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October 2008, Volume 9, Issue 4
- 264-269 Fundamental indexation: An active value strategy in disguise
by David Blitz & Laurens Swinkels - 270-277 A cross-sectional analysis of Malaysian unit trust fund expense ratios
by Soo-Wah Low - 278-288 How many independent bets are there?
by Daniel Polakow & Tim Gebbie - 289-299 Abnormal returns with momentum/contrarian strategies using exchange-traded funds
by Jack C De Jong & S Ghon Rhee - 300-308 Who profits from trading around earnings announcements? Evidence from TORQ data
by Malay K Dey & B Radhakrishna (Radha)
September 2008, Volume 9, Issue 3
- 171-177 Are long-term trends changing?
by Damir Tokic - 178-192 Optimal portfolio allocation under asset and surplus VaR constraints
by Alain Monfort - 193-214 Firm-specific characteristics and the cross-section of Australian stock exchange returns
by Paul van Rensburg & Emile Janari - 215-238 Optimal asset allocation for sovereign wealth funds
by Andreas Gintschel & Bernd Scherer - 239-253 Inverse portfolio optimisation under constraints
by Rudi Zagst & Michaela Pöschik - 254-254 Erratum: Ship funds as a new asset class: An empirical analysis of the relationship between spot and forward prices in freight markets
by Wolfgang Bessler & Wolfgang Drobetz & Jorg Seidel
July 2008, Volume 9, Issue 2
- 73-76 Special edition of Journal of Asset Management ACIIA® chairman's message
by Kiyoto Hagiwara - 77-79 An overview of the papers included in this special edition of the Journal of Asset Management
by Michael Theobald - 80-89 Asia as a financial centre — Opportunities and obstacles
by Shinichi Yoshikuni - 90-101 Ownership, governance mechanisms, and agency costs in China’s listed firms
by Michael Firth & Peter M Y Fung & Oliver M Rui - 102-120 Ship funds as a new asset class: An empirical analysis of the relationship between spot and forward prices in freight markets
by Wolfgang Bessler & Wolfgang Drobetz & Jörg Seidel - 121-137 Portfolio selection in an expected shortfall framework during the recent ‘credit crunch’ period
by Lan-chih Ho & John Cadle & Michael Theobald - 138-148 Portfolio optimisation: A fuzzy multi-objective approach
by Francesc J Ortí & José B Sáez - 149-157 Structural positions and risk budgeting: Quantifying the impact of structural positions and deriving implications for active portfolio management
by Ulf Herold & Raimond Maurer - 158-170 Private equity in developing nations
by Arindam Banerjee
May 2008, Volume 9, Issue 1
- 1-1 Editorial
by Stephen E Satchell - 2-21 Best-practice pension fund governance
by Gordon L Clark & Roger Urwin - 22-40 Investing in movies
by Mark J Ferrari & Andrew Rudd - 41-48 Investing in emerging market local currency debt
by Benoît Mercereau & Alexandra Lubomira Sowa - 49-60 Global term structure modelling using principal component analysis
by Arcady Novosyolov & Daniel Satchkov - 61-66 How well can multi-manager funds diversify?
by Jürg Tobler-Oswald - 67-72 Utility comparison between security selectors, asset allocators and equally weighted portfolios within a selected ETF universe
by Walter Hlawitschka & Michael Tucker
February 2008, Volume 8, Issue 6
- 351-351 Editorial
by Stephen E Satchell - 352-360 Using efficiency ratio to measure fund performance
by Wen-Kuei Chen & Yin-Jen Chen & Tsung-Chuan Chen - 361-373 Diversifying in public real estate: The ex-post performance
by Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano - 374-400 Optimisation in the presence of tail-dependence and tail risk: A heuristic approach for strategic asset allocation
by Francesco Paolo Natale - 401-405 Fundamental indexation in Europe
by Julius Hemminki & Vesa Puttonen
December 2007, Volume 8, Issue 5
- 283-283 Editorial
by Stephen E Satchell - 284-295 Another look at the information ratio
by Ludwig B Chincarini & Daehwan Kim - 296-307 Portfolio optimisation and diversification
by David King - 308-336 Comparing Sharpe ratios: So where are the p-values?
