Practical Application最新文献_第2页

Practical Applications of Buy-and-Hold and Constant-Mix May Be Better Allocation Strategies Than You Think 买入持有和持续组合的实际应用可能是比你想象的更好的配置策略

Practical Application Pub Date : 2021-06-30 DOI: 10.3905/pa.9.2.441

Thomas J. O'Brien

{"title":"Practical Applications of Buy-and-Hold and Constant-Mix May Be Better Allocation Strategies Than You Think","authors":"Thomas J. O'Brien","doi":"10.3905/pa.9.2.441","DOIUrl":"https://doi.org/10.3905/pa.9.2.441","url":null,"abstract":"In Buy-and-Hold and Constant-Mix May Be Better Allocation Strategies Than You Think, in the June 2020 Multi-Asset Special Issue of The Journal of Portfolio Management, Thomas J. O’Brien of the University of Connecticut discusses the relative practicality and utility of various basic multiperiod allocation strategies. Applying a three-period binomial model, O’Brien calculates how much anticipated future wealth investors might forgo from following simpler portfolio-management strategies such as buy-and-hold or constant-mix, instead of a more complex optimal reallocation plan. He also determines which fixed-income vehicles would better suit which investors. By making assumptions about equities and interest rates in his analyses, O’Brien derives conclusions about the best allocation and fixed-income strategies for investors with differing risk thresholds. He finds that in an environment where equity mean-reversion and interest-rate uncertainty prevail, investors can pursue either buy-and-hold or constant-mix portfolio strategies without incurring much economic cost. Investors’ preferred allocation strategies and fixed-income approaches should be guided by their risk tolerance. The more risk averse would opt for a constant-mix allocation strategy paired with horizon-maturity fixed-income instruments. More-risk-accepting investors would apply a buy-and-hold allocation strategy coupled with a sequenced series of shorter-term bills. TOPICS: Portfolio management/multi-asset allocation, portfolio theory, portfolio construction","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":"78 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122951607","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of Target-Date Funds, Glidepaths, and Risk Aversion 目标日期基金、滑翔机和风险规避的实际应用

Practical Application Pub Date : 2021-06-16 DOI: 10.3905/pa.9.1.439

Javier Estrada

{"title":"Practical Applications of Target-Date Funds, Glidepaths, and Risk Aversion","authors":"Javier Estrada","doi":"10.3905/pa.9.1.439","DOIUrl":"https://doi.org/10.3905/pa.9.1.439","url":null,"abstract":"In Target-Date Funds, Glidepaths, and Risk Aversion, from the Winter 2020 issue of The Journal of Wealth Management, author Javier Estrada (of IESE Business School in Barcelona, Spain) explores why target-date funds (TDFs) use glidepaths that reallocate assets out of high-growth investments and into capital preservation funds as individuals approach retirement. The simple answer is that people become more risk averse as they get older. But therein lies a problem: People tend to have less to invest when younger and more when older–so shifting money into low-growth investments reduces investors’ earnings potential as they accumulate more principal to invest. This may leave them with less at retirement. Whether this strategy is suitable depends on how much investors’ risk aversion really increases with age. Estrada investigates how much risk aversion would have to increase to match the risk reduction implemented by a popular TDF that starts off with a 90%/10% stock/bond allocation and ends up at 50%/50% at retirement. Using statistical analysis, Estrada determines that risk aversion would have to more than double during the last 25 years of working life to match the glidepath. Financial advisors may wish to take these findings into account in discussions with clients. TOPICS: Equity portfolio management, retirement, wealth management, risk management","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132459534","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of Valuation of Early-Stage Technology Ventures: An Approach to Derive the Discount Rate 早期科技企业估值的实际应用:一种推导贴现率的方法

Practical Application Pub Date : 2021-06-08 DOI: 10.3905/PA.9.1.438

C. Wessendorf, Schneider Schneider, Kai. Shen, O. Terzidis

{"title":"Practical Applications of Valuation of Early-Stage Technology Ventures: An Approach to Derive the Discount Rate","authors":"C. Wessendorf, Schneider Schneider, Kai. Shen, O. Terzidis","doi":"10.3905/PA.9.1.438","DOIUrl":"https://doi.org/10.3905/PA.9.1.438","url":null,"abstract":"In Valuation of Early-Stage Technology Ventures: An Approach to Derive the Discount Rate, from the Winter 2021 issue of The Journal of Alternative Investments, authors Christoph P. Wessendorf, Jared Schneider, Kai Shen, and Orestis Terzidis of Karlsruhe Institute of Technology (KIT) seek to develop an approach venture capitalists can use to derive the discount rate of technology ventures at their early stage. Traditional venture valuation methods rely on quantifiable financial history and data that often are unavailable in early-stage ventures. To compensate for the missing data, venture capitalists often use subjective, or nonfinancial, determinants to assess a venture’s value. The authors explore which nonfinancial valuation determinants have a meaningful impact on eventual value, weigh their relative importance, and use these factors to calculate a venture-specific valuation score. Next, the authors assess mathematical models that can be used with this score to calculate a suitable discount rate. They compare the empirical results of early-stage technology ventures with the values attained using these models to find high fidelity between the exponential discount rate structure and the real observed target return data. Ultimately, the authors propose that an exponential discount rate structure can be used in tandem with nonfinancial determinants to develop sound, venture-specific valuation. TOPICS: Real assets/alternative investments/private equity, security analysis and valuation, performance measurement","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":"12 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126567424","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of The Profitability of Technical Analysis during Financial Bubbles 金融泡沫时期技术分析盈利能力的实际应用

