Mountain Capital
HAIM A. MOZES
Senior Quantitative Consultant at Spring Mountain Capital, and an Associate Professor of Accounting at Fordham University Graduate School of Business

 

 

Risk-Adjusted Performance

LEAH MODIGLIANI
U.S. Investment Strategist at Morgan Stanley & Co. Inc

 

 

Invited Editorial Comment:
Risk is a Choice Rather Than a Fate


ANDRÉ F PEROLD
George Gund Professor of Finance and Banking at the Harvard Business School and Founder and Chair of the Investment Committee, High Vista Strategies

 

 

An Alternative Future

CLIFFORD S. ASNESS
Managing and Founding Principal at AQR Capital Management

 

 

Risk Management Lessons Worth Remembering from the Credit Crisis of 2007–2009

BENNETT W. GOLUB
Vice Chairman and Chief Risk Officer at BlackRock, Inc.

 

 

The Deeper Causes of the Financial Crisis: Mortgages Alone Cannot Explain It

MARK ADELSON
Chief Strategy Officer at The BondFactor

 

 

The Journal of Portfolio Management Is a Communications Platform

PETER L. BERNSTEIN
Founding Editor, The Journal of Portfolio Management

The motivation behind launching JPM was a desire to bring the latest developments in financial theory and its applications, Peter explains.

 

 

Invited Editorial Comment:
Institutional-Grade Risk Management Policy: Is It Possible in Practice?

JEFFREY HALPERN
CEO, Risk Advisory at Midpoint Partners LLC
JIM K. LIEW
Adjunct Professor at NYU Stern School of Business

 

 

Invited Editorial Comment:
Inconsistent by Definition

MARTIN FRIDSON
Clobal Credit Strategist at BNP Paribas Investment Partners

 

 

Invited Editorial Comment:
The Surprising Implications of the Lehman Default for Derivatives and Structured Finance

PETER NICULESCU
Partner at Capital Market Risk Advisors

 

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