Journal of Wealth Management最新文献_第7页

BOOK REVIEWS: “First Generation Wealth” and “The Destructive Power of Family Wealth” 书评:《第一代财富》与《家庭财富的破坏力》

Journal of Wealth Management Pub Date : 2021-11-23 DOI: 10.3905/jwm.2021.1.157

Paul Bouchey

引用次数: 0

Negative Beta Equity Securities as Insurance 负贝塔股票证券作为保险

Journal of Wealth Management Pub Date : 2021-11-22 DOI: 10.3905/jwm.2021.1.156

Tom Arnold, Terry D. Nixon

引用次数: 0

Outlier Events in Major Cryptocurrency Markets: Is There Evidence of Overreaction? 主要加密货币市场的异常事件：是否有过度反应的证据？

Journal of Wealth Management Pub Date : 2021-11-22 DOI: 10.3905/jwm.2021.1.155

Mark Schaub

引用次数: 0

Editor’s Letter 编辑的信

Journal of Wealth Management Pub Date : 2021-10-31 DOI: 10.3905/jwm.2021.24.3.001

Brunel Jean L. P.

引用次数: 0

The Financial and Tax Considerations of Social Security and Early Retirement 社会保障与提前退休的财税考量

Journal of Wealth Management Pub Date : 2021-09-23 DOI: 10.3905/jwm.2021.1.154

Stephen Kuselias, Stephen J. Perreault, Michael Shafer

引用次数: 1

Further on the Returns to Non-Traded REITs 进一步介绍非交易房地产投资信托基金的回报

Journal of Wealth Management Pub Date : 2021-09-18 DOI: 10.3905/jwm.2021.1.153

Joshua S. Mallett, C. McCann

{"title":"Further on the Returns to Non-Traded REITs","authors":"Joshua S. Mallett, C. McCann","doi":"10.3905/jwm.2021.1.153","DOIUrl":"https://doi.org/10.3905/jwm.2021.1.153","url":null,"abstract":"In this article, the authors expand their prior research on 89 non-traded REITs with 51 non-traded REITs that first updated their NAVs after May 1, 2015, or came into existence after May 1, 2015, and had either had a liquidity event or updated their NAVs by December 31, 2019. They document significantly lower returns earned by investors in 140 non-traded REITs compared to the returns they would have earned in a portfolio of traded REITs. Non-traded REITs as a group underperformed traded REITs by approximately 8% annually. The dollar losses from investing in non-traded REITs instead of traded REITs exceeded $75 billion as of December 31, 2019. The underperformance did not decrease over time; non-traded REITs that broke escrow in 2015–2019 underperformed traded REITs to the same degree as earlier non-traded REITs. They show that non-traded REITs’ aggregate underperformance is observed for capital raised in every calendar quarter. Key Findings ▪ Non-traded REITs continue to significantly underperform traded REITs. ▪ This aggregate underperformance was $75 billion as of December 31, 2019, and is observed for capital raised in every calendar quarter. ▪ Despite real estate risk and illiquidity, aggregate non-traded REITs returns approximately equal returns to short term Treasury securities.","PeriodicalId":39998,"journal":{"name":"Journal of Wealth Management","volume":"24 1","pages":"113 - 127"},"PeriodicalIF":0.0,"publicationDate":"2021-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45671229","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

Does a Change in the TED Spread Impact Bank Stock Returns? TED价差的变化会影响银行股收益吗?