Practical Application Pub Date : 2021-04-07 DOI: 10.3905/pa.9.1.429

Bala G. Arshanapalli, Matthew Lutey, William A. Nelson, M. Pollak

引用次数: 0

Practical Applications of Using Active Share to Evaluate Single- and Multi-Manager Portfolios 使用主动份额来评估单经理和多经理投资组合的实际应用

Practical Application Pub Date : 2021-03-31 DOI: 10.3905/pa.9.1.428

Mark M. Higgins, Matthew Sturdivan, Janelle Booth, Claire Illo

{"title":"Practical Applications of Using Active Share to Evaluate Single- and Multi-Manager Portfolios","authors":"Mark M. Higgins, Matthew Sturdivan, Janelle Booth, Claire Illo","doi":"10.3905/pa.9.1.428","DOIUrl":"https://doi.org/10.3905/pa.9.1.428","url":null,"abstract":"In Using Active Share to Evaluate Single- and Multi-Manager Portfolios, in the April 2020 Fund Manager Selection special edition of The Journal of Portfolio Management, Mark Higgins, Matthew Sturdivan, Janelle Booth, and Claire Illo, all of RVK, Inc., consider the use of active share to evaluate investment strategies and to select and monitor individual equity managers. Active share statistically measures the difference between a fund manager’s portfolio holdings and the weightings of the fund’s benchmark index. The authors analyze how investors can apply active share when assessing their strategies and managers’ performance and thereby improve their manager selection and portfolio building. Using a simulation approach to evaluate multi-manager US large-cap equity portfolios, the authors show how active share can help quantify the impact of managerial diversification on the quality and efficiency of multi-manager portfolios. They also demonstrate how investors can establish a conditional ideal number of managers for a portfolio. They note, however, that active share has several limitations and should be coupled with other quantitative and qualitative analytical measures to build multi-manager portfolios. TOPICS: Manager selection, performance measurement","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133316677","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of Who Is Better at Investment Decisions: Man or Machine? 谁更擅长投资决策:人还是机器?

Practical Application Pub Date : 2021-03-24 DOI: 10.3905/pa.9.1.427

J. P. Harrison, S. Samaddar

引用次数: 0

Practical Applications of Implementing Value and Momentum Strategies in Credit Portfolios 实施价值与动量策略在信贷组合中的实际应用

Practical Application Pub Date : 2021-03-18 DOI: 10.3905/pa.9.2.452

S. Polbennikov, Albert Desclée, M. Dubois

{"title":"Practical Applications of Implementing Value and Momentum Strategies in Credit Portfolios","authors":"S. Polbennikov, Albert Desclée, M. Dubois","doi":"10.3905/pa.9.2.452","DOIUrl":"https://doi.org/10.3905/pa.9.2.452","url":null,"abstract":"In Implementing Value and Momentum Strategies in Credit Portfolios, from the Quantitative Special Issue 2021 of The Journal of Portfolio Management, authors Simon Polbennikov, Albert Desclée, and Mathieu Dubois (all at Barclays) explore the strategy of applying value and momentum signals to corporate bond portfolios. The authors conducted an analysis to determine whether style factor investing is a suitable strategy for investors. Because data for credit portfolios managed with systematic styles were unavailable, the authors built a simulation of portfolios net of transaction costs between 2007 and 2020. They then applied a relative value strategy and an equity momentum strategy to the simulated data. Concluding that each signal resulted in higher returns than the benchmark index, they then applied the strategies in an equally weighted composite form. The authors ultimately concluded that, net of rebalancing costs, using such styles in strategy portfolios can result in considerable returns compared to the benchmark index. However, successfully implementing them in a portfolio also requires turnover controls, identification of actively traded and liquid securities, and strategic portfolio construction relative to a benchmark. TOPICS: Performance measurement, portfolio construction, simulations, style investing","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125431742","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Practical Applications of The Top Three Pension Systems: Denmark, Finland, and the Netherlands 世界三大养老金制度的实际应用:丹麦、芬兰和荷兰

