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CFA Societies Canada

Portfolio Management Research is the definitive independent research platform for the investment management industry. PMR is powered by a community of celebrated practitioners, academics, institutional investors, and researchers, including Nobel Laureates.

Below we have collected the most popular articles from each of our journals to showcase the breadth and wewalth of research available:

 

Most popular articles

The Promises and Pitfalls of Machine Learning for Predicting Stock Returns

Edward Leung, Harald Lohre, David Mischlich, Yifei Shea and Maximilian Stroh
The Journal of Financial Data Science

Optimal Strategies for ESG Portfolios

Fabio Alessandrini and Eric Jondeau
The Journal of Portfolio Management 


A Cryptocurrency Risk-Return Analysis for Bull and Bear Regimes

Ittai Barkai, Tomer Shushi and Rami Yosef
The Journal of Alternative Investments 
 

Patience with Active Performance Cyclicality: It's Harder Than You Think

Chris Tidmore and Andrew Hon
The Journal of Investing

How Do the Volatilities of Rates Depend on Their Level? The "Universal Relationship" Revisited

Riccardo Rebonato and Amir El Aouadi
The Journal of Fixed Income 

Sustainable Investing: The Black Box of Environmental, Social, and Governance (ESG) Ratings

Subhash Abhayawansa and Shailesh Tyagi
The Journal of Wealth Management 

Price Discovery in a New Futures Market: Micro E-Mini Index Futures

Athanasios P. Fassas
The Journal of Derivatives Fall

Sustainable Investing: ESG versus SDG

Carmine De Franco, Johann Nicolle and Lan-Anh Tran
The Journal of Impact and ESG Investing

Is Your Organization Ready for the LIBOR Sunset?

Robyn Lawrence, John A. Ruddy and David Salerno
The Journal of Structured Finance

Static Indexing Beats Tactical Asset Allocation

Joseph E. McCarthy and Edward Tower
The Journal of Index Investing
An Analysis of the Performance of Target Date Funds
John B. Shoven and Daniel B. Walton
The Journal of Retirement

Practical Applications of The Bitcoin VIX and Its Variance Risk Premium
Carol Alexander and Arben Imeraj

 

 

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