Journal of Wealth Management Pub Date : 2021-09-15 DOI: 10.3905/jwm.2021.1.151

Srinivas Nippani, A. Arize, D. Malhotra

{"title":"Does a Change in the TED Spread Impact Bank Stock Returns?","authors":"Srinivas Nippani, A. Arize, D. Malhotra","doi":"10.3905/jwm.2021.1.151","DOIUrl":"https://doi.org/10.3905/jwm.2021.1.151","url":null,"abstract":"During the economic crisis of 2008, the global economic system came under tremendous stress due to unusually high activity in the risk spread and volatility in the financial asset valuation. The spread between the US T-bill rate and the London interbank offer rate (LIBOR), a proxy for perceived counterparty credit risk called the “TED spread,” also increased during the crisis period and impacted other economic variables. This study examines the impact of credit risk, as represented by the TED spread, on the daily returns of the ABAQ index, which represents community banks, and the KBW index, which represents the money center and other major banks. The findings, based on daily data from 2010–2020, are as follows: An increase in credit risk led to a decrease in returns for both community banks and money center banks; however, the significance of credit risk and its impact on the stock returns of community banks and money center banks diminished when controlled for other stock market movements. Key Findings ▪ The TED Spread is critical to investment valuation since it is an indicator of the price of money in the global banking system. ▪ As an indicator of the solvency of financial institutions, monetary liquidity, and perceived risk of the financial system, an increase in the TED spread impacts the daily returns of banks (community banks, money centers, and other major banks) negatively. ▪ An increase in the TED spread leads to the drying up of market liquidity that increases cost of funding and generates a negative reaction in the stock market. The study shows that stocks for both larger banks and community banks, while affected by the TED spread, are more impacted by general market movements.","PeriodicalId":39998,"journal":{"name":"Journal of Wealth Management","volume":"24 1","pages":"99 - 112"},"PeriodicalIF":0.0,"publicationDate":"2021-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45192599","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

Robo-Advisors Today and Tomorrow: Investment Advice Is Just an App Away Robo Advisors今天和明天：投资建议只需一个应用程序

Journal of Wealth Management Pub Date : 2021-09-15 DOI: 10.3905/jwm.2021.1.149

Adam Grealish, Petter N. Kolm

{"title":"Robo-Advisors Today and Tomorrow: Investment Advice Is Just an App Away","authors":"Adam Grealish, Petter N. Kolm","doi":"10.3905/jwm.2021.1.149","DOIUrl":"https://doi.org/10.3905/jwm.2021.1.149","url":null,"abstract":"Over the past decade robo-advisors have gone from offerings from a handful of start-ups to an established and fast-growing segment of the wealth management industry. Robo-advisors use technology to translate core retail investing principles—establishing an investment plan, seeking broad diversification, weighting cost and value, and accounting for taxes—into automated platforms with easy-to-use interfaces. Intuitive user experience backed by well-established investment processes allow individual investors to create and execute investment strategies with little or no interaction with a financial professional, resulting in large economies of scale for robo-advisors and low costs for clients. In this article, the authors discuss how robo-advisors assess client risk tolerance, build, and recommend portfolios, manage risk, and optimize taxes. They discuss the implementation of goal-based investing, socially responsible (ESG) investing, and smart beta strategies on robo-advisory platforms. Additionally, they examine robo-advisor performance during the market downturn in March 2020, the first significant market drawdown since their introduction, and find portfolio performance in agreement with broadly diversified stock and bond holdings. Consistent with expectations, robo-advisors also reported increased tax-loss harvesting activity during this downturn. Key Findings ▪ The authors provide an up-to-date view of online platforms, referred to as robo-advisors, that offer automated investment and portfolio management services to retail investors. ▪ They describe and characterize key elements and features of robo-advisory service offerings, including automated tax management, goal-based investing, socially responsible (ESG) investing, and smart beta strategies. ▪ They examine robo-advisor performance during the market downturn in March 2020 and find portfolio performance in agreement with broadly diversified stock and bond holdings.","PeriodicalId":39998,"journal":{"name":"Journal of Wealth Management","volume":"24 1","pages":"144 - 155"},"PeriodicalIF":0.0,"publicationDate":"2021-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41344227","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

Using a Simple Technical Analysis Indicator to Guide Asset Allocation Decisions 使用简单的技术分析指标指导资产配置决策

