[The Research Foundation Review 2018 summarizes the offerings from the CFA Institute Research Foundation over the past year—books, literature reviews, workshop presentations, and other relevant material

Value at risk (VaR) and expected shortfall (ES) are popular market risk measurements. The former is not coherent but robust, whereas the latter is coherent but less interpretable, only conditionally backtestable and less robust. In this chapter, we compare an innovative artificial neural network...

We study the return predictive power of asset growth related measures in the MSCI World Universe, which includes all the developed markets. We find strong return predictive power of asset growth related measures in these markets. This power is particularly stronger for two-year total asset...

Using a sample of equities listed on the exchanges of 22 developed countries, we find that equity returns on customer industries lead the returns of supplier industries. This customer-supplier lead-lag effect is economically significant and is more pronounced for small suppliers and for supplier...

Quantitative models for stock selection and portfolio management face the challenge of determining the most efficacious factors, and how they interact, from large amounts of financial data. Genetic programming using quot;simple objectivequot; fitness functions has been shown to be an effective...

The authors found strong return predictive power for measures related to asset growth in the MSCI World Universe. The predictive power applies to abnormal returns for up to four years after the initial measurement period, is particularly strong for two-year total asset growth rates, and is...