by John Douglas (J.D.) Opdyke - 337-350 Time-varying risk and return characteristics of US and European bond markets: Implications for efficient portfolio allocation
by Philip J Young & Thomas H Payne & Robert R Johnson
November 2007, Volume 8, Issue 4
- 227-227 Editorial
by Stephen E Satchell - 228-237 Extracting information from European analyst forecasts
by Andrea S Au - 238-248 Persistent taxation on EU investment fund unitholders
by Luis Ferruz & Cristina Ortiz & Luis Vicente - 249-258 Quadratic programming for portfolio planning: Insights into algorithmic and computational issues Part II — Processing of portfolio planning models with discrete constraints
by Gautam Mitra & Frank Ellison & Alan Scowcroft - 259-266 After-market performance of industrial American Depository Receipts: Does level of issue and market timing affect returns?
by Mark Schaub - 267-282 Reconsidering asset allocation involving illiquid assets
by Dan Cao & Jérôme Teïletche
September 2007, Volume 8, Issue 3
- 147-151 A comparison between German and Spanish equity fund markets
by Luis Ferruz & José L Sarto & Laura Andreu - 152-160 Evidence for time-dependent structures in financial data series over long timescales: Opportunities for dynamic market risk allocation
by Julian Coutts - 161-175 Incorporating alpha uncertainty into portfolio decisions: A Bayesian revisit of the Treynor–Black model
by Zhongzhi (Lawrence) He - 176-187 Optimal robust and consistent active implementation of a pension fund's benchmark investment strategy
by Tim van Hest & Anja De Waegenaere - 188-199 Importance of style diversification for equity country selection
by Stéphanie Desrosiers & Jean-François L'Her & Jean-François Plante - 200-214 Quadratic programming for portfolio planning: Insights into algorithmic and computational issues
by Gautam Mitra & Frank Ellison & Alan Scowcroft - 215-225 Should private equity funds be further regulated?
by Peter Yeoh
July 2007, Volume 8, Issue 2
- 73-73 Variance, volatility swaps and hedging your equity portfolio
by Stephen E Satchell - 74-85 Capitalising on European analyst earnings estimates and recommendations during different volatility regime periods
by Andrea S Au - 86-100 An international test of the Fed model
by Samuel Aubert & Pierre Giot - 101-111 Volatility filter for index tracking and long–short market-neutral strategies
by Jia Miao - 112-122 Country-specific ETFs: An efficient approach to global asset allocation
by Joëlle Miffre - 123-132 Can mutual funds time investment styles?
by Laurens Swinkels & Liam Tjong-A-Tjoe - 133-145 Asset allocation by using the Sharpe rule: How to improve an existing portfolio by adding some new assets?
by Kwok Wai Yu & Xiao Qi Yang & Heung Wong
May 2007, Volume 8, Issue 1
- 1-8 An examination of alternative portfolio rebalancing strategies applied to sector funds
by Stanley G Eakins & Stanley Stansell - 9-23 Equity-style timing: A multi-style rotation model for the Russell large-cap and small-cap growth and value style indexes
by Bala G Arshanapalli & Lorne N Switzer & Karim Panju - 24-33 Performance and distress indicators of new public companies
by Nancy Beneda - 34-51 The effectiveness of global currency hedging after the Asian crisis
by Ludwig B Chincarini - 52-57 Do life insurance stocks provide superior returns?
by Mohammad Najand & John Griffith & David C Marlett - 58-72 Alpha budgeting — Cross-sectional dispersion decomposed
by Wallace Yu & Yazid M Sharaiha
March 2007, Volume 7, Issue 6
- 373-373 Forecasting and compulsion
by Stephen E Satchell - 374-387 Can robust portfolio optimisation help to build better portfolios?
by Bernd Scherer - 388-403 Measuring portfolio performance using a modified measure of risk
by Chris Adcock - 404-411 Sector-specific optimum asset allocation — An example for non-life insurers
by Jean-Christophe Curtillet & Mathieu Dieudonné - 412-418 Managing market risk with conditioning information
by George Famy - 419-424 The error of tracking error
by Craig L Israelsen & Gary F Cogswell - 425-428 Do style benchmarks differ?
by Vesa Puttonen & Tatu Seppä - 429-442 Impact of fund, management and market characteristics on bond mutual fund performance
by Arnold L Redman & Nell S Gullett
January 2007, Volume 7, Issue 5
- 301-301 Editorial
by Stephen E Satchell - 302-311 Mean–variance versus full-scale optimisation: In and out of sample
by Timothy Adler & Mark Kritzman - 312-324 The design of defined-contribution pension plans using a variable-contribution lifecycle programme
by Hon Cheung - 325-334 Generating optimal portfolios within the FTK framework
by Julian Coutts & Brian J W Fleming - 335-346 A mathematical statistical pricing model for emerging stock markets
by Soumitra K Mallick & Amitava Sarkar & Kalyan K Roy & Anjan Chakraborty & Tamal Duttachaudhuri - 347-357 Refinements to the Sharpe ratio: Comparing alternatives for bear markets
by Hendrik Scholz - 358-370 Are you about to handcuff your information ratio?
