New Research
At Portfolio Management Research we understand accessing high-quality, thought-provoking, timely research is critical to the success of your portfolios. All our articles are published online first, meaning you have immediate access to the latest financial intelligence, as soon as it is available.
Patience with Active Performance Cyclicality: It’s Harder Than You Think
Chris Tidmore and Andrew Hon
The Journal of Investing June 2021, joi.2021.1.178; DOI: https://doi.org/10.3905/joi.2021.1.178
Cover’s Rebalancing Option with Discrete Hindsight Optimization
Alex Garivaltis
The Journal of Derivatives Winter 2021, jod.2021.1.135; DOI: https://doi.org/10.3905/jod.2021.1.135
Factor Modeling: The Benefits of Disentangling Cross-Sectionally for Explaining Stock Returns
Bruce I. Jacobs and Kenneth N. Levy
The Journal of Portfolio Management May 2021, jpm.2021.1.240; DOI: https://doi.org/10.3905/jpm.2021.1.240
Testing and Mapping an Empirical Exercise Boundary for the American Put Option
Joseph M. Pimbley
The Journal of Derivatives Fall 2021, jod.2021.1.134; DOI: https://doi.org/10.3905/jod.2021.1.134
A Cryptocurrency Risk–Return Analysis for Bull and Bear Regimes
Ittai Barkai, Tomer Shushi and Rami Yosef
The Journal of Alternative Investments Summer 2021, jai.2021.1.131; DOI: https://doi.org/10.3905/jai.2021.1.131
Municipal Bond Mutual Fund Performance and Active Share
Joshua A. Gurwitz, David M. Smith and Gerhard Van de Venter
The Journal of Investing June 2021, joi.2021.1.177; DOI: https://doi.org/10.3905/joi.2021.1.177
Real Economy Portfolio: The Market Risk Premium as a Source of Alpha
Gerald Garvey
The Journal of Portfolio Management May 2021, jpm.2021.1.239; DOI: https://doi.org/10.3905/jpm.2021.1.239
Volatility Targeting: The Bridge Between Options-Based and Traditional Defensive Strategies
Ryan Poirier
The Journal of Portfolio Management May 2021, jpm.2021.1.238; DOI: https://doi.org/10.3905/jpm.2021.1.238
Price Discovery in a New Futures Market: Micro E-Mini Index Futures
Athanasios P. Fassas
The Journal of Derivatives Fall 2021, jod.2021.1.131; DOI: https://doi.org/10.3905/jod.2021.1.131
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 Spring 2021, jfds.2021.1.062; DOI: https://doi.org/10.3905/jfds.2021.1.062
Neural Networks, the Treasury Yield Curve, and Recession Forecasting
Michael Puglia and Adam Tucker
The Journal of Financial Data Science Spring 2021, jfds.2021.1.061; DOI: https://doi.org/10.3905/jfds.2021.1.061
Pricing and Hedging Options on Assets with Options on Related Assets
Dilip B. Madan and King Wang
The Journal of Derivatives Fall 2021, jod.2021.1.132; DOI: https://doi.org/10.3905/jod.2021.1.132
Municipal Bond Mutual Fund Performance and Active Share
Joshua A. Gurwitz, David M. Smith and Gerhard Van de Venter
The Journal of Investing June 2021, joi.2021.1.177; DOI: https://doi.org/10.3905/joi.2021.1.177
Optimal Strategies for ESG Portfolios
Fabio Alessandrini and Eric Jondeau
The Journal of Portfolio Management May 2021, jpm.2021.1.241; DOI: https://doi.org/10.3905/jpm.2021.1.241
Foreign Revenue: A New World of Risk Exposures
David Blanchett
The Journal of Portfolio Management May 2021, jpm.2021.1.237; DOI: https://doi.org/10.3905/jpm.2021.1.237
Geometric Mean Maximization: A Note on Expected, Observed, and Simulated Performance
Ken Johnston and John Hatem
The Journal of Investing June 2021, joi.2021.1.175; DOI: https://doi.org/10.3905/joi.2021.1.175
Volatility, Earnings, and Multiples
Carmine De Franco
The Journal of Investing June 2021, joi.2021.1.174; DOI: https://doi.org/10.3905/joi.2021.1.174
Undervaluation of Employee Satisfaction
Umut Celiker, Jaideep Chowdhury and Gokhan Sonaer
The Journal of Investing June 2021, joi.2021.1.173; DOI: https://doi.org/10.3905/joi.2021.1.173
Bias Correction for Bond Option Greeks via Jackknife
Jinyu Zhang, Kang Gao and Yong Li
The Journal of Derivatives Fall 2021, jod.2021.1.129; DOI: https://doi.org/10.3905/jod.2021.1.129
Do Advisors Improve 401(k) Plans?
