Practical applications of institutional investor journals最新文献_第2页

Practical Applications of What Information Variables Predict Bitcoin Returns? A Dimension-Reduction Approach 哪些信息变量预测比特币收益的实际应用?一种降维方法

Practical applications of institutional investor journals Pub Date : 2023-07-28 DOI: 10.3905/pa.2023.jaipa074

Sang Baum Kang, Yao Xie, Jialin Zhao

{"title":"Practical Applications of What Information Variables Predict Bitcoin Returns? A Dimension-Reduction Approach","authors":"Sang Baum Kang, Yao Xie, Jialin Zhao","doi":"10.3905/pa.2023.jaipa074","DOIUrl":"https://doi.org/10.3905/pa.2023.jaipa074","url":null,"abstract":"In <ext-link><bold><italic>What Information Variables Predict Bitcoin Returns? A Dimension-Reduction Approach</italic></bold></ext-link> from the Spring 2023 issue of <bold><italic>The Journal of Alternative Investments</italic></bold>, Sang Baum Kang of the <bold>Illinois Institute of Technology</bold>, <bold>Yao Xie</bold> of <bold>Morningstar</bold>, and <bold>Jialin Zhao</bold> of <bold>St. Mary’s University</bold> found that blockchain technology, stress level, and investor sentiment play important roles in predicting bitcoin returns. The authors use 25 theoretically motivated explanatory variables falling within these three categories and two others, including macroeconomic variables and other assets, such as gold, to predict bitcoin returns with several dimension-reduction techniques. These techniques are used to eliminate variables with redundant information and avoid problems associated with multicollinearity and noise. Given the recent growth in data availability, dimension reduction is an increasingly relevant issue. The importance of variables within the five categories varied over time. Interestingly, macroeconomic variables and variables in the “other assets” category were unimportant, except for during the Covid-19 period. Simulating dynamic trading strategies based on predictions, the authors show that the “three-pass regression filter” performed best relative to their other dimension-reduction approaches.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135601846","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 Information Content of Hedge Fund Equity Option Holdings 对冲基金股票期权持有信息含量的实际应用

Practical applications of institutional investor journals Pub Date : 2023-06-26 DOI: 10.3905/pa.2023.jaipa070

Juha Joenväärä, Mikko Kauppila, Pekka Tolonen

引用次数: 0

Practical Applications of The Hunt for Alpha in ESG Fixed Income: Fund Evidence from around the World 寻找阿尔法在ESG固定收益中的实际应用:来自世界各地的基金证据

Practical applications of institutional investor journals Pub Date : 2023-06-21 DOI: 10.3905/pa.2023.pa555

Inna Zorina, Lux Corlett-Roy

{"title":"Practical Applications of The Hunt for Alpha in ESG Fixed Income: Fund Evidence from around the World","authors":"Inna Zorina, Lux Corlett-Roy","doi":"10.3905/pa.2023.pa555","DOIUrl":"https://doi.org/10.3905/pa.2023.pa555","url":null,"abstract":"In <ext-link><bold><italic>The Hunt for Alpha in ESG Fixed Income: Fund Evidence from around the World</italic></bold></ext-link>, from the Fall 2022 issue of <bold><italic>The Journal of Impact and ESG Investing</italic></bold>, authors <bold>Inna Zorina</bold>, of <bold>Vanguard</bold>, and <bold>Lux Corlett-Roy</bold>, formerly of <bold>Vanguard</bold>, find that environmental, social, and governance (ESG) fixed-income funds have not consistently outperformed the bond market, after controlling for well-established fixed-income factors. Recent years have seen a rapid rise in assets under management by investment funds that take into account ESG considerations in asset allocation decisions. It is therefore important to understand whether reallocating assets to ESG funds is likely to create alpha (meaning outperformance of the market average) or otherwise affect portfolio returns. The study finds that ESG fund returns are driven by their exposure to credit default risk and term until bond maturity, just like non-ESG funds. Higher-risk and longer-term funds have higher average returns, while ESG funds with higher expense ratios outperform the market less frequently than those with lower expense ratios. Given the lack of consistent alpha and the fact that bondholders do not have shareholder voting rights like those of stockholders, ESG fixed-income funds may or may not align with the goals of impact-investing clients.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136355398","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 Term Structure and World Economic Growth: A Retrospective and 30 Years of Out-of-Sample Evidence 期限结构与世界经济增长的实际应用:30年样本外证据的回顾

Practical applications of institutional investor journals Pub Date : 2023-06-07 DOI: 10.3905/pa.2023.pa552

Campbell Harvey

引用次数: 0

Practical Applications of Why Should Asset Management Be Interested in New Economic Thinking? 资产管理为什么应该对新经济思想感兴趣的实际应用?