by Renato Staub - 371-372 Guide to Investment Strategy
by Greg N Gregoriou
September 2006, Volume 7, Issue 3
- 155-169 Funding long-term liabilities: A global perspective — CFA Institute Annual Conference
by Alan Brown - 170-178 A note on the out-of-sample performance of resampled efficiency
by Bernd Scherer - 179-189 Volatility filters for asset management: An application to managed futures
by Christian Dunis & Jia Miao - 190-207 Performance measurement with loss aversion
by Gordon Gemmill & Soosung Hwang & Mark Salmon - 208-215 Measuring investor sentiment in equity markets
by Arindam Bandopadhyaya & Anne Leah Jones - 216-241 Cash equity transaction cost analysis: State of the art … and beyond
by Catherine D'Hondt & Jean-René Giraud - 242-254 Corporate governance and earnings management and the relationship between economic value added and created shareholder value
by Ali El Mir & Souad Seboui - 255-272 Rights offerings in Spain: Effects on ex-rights stocks during the subscription period
by Consuelo Riaño & Francisco-Javier Ruiz & Rafael Santamaría - 273-290 The cross-sectional variability of stock-price returns: Country and sector effects revisited
by Michael Steliaros & Dylan C Thomas - 291-300 Asset disposition effect: The impact of price patterns and selected personal characteristics
by Alan S Wong & Bernardo J Carducci & Alan Jay White
July 2006, Volume 7, Issue 2
- 81-82 Editorial
by Reha H Tütüncü & Peter J Zangari - 83-92 Optimisation and quantitative investment management
by Arlen Khodadadi & Reha H Tütüncü & Peter J Zangari - 93-108 Improving investment performance for pension plans
by John M Mulvey & Koray D Simsek & Zhuojuan Zhang - 109-127 Incorporating estimation errors into portfolio selection: Robust portfolio construction
by Sebastián Ceria & Robert A Stubbs - 128-141 Towards reliable efficient frontiers
by Katrin Schöttle & Ralf Werner - 142-153 Semidefinite optimisation for global risk modelling
by Papa Momar Ndiaye & François Oustry & Véronique Piolle
May 2006, Volume 7, Issue 1
- 1-1 Editorial
by Stephen E Satchell - 2-16 Optimal allocation to real estate incorporating illiquidity risk
by Shaun A Bond & Soosung Hwang & Kimberley Richards - 17-21 An alternative bond relative value measure: Determining a fair value of the swap spread using Libor and GC repo rates
by Moorad Choudhry - 22-30 Advanced frequency and time domain filters for currency portfolio management
by Christian Dunis & Jia Miao - 31-48 The implications of blending specialist active equity fund management
by David R Gallagher & Peter Gardner - 49-59 Wealth management: The relative importance of asset allocation and security selection
by Walter Hlawitschka & Michael Tucker - 60-68 Pricing efficiency of exchange traded funds in Taiwan
by Ching-Chung Lin & Shih-Ju Chan & Hsinan Hsu - 69-80 Analysing digits for portfolio formation and index tracking
by Peter N Posch & Welf A Kreiner
March 2006, Volume 6, Issue 6
- 389-389 Editorial
by Stephen E Satchell - 390-405 A benchmark approach to asset management
by Eckhard Platen - 406-417 To sin or not to sin? Now that's the question
by James Chong & Monica Her & G. Michael Phillips - 418-432 Explaining US stock market returns from 1980 to 2005: Implications for the next 25 years
by Damir Tokic - 433-444 The added value of hedge funds in an asset-liability framework
by Susanne Otruba & Carmen Quesada & Stefan Scholz - 445-455 Optimisation of the largest US mutual funds using data envelopment analysis
by Greg N Gregoriou - 456-469 Decomposing the price-earnings ratio
by Keith Anderson & Chris Brooks
January 2006, Volume 6, Issue 5
- 319-319 Editorial
by Stephen E Satchell - 322-328 Do funds of funds make sense?