David Blanchett
The Journal of Retirement Spring 2021, jor.2021.1.084; DOI: https://doi.org/10.3905/jor.2021.1.084
An Analysis of the Performance of Target Date Funds
John B. Shoven and Daniel B. Walton
The Journal of Retirement Spring 2021, jor.2021.1.084; DOI: https://doi.org/10.3905/jor.2021.1.084
An Arbitrage-Free Real-World Model for Fractional Option Prices
Holger Fink
The Journal of Derivatives Fall 2021, jod.2021.1.128; DOI: https://doi.org/10.3905/jod.2021.1.128
Bridging the Gap between Strategic Allocation and Investment Risk
Redouane Elkamhi, Jacky S.H. Lee and Sheikh Sadik
The Journal of Portfolio Management May 2021, jpm.2021.1.235; DOI: https://doi.org/10.3905/jpm.2021.1.235
Foreign Revenue: A New World of Risk Exposures
David Blanchett
The Journal of Portfolio Management May 2021, jpm.2021.1.237; DOI: https://doi.org/10.3905/jpm.2021.1.237
Style Rotation Revisited
John Galakis, Ioannis Vrontos and Spyridon Vrontos
The Journal of Financial Data Science Spring 2021, jfds.2021.1.059; DOI: https://doi.org/10.3905/jfds.2021.1.059
Building Cross-Sectional Systematic Strategies by Learning to Rank
Daniel Poh, Bryan Lim, Stefan Zohren and Stephen Roberts
The Journal of Financial Data Science Spring 2021, jfds.2021.1.060; DOI: https://doi.org/10.3905/jfds.2021.1.060
Market Efficiency in ESG Indexes: Trading Opportunities
Richard Paul Gregory
The Journal of Impact and ESG Investing Summer 2021, jesg.2021.1.016; DOI: https://doi.org/10.3905/jesg.2021.1.016
EU Paris-Aligned and Climate Transition-Benchmarks: A Case Study
Yang Wang, Peter Gunthorp and David Harris
The Journal of Impact and ESG Investing Summer 2021, jesg.2021.1.017; DOI: https://doi.org/10.3905/jesg.2021.1.017
Inside the Mind of Investors During the COVID-19 Pandemic: Evidence from the StockTwits Data
Hasan Fallahgoul
The Journal of Financial Data Science Spring 2021, jfds.2021.1.058; DOI: https://doi.org/10.3905/jfds.2021.1.058
“An Index Isn’t a Fiduciary” and What That Means for Active Management
Adam L. Berger
The Journal of Index Investing Spring 2021, jii.2021.1.102; DOI: https://doi.org/10.3905/jii.2021.1.102
Calculating Outperformance in Dollars: Introducing the Excess Value Method
Avi Turetsky, Matthew Pyrz, Barry Griffiths, Joaquin Lujan and Isaac Beckel
The Journal of Portfolio Management May 2021, jpm.2021.1.234; DOI: https://doi.org/10.3905/jpm.2021.1.234
Matrix Evolutions: Synthetic Correlations and Explainable Machine Learning for Constructing Robust Investment Portfolios
Jochen Papenbrock, Peter Schwendner, Markus Jaeger and Stephan Krügel
The Journal of Financial Data Science Spring 2021, jfds.2021.1.056; DOI: https://doi.org/10.3905/jfds.2021.1.056
A Machine Learning Approach in Regime-Switching Risk Parity Portfolios
A. Sinem Uysal and John M. Mulvey
