Policy portfolios are a fixture of institutional investment management, but they may not serve the purposes for which they are intended. A policy portfolio serves primarily as an expression of an investor's return and risk preferences. Secondarily, it serves as a benchmark for determining the...

This paper proposes a theoretical analysis on the impacts of using a suboptimal information set on the three main components used in asset pricing, namely the risk physical and neutral measures and the relative pricing kernel.The analysis is carried out by means of a portfolio optimization...

Behavioural Finance has emerged as a serious contender to the Efficient Markets Hypothesis in the study of asset pricing and capital markets. A major tenet on which it rests is the investor's aversion to loss-induced regret and the consequent tendency to hold losing stocks too long and sell...

Passive investing, particularly in emerging markets, has become an increasingly popular means of quick, “diversified” exposure to a particular segment of the markets. Defensive investors, as Benjamin Graham noted, would be best served owning a diversified list of leading companies. Yet it's...

The correlation of returns for various equity asset classes has been high. In addition, the range or "dispersion" of returns across asset classes - and across sectors within those asset classes - has been low. These factors have made it difficult for active managers to outperform. But dispersion...

Existing literature documents that cross-sectional stock returns exhibit both price momentum and earnings momentum. In this paper, we examine whether commonly used style and sector indexes also have momentum patterns. We show that style indexes exhibit strong price momentum, but little evidence...

In recent years, there has been a proliferation of alternatively weighted (“alternative beta”) indices, such as fundamentally weighted indices, equal-weighted indices and low-volatility indices. We have surveyed a broad range of alternative beta strategies that have gained significant...

In this study we consider two methods of returns based style analysis for classification of investment styles for a single asset class, US Diversified Equity Funds. We extend Sharpe's (1992) style Returns Based Style Analysis (RBSA) by forming style groups using cluster analysis and RBSA...

Value investors generally characterize themselves as the grown ups in the investment world, unswayed by perceptions or momentum, and driven by fundamentals. While this may be true, at least in the abstract, there are at least three distinct strands of value investing. The first, passive value...