Journal of Wealth Management Pub Date : 2021-09-11 DOI: 10.3905/jwm.2021.1.148

Bryan Foltice, Steven D. Dolvin

{"title":"Using a Simple Technical Analysis Indicator to Guide Asset Allocation Decisions","authors":"Bryan Foltice, Steven D. Dolvin","doi":"10.3905/jwm.2021.1.148","DOIUrl":"https://doi.org/10.3905/jwm.2021.1.148","url":null,"abstract":"This article examines the effectiveness of using a simple technical analysis indicator to dynamically guide asset allocation decisions. Using the 200-day simple moving average of the S&P 500 as our technical indicator, the authors employ two separate strategies. They adopt a risk-on asset allocation strategy (larger stock allocation) when the daily price of the S&P 500 is above the indicator line, and a risk-off strategy (reduced stock/increased bond allocation) when below. In contrast to prior research, when transitioning to risk-off, they do not necessarily liquidate all equity, but rather consider other less extreme allocations. Over the 1962–2020 time period, they find that following various risk-on/risk-off rules generates excess annual returns of up to 0.58%, after factoring in a marginal trading cost. Furthermore, this strategy also provides a reduction in overall risk for an overwhelming majority of the analyzed allocation combinations. Taken together, almost all 200-day technically based strategies post an increase in Sharpe ratios relative to their respective baseline buy-and-hold strategies. Key Findings ▪ Using the 200-day simple moving average as our indicator line, all of the risk-on/risk-off approaches outperform (i.e., have a higher Sharpe ratio) the respective buy-and-hold strategy. In both analyzed samples, the vast majority of approaches post higher Sharpe ratios compared to the buy-and-hold strategies. ▪ Across the various starting allocations, metrics generally improve (i.e., higher return and lower risk) as a more extreme move to a conservative risk-off approach is employed. ▪ We find that this trading strategy is most effective when the stock market posts negative returns. Conversely, in bull markets, the moving-average strategy generally lags the stock market returns.","PeriodicalId":39998,"journal":{"name":"Journal of Wealth Management","volume":"24 1","pages":"31 - 41"},"PeriodicalIF":0.0,"publicationDate":"2021-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49305083","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

Evaluating the Performance of Alternative Strategies Relative to Long-Only Public Market Benchmarks 相对于长期公开市场基准评估替代策略的绩效

Journal of Wealth Management Pub Date : 2021-09-11 DOI: 10.3905/jwm.2021.1.146

J. Brunel

{"title":"Evaluating the Performance of Alternative Strategies Relative to Long-Only Public Market Benchmarks","authors":"J. Brunel","doi":"10.3905/jwm.2021.1.146","DOIUrl":"https://doi.org/10.3905/jwm.2021.1.146","url":null,"abstract":"The performance of alternative strategies is notoriously challenging to analyze. Beside the fact that managers often profess to be agnostic as to the kind of risk they should be taking, investors often seek a well-defined risk management process. The current literature provides solid insights as to the benefit of various forms of risk factor analysis, the results of which can then be used as a means to assess actual manager performance. This article follows on that line of thought, with an important modification: the use of rolling betas relative to a qualitatively identified public market proxy. The author finds that the results point to significant volatility in betas, suggesting that managers indeed vary their market risk exposure over time; on the other hand, he finds that alphas derived from this methodology tend to be lower and less volatile than those computed based on a fixed strategic risk exposure. He postulates that the results may well be more representative of reality. Key Findings ▪ Hedge fund performance is notoriously difficult to assess, particularly relative to a market benchmark. Trying to allocate return between market or risk exposure and skill and to allocate excess return between tactical risk management and security or instrument selection has been quite difficult. ▪ Performance analysis practices within the asset management industry cover a wide range of approaches from peer comparisons to public market benchmarks. ▪ The use of statistically computed beta factors relative to a qualitatively derived principal strategy risk can afford a better perspective of public market opportunities and thus of relative performance analysis as compared with a public market benchmark.","PeriodicalId":39998,"journal":{"name":"Journal of Wealth Management","volume":"24 1","pages":"128 - 142"},"PeriodicalIF":0.0,"publicationDate":"2021-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47973546","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