Practical applications of institutional investor journals最新文献

Practical Applications of Corporate Governance and Its Impact on Equity Performance 公司治理的实际应用及其对股权绩效的影响

Practical applications of institutional investor journals Pub Date : 2023-11-08 DOI: 10.3905/pa.2023.pa574

Carmine de Franco, Johann Nicolle, Lan-Anh Tran, Alain Demarolle

{"title":"Practical Applications of Corporate Governance and Its Impact on Equity Performance","authors":"Carmine de Franco, Johann Nicolle, Lan-Anh Tran, Alain Demarolle","doi":"10.3905/pa.2023.pa574","DOIUrl":"https://doi.org/10.3905/pa.2023.pa574","url":null,"abstract":"In <ext-link><bold><italic>Corporate Governance and Its Impact on Equity Performance</italic></bold></ext-link>, from the Spring 2023 issue of <bold><italic>The Journal of Impact and ESG Investing</italic></bold>, <bold>Carmine de Franco</bold>, <bold>Johann Nicolle</bold>, and <bold>Lan-Anh Tran</bold> of <bold>Ossiam</bold>, and <bold>Alain Demarolle</bold> of <bold>Proxinvest</bold> find that equity performance is positively affected by three key corporate governance attributes: board composition, CEO compensation, and equity capital structures that include super-voting shares. Positive elements for board composition include 1) diverse backgrounds, 2) small number of directors, 3) demonstrated director independence, 4) long tenure of directors, 5) shorter terms for directors, and 6) low to moderate director compensation. Positive elements for CEO compensation include 1) a high proportion of CEO compensation in the form of base salary and 2) a relatively low cap on CEO bonuses. The authors analyzed companies from developed European countries covering the period January 2017 to December 2021. The authors concluded that investors would profit by incorporating corporate governance considerations in their investment strategies.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"76 s1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135341522","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 Shrinkage-Adjusted Sharpe Ratio: An Improved Method for Mutual Fund Selection 收缩调整夏普比率的实际应用:一种改进的共同基金选择方法

Practical applications of institutional investor journals Pub Date : 2023-11-03 DOI: 10.3905/pa.2023.pa573

Moshe Levy, Richard Roll

{"title":"Practical Applications of The Shrinkage-Adjusted Sharpe Ratio: An Improved Method for Mutual Fund Selection","authors":"Moshe Levy, Richard Roll","doi":"10.3905/pa.2023.pa573","DOIUrl":"https://doi.org/10.3905/pa.2023.pa573","url":null,"abstract":"In <ext-link><bold><italic>The Shrinkage-Adjusted Sharpe Ratio: An Improved Method for Mutual Fund Selection</italic></bold></ext-link>, from the February 2023 issue of <bold><italic>The Journal of Investing</italic></bold>, <bold>Moshe Levy</bold> of <bold>Hebrew University</bold> and <bold>Richard Roll</bold> of <bold>Caltech</bold> introduce a metric for predicting US equity mutual fund performance that significantly outperforms the simple Shape ratio. They call their metric the “shrinkage-adjusted Sharpe ratio” (SAS) because it uses two adjustment factors to shrink past performance measures (e.g., average returns of an individual fund) toward their cross-sectional means (i.e., toward the average return of all funds). The adjustment factors apply to a fund’s gross returns but not to its fees. The authors assert that using the SAS rather than a simple Sharpe ratio as a basis for US equity mutual fund selection boosts risk-adjusted returns by roughly 1.1% per annum. The authors apply SAS to different asset classes (foreign equity and fixed-income funds) and time periods. They find that the performance is robust across both.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"45 6","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135819713","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 Does the Fed Make Decisions: A Machine Learning Augmented Taylor Rule 美联储如何决策的实际应用:机器学习增强泰勒规则

Practical applications of institutional investor journals Pub Date : 2023-10-25 DOI: 10.3905/pa.2023.pa572

Boyu Wu, Amina Enkhbold, Asawari Sathe, Qian Wang

引用次数: 0

Practical Applications of Portfolio Tilts Using Views on Macroeconomic Regimes 基于宏观经济制度观点的投资组合倾斜的实际应用

Practical applications of institutional investor journals Pub Date : 2023-10-18 DOI: 10.3905/pa.2023.pa571

Redouane Elkamhi, Jacky S. H. Lee, Marco Salerno

引用次数: 0

Practical Applications of Value for Equity Index Options: Expected—Not Realized—Volatility and the Distribution of Forecasts 价值对股票指数期权的实际应用:预期-未实现-波动率和预测分布

Practical applications of institutional investor journals Pub Date : 2023-10-11 DOI: 10.3905/pa.2023.pa570