Practical Application Pub Date : 2021-03-17 DOI: 10.3905/pa.8.4.426

Svend E. Hougaarn, Lassila Jukka, Niku Mätänen, Tarmo Valkoneame, Ed Westerh

{"title":"Practical Applications of The Top Three Pension Systems: Denmark, Finland, and the Netherlands","authors":"Svend E. Hougaarn, Lassila Jukka, Niku Mätänen, Tarmo Valkoneame, Ed Westerh","doi":"10.3905/pa.8.4.426","DOIUrl":"https://doi.org/10.3905/pa.8.4.426","url":null,"abstract":"In The Top Three Pension Systems: Denmark, Finland, and the Netherlandsfrom the Fall 2020 issue of TheJournal of Retirement, authors Svend E. Hougaard Jensen(of Copenhagen Business School), Jukka Lassila, Niku Määttänen, Tarmo Valkonen(all of the Research Institute of the Finnish Economy), and Ed Westerhout(of Tilburg University) analyze the three top-rated pension systems from the 2018 Mercer Global Pension Index. All three systems share common strengths: mandatory participation, a minimum guaranteed old-age income, a high income-replacement rate, and robust fiscal sustainability. They also have privatized elements (like decentralized management and market-based investing) and rely on social partners (employee and employer representatives) to help get public buy-in for policies. However, all three pension systems face similar challenges–like legitimacy issues (since social partners are elected by a shrinking number of union members) and the fact that mandatory pension contributions can preempt savings for shorter-term goals. Policymakers worldw study these pension systems to help find solutions to problems in their own systems. Policymakers in the United States can find valuable information on issues like privatizing Social Security, eligibility changes, and getting public buy-in for reforms designed to increase the system’s sustainability. TOPICS: Retirement, social security, pension funds, wealth management","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131705605","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of How Long Is Long Enough? 多长时间才算够长?

Practical Application Pub Date : 2021-03-10 DOI: 10.3905/pa.8.4.425

G. Buetow, Bernd Hanke

{"title":"Practical Applications of How Long Is Long Enough?","authors":"G. Buetow, Bernd Hanke","doi":"10.3905/pa.8.4.425","DOIUrl":"https://doi.org/10.3905/pa.8.4.425","url":null,"abstract":"In How Long Is Long Enough? from the Fall 2020 issue of The Journal of Retirement, authors Gerald W. Buetow (of BFRC Services) and Bernd Hanke (of Global Systematic Investors) introduce an easy-to-use system to help defined-contribution plan (DCP) fiduciaries decide when to replace underperforming actively managed mutual funds. Many active funds underperform their benchmark indexes, especially net of fees. This raises two questions: How long should fiduciaries wait to replace an underperforming fund, and should they replace it with another active fund or a lower-cost passive fund? Buetow and Hanke examine historical performance data to calculate the differences between two investment strategies: one that keeps all assets in active funds, and another that switches assets from underperforming active funds to passive funds. They find that switching to passive funds after three years of underperformance generates higher long-term returns than leaving assets in active funds, waiting five years to make the switch, or switching only if underperformance is statistically significant (5% or more). Therefore, the authors say, DCP fiduciaries can better serve plan participants by monitoring active funds and replacing underperformers with passive funds in a timely manner. TOPICS: Manager selection, mutual fund performance, passive strategies, retirement, wealth management","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123951666","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of Glide Path Indexes 滑行路径指数的实际应用

Practical Application Pub Date : 2021-03-03 DOI: 10.3905/pa.8.4.424

Ronald J. Surz

{"title":"Practical Applications of Glide Path Indexes","authors":"Ronald J. Surz","doi":"10.3905/pa.8.4.424","DOIUrl":"https://doi.org/10.3905/pa.8.4.424","url":null,"abstract":"In Glide Path Indexes, from the Spring 2020 edition of The Journal of Index Investing, Ronald Surz of GlidePath Wealth Management discusses how investors can protect their savings as they transition into retirement. Glide path indexes, such as target-date funds (TDFs), vary asset allocations depending on an investor’s age, reducing equity exposure as an individual approaches retirement. But most portfolios following industry-standard paths incorporate too much risk at the wrong time: the years bracketing retirement. If investors are allocated too heavily to equities during those years, they face the risk of liquidating stocks at low prices to produce cash flow for their the initial phase of their retirement. These unfortunate investors then have less to draw from to meet future retirement expenses and much less time to repair overall portfolio damage using income from employment or other sources. Surz proposes an alternative glide path that uses rigorous risk management and greater diversification to substantially diminish this hazard. To better protect savings, Surz’s approach dramatically lowers equity and long-term bond exposure in favor of safer assets as an investor nears her retirement date. His glide path strategy then gradually incorporates more equity and bond risk as investors move through retirement, so as to revitalize growth potential and extend the life of the investor’s savings. TOPICS: Wealth management, retirement, mutual fund performance","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134634381","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0