by Kristof Agache & Knut Huys - 329-344 Profiting from past winners and losers
by Nauzer Balsara & Lin Zheng - 345-380 Biases and information in analysts' recommendations: The European experience
by Sarah Azzi & Ron Bird & Paolo Ghiringhelli & Emanuele Rossi - 381-388 Momentum profits following bull and bear markets
by Antonios Siganos & Patricia Chelley-Steeley
December 2005, Volume 6, Issue 4
- 245-245 Editorial
by Stephen E Satchell - 248-258 Independent variable selection: Application of independent component analysis to forecasting a stock index
by Andrzej Cichocki & Stanley R Stansell & Zbigniew Leonowicz & James Buck - 259-273 Does inflation matter for equity returns?
by Salman Ahmed & Mirko Cardinale - 274-287 Does good corporate governance really work? More evidence from CalPERS
by James Nelson - 288-297 Wealth effects of American depository receipts listed on the New York Stock Exchange: The case of telecom firms
by Mark Schaub - 298-318 Seasonality in the Asia Pacific stock markets
by Noor Azuddin Yakob & Diana Beal & Sarath Delpachitra
October 2005, Volume 6, Issue 3
- 165-165 Editorial
by Stephen E Satchell - 168-190 Emerging markets of South-East and Central Asia: Do they still offer a diversification benefit?
by Christian L Dunis & Gary Shannon - 191-205 Flow-through capability: The Spanish case
by Francisco Jareño - 206-218 A multivariate dichotomic approach for tactical asset allocation
by Mathieu Roberge & Cécile Le Moigne - 219-238 Impact of fund size on hedge fund performance
by Manuel Ammann & Patrick Moerth
August 2005, Volume 6, Issue 2
- 84-84 Editorial
by Stephen E Satchell - 85-103 Countries versus industries in Europe: A normative portfolio approach
by Javier Estrada & Mark Kritzman & Simon Myrgren & Sébastien Page - 104-116 Value and growth stocks and cyclical asymmetries
by Angela J Black & David G McMillan - 117-135 Discretionary trading and the search for alpha
by Don M Chance - 136-140 A proposed fuzzy optimal control model to minimise target tracking error in a dynamic hedging problem with a multi-asset, best-of option
by Sukanto Bhattacharya & Mohammad Khoshnevisan - 141-157 Feasible high growth investment strategy: Growth optimal portfolios applied to Dow Jones stocks
by B F Hunt
June 2005, Volume 6, Issue 1
- 4-4 Editorial
by Stephen E Satchell - 5-20 Returns from active management in international equity markets: Evidence from a panel of UK pension funds
by David Blake & Allan Timmermann - 21-32 Ex post reality versus ex ante theory of the fundamental law of active management
by David J Buckle - 33-52 Cointegration portfolios of European equities for index tracking and market neutral strategies
by Christian L Dunis & Richard Ho - 53-64 Computing implied returns in a meaningful way
by Ulf Herold - 65-78 How model risk and alpha dispersion affect portfolio efficiency
by Eriks Smidchens
April 2005, Volume 5, Issue 6
- 364-364 Editorial
by Stephen E Satchell - 365-388 The case for market inefficiency: Investment style and market pricing
by Ron Bird & Xue-Zhong (Tony) He & Satish Thosar & Paul Woolley - 389-396 Why economic models fail: Examples in asset management and in risk management
by Freddy Van den Spiegel - 397-409 Style portfolio performance: Empirical evidence from the Spanish equity funds
by Luis Ferruz & Luis Vicente - 410-422 Actively managing tracking error
by Curt Burmeister & Helmut Mausser & Rafael Mendoza - 423-427 A refinement to the Sharpe ratio and information ratio
by Craig Israelsen - 428-437 A note on portfolio performance attribution: Taking risk into account
by Philippe Bertrand - 438-439 Asset and Liability Management Tools: A Handbook for Best Practice
by Sally Bridgeland
February 2005, Volume 5, Issue 5
- 292-292 Editorial
by Stephen E Satchell - 293-304 Whither active management?
by Charles Jackson - 305-326 Optimal trading frequency for active asset management: Evidence from technical trading rules
by Christian L Dunis & Jia Miao - 327-337 Managing an asset management firm's risk portfolio
by Nancy Beneda - 338-350 Risk management for asset managers: A test of relative VaR
by Davide Maspero & Francesco Saita - 351-359 Investing pension funds as if the long term really did matter
by Sally Bridgeland
December 2004, Volume 5, Issue 4
- 220-222 Editorial
by Kimberly Gluck & Ying Becker - 223-229 Expectations, outcomes and risk
by Paul Bostock - 230-250 Alternative valuation techniques for predicting UK stock returns
by Christian Dunis & Declan Reilly - 251-262 Do currencies influence the stock prices of companies?
