Pat Light was an assistant editor at CFA Institute. Before joining the CFA Institute editorial staff, he worked as a teacher. Light has a bachelor's degree in English from Duke University.
A team of researchers set about investigating the role of volatility premiums in institutional investment portfolios. Their simulations showed that modest allocations to short volatility exposure have the potential to enhance long-term returns. One of the researchers, William Fallon, spoke with Pat Light about these new insights.
Morten Sorensen and Ravi Jagannathan took on the question of how to effectively evaluate the performance of private equity (PE) funds, and they offered a rigorous theoretical justification for using the public market equivalent (PME).
“The Rise and Fall of Performance Investing,” a recent article by Charles D. Ellis, CFA, in the Financial Analysts Journal, has sparked a lot of chatter in the financial press.
Market regulation is a hot-button topic at the best of times, and the economic effects of specific regulations are very rarely completely understood. J. Ari Pandes and Michael J. Robinson, CFA, looked into market regulation for an article in the July/August 2014 issue of the Financial Analysts Journal.
Over time, the annualized return of a duration-targeting, investment-grade corporate bond portfolio will nearly match its initial yield. A high-yield bond portfolio’s performance is not similarly predictable, according to Martin Fridson, CFA.
In 2012, global investments comprised $91 trillion across a wide array of asset classes. But when clients at Robeco asked how their portfolios matched up against the market portfolio, Chief Strategist Ronald Doeswijk found that “there was hardly any research available about the global multi-asset market portfolio.”