Practical analysis for investment professionals

FAJ Author Interviews

Mapping the Global Market Portfolio (Podcast)

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.”

Micro and Macro Effects and the Low-Risk Anomaly (Podcast)

In the United States and around the world, low-beta stocks have outperformed high-beta stocks on a risk-adjusted basis. Ryan Taliaferro and his coauthors, Malcolm Baker and Brendan Bradley, decomposed this basic market inefficiency into a “micro” component and a… READ MORE ›

Should You Invest in Emotional Assets? (Podcast)

There has been increasing interest in emotional assets, which include such luxury goods and collectibles as art, stamps, wine, and musical instruments. Recent research finds that emotional assets outperform government bonds, Treasury bills, and gold over the long run.

How Effective Is the Low-Volatility Anomaly in Trading? (Podcast)

The low-volatility stock anomaly earned its name from its apparent contradiction of the capital asset pricing model (CAPM). In most markets, portfolios of low-volatility stocks actually produce higher risk-adjusted returns than portfolios of high-volatility stocks.

Innovative Research into Structured Credit Products (Podcast)

Asset-backed securities have been subject to heated debate since the financial crisis, but William F. Maxwell says that even though “so much of the financial crisis revolved around these asset-backed securities, . . . there’s almost no information out there on how these different products actually trade.”

If You Want Your Pension Done Right, Do It Yourself (Podcast)

“We really strongly believe that saving for retirement is not hopeless,” says Stephen C. Sexauer. “A lot of people have thought about this problem for a long time, and I think one of the things we did here was try to connect the pieces in a way the average person can use.”

Bogle on the Hidden Costs of Actively Managed Mutual Funds

“For years and years — decades, really — the standard of comparing costs in mutual funds has been to take their total expense ratio, . . . but there are an awful lot of costs involved in mutual funds that aren’t in the expense ratio,” John C. Bogle said, when discussing his latest research.

A Groundbreaking Look at University Endowment Performance (Podcast)

When finance professor Brad Barber’s investment subcommittee was tasked with deciding how to invest the endowment of the University of California, Davis, he quickly found that “there was really very little evidence on the performance of endowments.”

Marty Leibowitz on Duration Targeting with Bonds

A new theoretical model shows that over multi-year horizons, annualized duration-targeting returns converge back to the starting yield regardless of the rate path.

Exploring Cross-Sectional Effects of Inflation

The US generally accepted accounting principles (GAAP) do not require adjustments for inflation, so financial statements are reported in nominal terms. This struck Yaniv Konchitchki as problematic. In his recently published article “Accounting and the Macroeconomy: The Case of Aggregate Price-Level Effects on Individual Stocks,” Konchitchki examines stock-valuation effects of aggregate price-level changes on individual companies.

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