Practical analysis for investment professionals

Portfolio Management


Forecast Fatigue: What’s the Value of Annual Market Predictions?

At the beginning of each year, most leading brokerage houses and many prominent investors issue market forecasts. As we approach the saturation point, it is worth pondering whether these forecasts merit the attention of professional investors.

Book Review: Super Sectors

This book provides a highly accessible and pragmatic approach to the subject of investment vehicles. For the relative newcomer to active investing, it offers several nuggets of useful information. For veteran system developers interested in further honing their trading acumen, it serves as a refresher of key concepts.

Take 15: Global Investing in the New World Order

With much of the developed world in a sovereign debt crisis, what implications will this have on your portfolio risk profile, benchmark, and asset allocation? Having spent his entire career in emerging market and non-U.S. investments, Jeffrey P. Davis, CFA, describes what he believes is a fundamental shift in the global market portfolio.

Book Review: Portfolio Design

Richard Marston certainly has the credentials to author a book on portfolio design. Currently the academic director of the Private Wealth Management Program at the Wharton School of University of Pennsylvania, he has taught in five countries, is the recipient of both a Rhodes Scholarship and a Fulbright Fellowship, and—perhaps most relevantly—has taught asset allocation to more than 5,000 financial advisers as a faculty member in the Certified Investment Management Analyst program. Marston has accomplished what many investment academics find difficult—namely, produce a book that is truly practical and “hands-on” for both financial advisers and investors. Portfolio Design: A Modern Approach to Asset Allocation deftly combines rigorous academic research with everyday investment experience to provide a guidebook to the complexities underlying portfolio design and asset allocation.

Take 15: Superior Risk Management through Value Investing

Charles K. Bobrinskoy describes how Ariel Investments puts Buffett value investing principles to work.

Deploying Financial Emotional Intelligence

Emotions can influence financial decisions in surprisingly predictable ways. We tend to be overconfident in our own knowledge and decisions, we extrapolate recent trends while dismissing the past, we refuse to accept losses gracefully by hanging on to our… READ MORE ›

Book Review: Don’t Count on It!

In a lecture presented in 2004, John Bogle, founder of the Vanguard Group, documented a direct and substantial relationship between management costs and mutual fund returns. Stratifying all funds by expense ratio, from lowest to highest, he reported the following 10-year average annual returns by quartile: 10.7 percent, 9.8 percent, 9.5 percent, and 7.7 percent. A presumption of market rationality would lead one to expect that investors demanded reduced fees in response to this negative correlation. According to Bogle, however, the average equity fund’s expense ratio was on a long-run rise, which represented a gain for mutual fund operators but an aggregate loss for the consumers they served.

Take 15: High-Frequency Trading, Flow Toxicity, and the Flash Crash

At the Asian Finance Association Conference in Macao SAR, China, Dr. Maureen O’Hara, an expert in market microstructure and trading, discusses high-frequency markets, algorithmic trading, flow toxicity, and differential access to price information in Asia, as well as the flash crash and market fragmentation.

The Search for Value Continues

Thought leaders from academia and industry were in New York recently for two days of engaging discourse at a conference on Security Analysis and the Search for… READ MORE ›

Take 15: Sovereign Credit Risk and Market Turmoil: Challenges for China’s Economic Policies

Jing Ulrich discusses the economic situation in China, the challenges for policymakers, the development of China’s capital markets, and the management of trillions of dollars of foreign exchange reserve assets in the context of heightened sovereign credit risk and… READ MORE ›



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