J. Benson Durham

{"title":"Practical Applications of Value for Equity Index Options: Expected—Not Realized—Volatility and the Distribution of Forecasts","authors":"J. Benson Durham","doi":"10.3905/pa.2023.pa570","DOIUrl":"https://doi.org/10.3905/pa.2023.pa570","url":null,"abstract":"In <ext-link><bold><italic>Value for Equity Index Options: Expected—Not Realized—Volatility and the Distribution of Forecasts</italic></bold></ext-link>, from the November 2022 issue of <bold><italic>The Journal of Portfolio Management</italic></bold>, <bold>J. Benson Durham</bold> of <bold>Piper Sandler</bold> demonstrates that anticipated rather than “realized” volatility is more useful for option traders and other investors who must assess the levels of risk and fear in option markets. Durham estimates expected volatility and the distribution around volatility forecasts using six generalized autoregressive conditional heteroskedasticity (GARCH) models. GARCH is a statistical approach that analyzes time-series data to estimate the amount of volatility and the changes in volatility over time, as opposed to common measures based on arbitrarily chosen rolling windows or asset returns. Durham argues that using multiple GARCH models gives practitioners a better, forward-looking estimate of implied volatility, the key input in option pricing models. Durham offers investment practitioners an alternative method for determining the value of at-the-money equity options. His approach departs from the traditional, backward-looking volatility inputs commonly used in option models. Further, he explains that implied volatility embeds not only expected volatility, but also a risk premium for variation in volatility. He underscores the importance of incorporating forward-looking instead of historical inputs for equity option valuation because all asset prices reflect expectations for the future, not the past.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136097991","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 A National Balance Sheet Approach to the Natural Rate of Interest 国家资产负债表法对自然利率的实际应用

Practical applications of institutional investor journals Pub Date : 2023-10-04 DOI: 10.3905/pa.2023.pa586

Robert S. Goldberg, Mariano Torras

引用次数: 0

Practical Applications of Time to Retire: The 4% Withdrawal Rule 退休时间的实际应用:4%提款规则

Practical applications of institutional investor journals Pub Date : 2023-09-27 DOI: 10.3905/pa.2023.pa585

Rob Brown

引用次数: 0

Practical Applications of Machine Learning for Econometricians: The Readme Manual 计量经济学家机器学习的实际应用:自述手册

Practical applications of institutional investor journals Pub Date : 2023-09-20 DOI: 10.3905/pa.2023.pa569

Marcos López de Prado

{"title":"Practical Applications of Machine Learning for Econometricians: The Readme Manual","authors":"Marcos López de Prado","doi":"10.3905/pa.2023.pa569","DOIUrl":"https://doi.org/10.3905/pa.2023.pa569","url":null,"abstract":"In <ext-link><bold><italic>Machine Learning for Econometricians: The Readme Manual</italic></bold></ext-link>, from the Summer 2022 issue of <bold><italic>The Journal of Financial Data Science</italic></bold>, <bold>Marcos López de Prado</bold>, of <bold>Cornell University</bold> and the <bold>Abu Dhabi Investment Authority</bold>, concisely covers many machine learning (ML) techniques and links them to analogous steps in the econometric research process: goal setting, outlier detection, visualization, feature extraction, regression, classification, feature importance, model selection, and validation. It is a must-read for econometricians who want to utilize increasingly available “big data” and the algorithms designed to process it. Econometricians should not be deterred by notions of ML as a black box. López de Prado explains that there are several methods for interpreting model results. ML consists of powerful techniques that can enrich our understanding of complex relationships that relatively simple traditional econometric methods cannot grasp. He does not imply that ML should replace econometrics but rather that it complements traditional methods of analysis. Furthermore, he notes that ignoring economic theory can result in poorly designed research studies and false discoveries. Importantly, he makes a strong case for econometricians to modernize their quantitative toolbox, and he offers a roadmap for updating their tools and improving their research skills.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136308860","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 Mission Impossible: Foundation Investment Policy in the Post-COVID World 《不可能的任务:后疫情时代的基金会投资政策

Practical applications of institutional investor journals Pub Date : 2023-09-13 DOI: 10.3905/pa.2023.pa568

Michael W. Crook

引用次数: 0

Practical Applications of Fact, Fiction, and Factor Investing 事实、虚构和要素投资的实际应用

Practical applications of institutional investor journals Pub Date : 2023-08-30 DOI: 10.3905/pa.2023.pa580

Michele Aghassi, Cliff Asness, Charles Fattouche, Tobias J. Moskowitz

引用次数: 0