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Investment Management Information
“Bridging the theory & practice of investment management”
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First Quarter (2015)

0 comments / 20/03/2015 /

PRACTITIONER’S DIGEST

Volume 13, Number 1, First Quarter 2015 View PDF… Read More

0 comments / 20/03/2015 /

PRACTITIONER’S DIGEST

Volume 13, Number 1, (2015) View PDF… Read More

0 comments / 20/03/2015 / tom.ho

Impact of Credit Markets on Dynamic Stochastic Real Aggregate Production

Thomas S. Y. Ho and Sang Bin Lee This paper provides a dynamic stochastic macro-financial model that describes the impact of the credit market on real production risk and provides some empirical evidence of the reasonableness of the model. Our model shows that the uncertain real sector output affects the performance of the credit market… Read More

0 comments / 20/03/2015 / Jack Treynor

CASE STUDIES: Cobb-Douglas

Jack L. Treynor View PDF… Read More

0 comments / 20/03/2015 / tom.ho

INSIGHTS: Investment, Financial System, Real Output and Macro-Risk Management

Thomas S. Y. Ho and Sang Bin Lee Loan underwriting standards and quantitative easing are examples of macro-risk management tools that affect the financial sector, which in turn affects real sector outputs. And therefore asset returns, real sector outputs, financial sector, and macro-risk management are interrelated. This paper shows that investors need to understand these… Read More

0 comments / 20/03/2015 /

BOOK REVIEW: Asset Management: A Systematic Approach to Factor Investing

Asset Management: A Systematic Approach to Factor Investing Andrew Ang Reviewed by Bruce Grantier View PDF… Read More

0 comments / 20/03/2015 / jxiong

Momentum, Acceleration, and Reversal

James X. Xiong and Roger G. Ibbotson This paper studies the impact of accelerated stock price increases on future performance. Accelerated stock price increases are a strong contributor to both poor future performance and a higher probability of reversals. It implies that accelerated growth is not sustainable and can lead to drops. The acceleration mechanism… Read More

0 comments / 20/03/2015 / asness

Investing With Style

Clifford S. Asness, Antti Ilmanen, Ronen Israel and Tobias J. Moskowitz Investors are bombarded by a variety of investment strategies from a growing and increasingly complex financial industry, each claiming to improve returns and reduce risk. Amid the clamor, academic research has sifted through the vast landscape and found four intuitive investment strategies that, when… Read More

0 comments / 20/03/2015 / jhull

OIS Discounting, Interest Rate Derivatives, and the Modeling of Stochastic Interest Rate Spreads

John Hull and Alan White Before 2007, derivatives practitioners used a zero curve that was bootstrapped from LIBOR swap rates to provide “risk-free” rates when pricing derivatives. In the last few years, when pricing fully collateralized transactions, practitioners have switched to using a zero curve bootstrapped from overnight indexed swap (OIS) rates for discounting. This… Read More

0 comments / 20/03/2015 / Ozgur Akay

INSIGHTS: Reserve Primary: Fools Rush in Where Wise Men Fear to Tread!

Ozgur (Ozzy) Akay, Mark D. Griffiths and Drew B. Winters This is a clinical analysis of the demise of the Reserve Primary Fund, the first ever money market fund. Reserve Primary was caught in a perfect storm of its own making when the financial markets went into a full-blown crisis mode with the bankruptcy of… Read More

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First Quarter (2015)

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