Practical applications of institutional investor journals Pub Date : 2023-05-31 DOI: 10.3905/pa.2023.pa551

Sergio Focardi, Frank Fabozzi

{"title":"Practical Applications of Why Should Asset Management Be Interested in New Economic Thinking?","authors":"Sergio Focardi, Frank Fabozzi","doi":"10.3905/pa.2023.pa551","DOIUrl":"https://doi.org/10.3905/pa.2023.pa551","url":null,"abstract":"In <ext-link><bold><italic>Why Should Asset Management Be Interested in New Economic Thinking?</italic></bold></ext-link> from the October 2022 issue of <italic>The Journal of Portfolio Management</italic>, authors <bold>Sergio Focardi</bold> of <bold>Franklin University</bold> and <bold>Frank Fabozzi</bold> of <bold>Johns Hopkins University</bold> explain that mainstream economic theories may be outdated and may lead asset managers to make bad decisions. Modern-day economies are complex, rapidly evolving systems where inflation, money and credit creation, and economic growth are driven by new and different factors. Moreover, modern economies are complex, evolutionary systems that are not adequately described by traditional models. Mainstream economic models failed to warn markets about the 2008 financial crisis because they did not consider the destabilizing effects of money creation and destruction when bank loans are disbursed or repaid. Additionally, the Phillips curve, which posits an inverse relationship between inflation and unemployment, failed to predict low inflation between the financial crisis and the COVID-19 pandemic. Mainstream models also do not include innovation and quality improvements in economic growth. New and emerging theories offer potentially better insights for predicting when markets will become unstable. These theories embrace different views about the drivers of inflation, the effects of money and credit, and the significance of innovation and qualitative growth. These theories can offer insights that allow asset managers to make better investment decisions.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135300458","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 Tax Benefits of Direct Indexing: Not a One-Size-Fits-All Formula 直接指数化税收优惠的实际应用:不是放之四海而皆准的公式

Practical applications of institutional investor journals Pub Date : 2023-05-03 DOI: 10.3905/pa.2023.pa561

Nathan Sosner, Michael Gromis, Stanley Krasner

{"title":"Practical Applications of The Tax Benefits of Direct Indexing: Not a One-Size-Fits-All Formula","authors":"Nathan Sosner, Michael Gromis, Stanley Krasner","doi":"10.3905/pa.2023.pa561","DOIUrl":"https://doi.org/10.3905/pa.2023.pa561","url":null,"abstract":"In <ext-link><bold><italic>The Tax Benefits of Direct Indexing: Not a One-Size-Fits-All Formula</italic></bold></ext-link>, from the Summer 2022 issue of <bold><italic>The Journal of Beta Investment Strategies</italic></bold>, <bold>Nathan Sosner</bold> and <bold>Stanley Krasner</bold> (both at <bold>AQR Capital Management</bold>), and <bold>Michael Gromis</bold> (a student at <bold>Harvard Law School</bold>), explore the magnitude and sources of the tax benefit of a direct-indexing tax-loss-harvesting strategy. The authors note that capital losses realized by loss-harvesting strategies are most valuable when investors use them to offset short-term capital gains from other investments and that investors most likely to experience regular short-term capital gains are high-net-worth investors with allocations to hedge funds and derivatives. In fact, they show that only this subset of investors is situated to enjoy a long-run tax benefit from direct indexing that comes from the difference in short-term capital gains and long-term capital gains tax rates—what the authors call a <italic>character benefit</italic>. More typical investors, with mostly long-term capital gains from other investments, can only enjoy a deferral component of the tax benefit, which declines to zero as the strategy portfolio appreciates. However, the authors show that the deferral benefit is still available in the long run to those investors who make systematic contributions to their portfolios. Furthermore, the future tax liability that results from gain deferral can be reduced by combining the direct-indexing strategy with a charitable-giving program. Absent regular short-term losses or systematic contributions to the portfolio, the tax benefits of direct indexing decay and disappear after five years, on average. Given these nuances, it is important that advisors deepen their understanding of the tax-loss-harvesting strategies as platforms for implementing the strategies become more popular and widespread.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"12 4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134923637","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 Doing Well While Doing Good: The Elusive Quest for Green Bond Returns 在做好事的同时做好的实际应用:对绿色债券回报的难以捉摸的追求

