Americans are rapidly losing their pensions — replaced by savings plans disguised as retirement plans.Many sponsors view defined contribution (DC) plans as the best option for retaining some of the features of a pension plan without bearing all of the costs and risks of DB. This paper explores...

Architect of the capital asset pricing model. Creator of the Sharpe ratio for investment performance analysis. One of the fathers of modern portfolio theory. Contributor to the binomial method for the valuation of options, the gradient method for asset allocation optimization, returns-based...

Under the Commodity Exchange Act, all individuals and firms (with certain exceptions) that intend to do business as futures professionals must register with the Commodity Futures Trading Commission (CFTC). The commission has authorized the National Futures Association (NFA), a self-regulatory...

This paper examines whether investors' optimism about the future economic growth affects their future investment decisions. Drawing from the insights of the theoretical literature on investment behavior, we argue that investors base their future investment decisions not only on asset-specific...

This paper presents a new transform-based approach for path-independent lattice construction for pricing American options under low-dimensional stochastic volatility models. We derive multidimensional transforms which allow us to construct efficient path-independent lattices for virtually all...

This study investigates whether the relation between macro-level fund flow and market returns varies between the retail and institutional fund management markets. We find evidence of a contemporaneous relation between flow and market return for retail funds and also find evidence to support the...

After a market downturn, especially in an uncertain economic environment such as the current state, there can be a relatively long period with a sideways market, where indexes, stocks, etc., move in channels with support and resistance levels. We discuss option pricing in such scenarios, in both...

We explain in a nontechnical fashion why dollar-neutral quant trading strategies, such as equities Statistical Arbitrage, suffered substantial losses (drawdowns) during the COVID-19 market selloff. We discuss: (i) why these strategies work during "normal" times; (ii) the market regimes when they...

Motivated by a growing trend where the increasing number of conventional mutual fund families have begun to offer exchange-traded funds (ETFs), we study the effects of ETFs on the actively managed mutual funds (active funds) in the same mutual fund family. Our difference-in-difference...

We examine how active share—the extent to which a portfolio's holdings differ from its benchmark's holdings—affects the performance, risk management, and flows of bond mutual funds. Measuring active share at both the issue and issuer level, the average bond fund has an issue-level...