The Journal of Financial Data Science Spring 2021, jfds.2021.1.057; DOI: https://doi.org/10.3905/jfds.2021.1.057
COVID-19 Mortgage Forbearances: Drivers and Payment Behavior
Douglas McManus and Elias Yannopoulos
The Journal of Structured Finance Summer 2021, jsf.2021.1.120; DOI: https://doi.org/10.3905/jsf.2021.1.120
The Quant Crisis of 2018–2020: Cornered by Big Growth
David Blitz
The Journal of Portfolio Management May 2021, jpm.2021.1.232; DOI: https://doi.org/10.3905/jpm.2021.1.232
Diversifying Diversification: Downside Risk Management with Portfolios of Insurance Securities
Vineer Bhansali and Jeremie Holdom
The Journal of Portfolio Management May 2021, jpm.2021.1.229; DOI: https://doi.org/10.3905/jpm.2021.1.229
Sustainable Investing: The Black Box of Environmental, Social, and Governance (ESG) Ratings
Subhash Abhayawansa and Shailesh Tyagi
The Journal of Wealth Management Summer 2021, jwm.2021.1.130; DOI: https://doi.org/10.3905/jwm.2021.1.130
Can Low Retirement Savings Be Rationalized?
Jason Scott, John B. Shoven, Sita N. Slavov and John G. Watson
The Journal of Retirement Spring 2021, jor.2021.1.082; DOI: https://doi.org/10.3905/jor.2021.1.082
Equity Market Integration and Portfolio Decisions: A Study of NASDAQ USA and MSCI Emerging Markets Asia Indexes
Ritesh Patel
The Journal of Wealth Management Summer 2021, jwm.2021.1.129; DOI: https://doi.org/10.3905/jwm.2021.1.129
The Behavior of the Various Personalities of Secondary Equity Investors: Big Five Personality Model
R. Renu Isidore and C. Joe Arun
The Journal of Wealth Management Summer 2021, jwm.2021.1.128; DOI: https://doi.org/10.3905/jwm.2021.1.128
Static Indexing Beats Tactical Asset Allocation
Joseph E. McCarthy and Edward Tower
The Journal of Index Investing Spring 2021, jii.2021.1.100; DOI: https://doi.org/10.3905/jii.2021.1.100
A Closed-Form Model-Free Implied Volatility Formula through Delta Families
Zhenyu Cui, Justin Kirkby, Duy Nguyen and Stephen Taylor
The Journal of Derivatives Summer 2021, jod.2020.1.127; DOI: https://doi.org/10.3905/jod.2020.1.127
A Derivatives Pricing Model with Non-Cash Collateralization
Kazuhiro Takino
The Journal of Derivatives Fall 2021, jod.2020.1.126; DOI: https://doi.org/10.3905/jod.2020.1.126
Model Risk in Risk Analysis for No-Negative-Equity-Guarantees
Jr-Wei Huang, Sharon S. Yang and Chuang-Chang Chang
The Journal of Derivatives Summer 2021, jod.2020.1.125; DOI: https://doi.org/10.3905/jod.2020.1.125
Optimal Volatility Dependent Derivatives in the Stochastic Volatility Model
Artem Dyachenko and Marc Oliver Rieger
The Journal of Derivatives Summer 2021, jod.2020.1.122; DOI: https://doi.org/10.3905/jod.2020.1.122
The Premium Reduction of European, American, and Perpetual Log Return Options
Stephen Taylor and Jan Vecer
The Journal of Derivatives Summer 2021, jod.2020.1.115; DOI: https://doi.org/10.3905/jod.2020.1.115