Practical applications of institutional investor journals Pub Date : 2023-04-26 DOI: 10.3905/pa.2023.pa544

Juliusz Jablecki

引用次数: 0

Practical Applications of Alternative Data in Investment Management: Usage, Challenges, and Valuation 另类数据在投资管理中的实际应用:使用、挑战和估值

Practical applications of institutional investor journals Pub Date : 2023-04-26 DOI: 10.3905/pa.2023.pa547

Gene Ekster, Petter Kolm

{"title":"Practical Applications of Alternative Data in Investment Management: Usage, Challenges, and Valuation","authors":"Gene Ekster, Petter Kolm","doi":"10.3905/pa.2023.pa547","DOIUrl":"https://doi.org/10.3905/pa.2023.pa547","url":null,"abstract":"In <ext-link><bold><italic>Alternative Data in Investment Management: Usage, Challenges, and Valuation</italic></bold></ext-link>, from the Fall 2021 issue of <bold><italic>The Journal of Financial Data Science</italic></bold>, <bold>Gene Ekster</bold> and <bold>Petter Kolm</bold>, both at <bold>New York University’s Courant Institute of Mathematical Sciences</bold>, provide insight into how to get the most out of this relatively new resource. Unlike traditional financial data used to analyze and manage investments, alternative data has unique technical challenges, an evolving industry of providers, and valuation challenges. Ekster and Kolm offer methods of dealing with these matters. They point out that it is crucial to understand the structure of the industry, particularly the difference between data originators and intermediaries. The authors also discuss entity mapping, tagging, and other ways of addressing technical issues with alternative data. Importantly, they provide investment professionals with methods of determining the likely value of an alternative dataset with a short history. They include a case study on predicting revenues of publicly traded companies, thus illustrating the design considerations for data processing pipelines and downstream analytics.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"222 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136320123","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 Modern Endowment Story: A Ubiquitous US Equity Factor 现代捐赠故事的实际应用:一个无处不在的美国股票因素

Practical applications of institutional investor journals Pub Date : 2023-04-05 DOI: 10.3905/pa.2023.pa543

Richard M. Ennis

{"title":"Practical Applications of The Modern Endowment Story: A Ubiquitous US Equity Factor","authors":"Richard M. Ennis","doi":"10.3905/pa.2023.pa543","DOIUrl":"https://doi.org/10.3905/pa.2023.pa543","url":null,"abstract":"In <ext-link><bold><italic>The Modern Endowment Story: A Ubiquitous US Equity Factor</italic></bold></ext-link>, from the November 2022 issue of <bold><italic>The Journal of Portfolio Management</italic></bold>, author <bold>Richard Ennis</bold> (retired chairman and cofounder of <bold>EnnisKnupp</bold>) concludes that the endowment model is broken and makes three recommendations for repairing it: 1) dramatically reduce costs, 2) reevaluate risk tolerance and consider reallocating assets to investment-grade bonds, and 3) consider diversifying into global stock markets to reduce exposure to the US stock market. The traditional endowment model of diversified investing is designed to fund a nonprofit institution’s expenses while protecting principal against depletion. However, the largest endowments generally underperform the market, except when alternative investments like hedge funds are producing extraordinary returns. Ennis finds that, in the years since the 2008 global financial crisis (GFC), the performance of large endowments has become almost exactly correlated with that of the US stock market, alternative investments have provided no diversification benefits, and portfolio management costs have been the main cause of endowment underperformance. Endowments have also increased their exposure to the US equity factor in recent years, even as overall endowment performance gets worse.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135955550","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 Role and Inner Workings of Variable Annuities with Guaranteed Lifetime Withdrawal Benefits in Retirement 具有终身提取保障的可变年金在退休中的作用和内部运作的实际应用

Practical applications of institutional investor journals Pub Date : 2023-03-29 DOI: 10.3905/pa.2023.pa542

Wade D. Pfau

引用次数: 0