Performance Measurement

Improving U.S. Stock Return Forecasts: A “Fair-Value” CAPE Approach
Joseph Davis, Roger Aliaga-Díaz, Harshdeep Ahluwalia and Ravi Tolani
The Journal of Portfolio Management Winter 2018, 44 (3) 43-55; DOI: https://doi.org/10.3905/jpm.2018.44.3.043

Timing versus Sizing Skill in the Investment Process
Ronald J.M. Van Loon
The Journal of Portfolio Management Winter 2018, 44 (3) 25-32; DOI: https://doi.org/10.3905/jpm.2018.44.3.025

Does Past Performance Matter in Investment Manager Selection?
Bradford Cornell, Jason Hsu and David Nanigian
The Journal of Portfolio Management Summer 2017, 43 (4) 33-43; DOI: https://doi.org/10.3905/jpm.2017.43.4.033

A Century of Evidence on Trend-Following Investing
Brian Hurst, Yao Hua Ooi and Lasse Heje Pedersen
The Journal of Portfolio Management Fall 2017, 44 (1) 15-29; DOI: https://doi.org/10.3905/jpm.2017.44.1.015

Donuts: A Picture of Optimization Applied to Fundamental Portfolios
Ian Domowitz and Ameya Moghe
The Journal of Portfolio Management Winter 2018, 44 (3) 103-113; DOI: https://doi.org/10.3905/jpm.2018.44.3.103

Deconstructing Execution Cost and Risk
Lada Kyj and Bayao Zheng
The Journal of Trading Fall 2017, 12 (4) 29-37; DOI: https://doi.org/10.3905/jot.2017.12.4.029

Quantifying Backtest Overfitting in Alternative Beta Strategies
Antti Suhonen, Matthias Lennkh and Fabrice Perez
The Journal of Portfolio Management Winter 2017, 43 (2) 90-104; DOI: https://doi.org/10.3905/jpm.2017.43.2.090

“Super Growth” Stocks
Wai Mun Fong
The Journal of Investing Summer 2018, 27 (2) 22-28; DOI: https://doi.org/10.3905/joi.2018.27.2.022

The Impact on Stock Returns of Crowding by Mutual Funds
Ligang Zhong, Xiaoya (Sara) Ding and Nicholas S.P. Tay
The Journal of Portfolio Management Summer 2017, 43 (4) 87-99; DOI: https://doi.org/10.3905/jpm.2017.43.4.087

Factors Timing Factors
Wai Lee
The Journal of Portfolio Management Special QES Issue 2017, 43 (5) 66-71; DOI: https://doi.org/10.3905/jpm.2017.43.5.066

Risk-Adjusted Performance of the Largest Active ETFs
Kristine L. Beck, James Chong and G. Michael Phillips
The Journal of Wealth Management Winter 2017, 20 (3) 52-63; DOI: https://doi.org/10.3905/jwm.2017.20.3.052

Yields versus Expected Returns of Corporate Bonds: Some Unexpected Results
Natalia A. Beliaeva, Rachel (Kyungyeon) Koh and Sanjay K. Nawalkha
The Journal of Fixed Income Winter 2018, 27 (3) 37-53; DOI: https://doi.org/10.3905/jfi.2018.27.3.037