by Erik Kroon & Olaf van Veen - 263-271 Short-term and long-term performance of IPOs and SEOs traded as American depository receipts: Does timing matter?
by Mark Schaub & Michael J. Highfield - 272-276 Lagged factors affecting Berkshire Hathaway returns
by Robert Christopherson & Greg Gregoriou - 277-288 Literature survey of measurement of risk: The value premium
by Oluwatobi Oyefeso
October 2004, Volume 5, Issue 3
- 148-148 Editorial
by Stephen E Satchell - 149-156 Good corporate governance works: More evidence from CalPERS
by Mark Anson & Ted White & Ho Ho - 157-175 The performance of value and momentum investment portfolios: Recent experience in the major European markets Part 2
by Ron Bird & Jonathan Whitaker - 176-191 Expect something sensible: Putting US returns in an international perspective
by Roelof Salomons - 192-202 How to profit from mean reverting risk premiums? Implications for stock selection
by Olaf Stotz - 203-216 Portfolio formations can affect asset pricing tests
by Ingrid Lo
August 2004, Volume 5, Issue 2
- 76-76 Editorial
by Stephen Satchell - 77-90 How do US and Japanese investors process information, and how do they form their expectations of the future? Evidence from quantitative survey based data
by Patricia Fraser - 91-104 Empirical evidence on corporate governance in Europe: The effect on stock returns, firm value and performance
by Rob Bauer & Nadja Guenster & Rogér Otten - 105-119 Active bond strategies: What link between forecasting ability, excess return and performance?
by Hubert de La Bruslerie - 120-143 Momentum investing: A survey
by Laurens Swinkels
June 2004, Volume 5, Issue 1
- 4-4 Editorial
by Stephen Satchell - 5-12 An alternative route to performance hypothesis testing
by Bernd Scherer - 13-24 Risk management: Survival of the fittest
by Jarrod Wilcox - 25-36 Momentum and the FTSE 350
by Mark Ellis & Dylan C Thomas - 37-48 Forecasting the direction of change in sector stock indexes: An application of neural networks
by Stanley R Stansell & Stanley G Eakins - 49-63 A fuller theory of short selling
by Harlan Platt - 64-71 Measuring style tilting and decomposing style risk
by Theofanis Darsinos & Stephen Satchell
April 2004, Volume 4, Issue 6
- 364-366 Editorial
by Greg Radner - 367-391 Predicting extreme performers in European equities
by Ying L. Becker & Richard J. Ochman - 393-405 How to calculate breadth: An evolution of the fundamental law of active portfolio management
by David Buckle - 407-414 Risk policies for active asset managers
by Dario Brandolini & Massimiliano Pallotta & Raffaele Zenti - 415-428 Towards a goal programming methodology for constructing equity mutual fund portfolios
by Konstantina Pendaraki & Michael Doumpos & Constantin Zopounidis - 429-430 Integrated wealth management: ‘The new direction’ for portfolio managers
by Greg N. Gregorion
October 2003, Volume 4, Issue 5
- 292-292 Editorial
by Stephen Satchell - 293-307 Region, sector and style selection in global equity markets
by Ronald van Dijk & Tjeert Keijzer - 308-317 The long-term performance of UK stocks after making rights issues
by Simon Harris - 318-325 Time and the payoff to value investing
by Roland Rousseau & Paul van Rensburg - 326-333 On the information ratio of tactical asset allocation
by Mark Lundin - 334-347 Explaining the cross-section of returns in South Africa: Attributes or factor loadings?
by Paul van Rensburg & Michael Robertson - 348-360 An analysis of the equity risk premium
by Rakesh Bali & Hany Guirguis
December 2003, Volume 4, Issue 4
- 220-220 Editorial — Benchmark Issues
by Stephen Satchell - 221-246 The performance of value and momentum investment portfolios: Recent experience in the major European markets
by Ron Bird & Jonathan Whitaker - 247-257 Estimating free cash flows and valuing a growth company
by Nancy L Beneda - 258-276 How did the Dow do today?
by Paul J Haensly - 277-287 GARCH models with changes in variance: An approximation to risk measurements
by Vicent Aragó & Ángeles Fernández-Izquierdo
September 2003, Volume 4, Issue 3
- 148-151 Editorial — Saving social security
by Franco Modigliani & Arun Muralidhar - 152-172 Selecting a risk-adjusted shareholder performance measure
by Christian S Pedersen & Ted Rudholm-Alfvin - 173-198 Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations
by Nikolaus Hautsch & Joachim Inkmann