Exchange-traded funds and applications.
- A Key Rate Approach to Replicating Annuities with U.S. Treasury FundsJoseph R. PrendergastThe Journal of Fixed Income May 2021, jfi.2021.1.115; DOI: https://doi.org/10.3905/jfi.2021.1.115
- Overnight Return Momentum: Evidence from European MarketsArik Ben Dor and Xiaming ZengThe Journal of Portfolio Management May 2021, jpm.2021.1.247; DOI: https://doi.org/10.3905/jpm.2021.1.247
- Pricing and Hedging Options on Assets with Options on Related AssetsDilip B. Madan and King WangThe Journal of Derivatives April 2021, jod.2021.1.132; DOI: https://doi.org/10.3905/jod.2021.1.132
- Harvesting Macroeconomic Risk PremiaKyriakos Chousakos and Daniel GiamouridisThe Journal of Portfolio Management May 2020, 46 (6) 93-109; DOI: https://doi.org/10.3905/jpm.2020.1.149
- Price Discovery in a New Futures Market: Micro E-Mini Index FuturesAthanasios P. FassasThe Journal of Derivatives April 2021, jod.2021.1.131; DOI: https://doi.org/10.3905/jod.2021.1.131
- Replicating Maximum-Yield Annuities with US Treasury FundsJoseph R. PrendergastThe Journal of Fixed Income March 2021, 30 (4) 81-99; DOI: https://doi.org/10.3905/jfi.2021.1.109
- Are Exchange-Traded Notes Predictable? An Empirical Investigation of Commodity ETNsSelma IzadiThe Journal of Investing March 2021, 30 (3) 79-91; DOI: https://doi.org/10.3905/joi.2021.1.167
- Measuring Investment Skill in Multi-Asset Strategies: An Empirical Study of the Information Coefficient as Weighted Rank CorrelationSteve Q. Xia and Joseph SimonianThe Journal of Portfolio Management February 2021, 47 (4) 135-144; DOI: https://doi.org/10.3905/jpm.2021.1.208
- Active vs. Smart Beta ETFs: Two Sides of Active ManagementRajnish KumarThe Journal of Index Investing February 2021, jii.2021.1.101; DOI: https://doi.org/10.3905/jii.2021.1.101
- Static Indexing Beats Tactical Asset AllocationJoseph E. McCarthy and Edward TowerThe Journal of Index Investing February 2021, jii.2021.1.100; DOI: https://doi.org/10.3905/jii.2021.1.100
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