Performance measurement
- Factor Investing with Classification-Based Supervised Machine LearningEdward N. W. Aw, Joshua Jiang and John Q. JiangThe Journal of Investing January 2022, joi.2022.1.220; DOI: https://doi.org/10.3905/joi.2022.1.220
- The Interaction of Short-Term Reversal and Momentum StrategiesZhaobo Zhu and Kenneth YungThe Journal of Portfolio Management May 2016, 42 (4) 96-107; DOI: https://doi.org/10.3905/jpm.2016.42.4.096
- A Simple Procedure for Combining Expert Opinion with Statistical Estimates to Achieve Superior Portfolio PerformanceMark H.A. Davis and Sébastien LleoThe Journal of Portfolio Management May 2016, 42 (4) 49-58; DOI: https://doi.org/10.3905/jpm.2016.42.4.049
- The Risk of PremiumsJuan Ignacio GaratThe Journal of Portfolio Management May 2016, 42 (4) 108-115; DOI: https://doi.org/10.3905/jpm.2016.42.4.108
- Seeking Alpha? It’s a Bad Guideline for Portfolio OptimizationMoshe Levy and Richard RollThe Journal of Portfolio Management July 2016, 42 (5) 107-112; DOI: https://doi.org/10.3905/jpm.2016.42.5.107
- Classifying and Measuring the Performance of Socially Responsible Mutual FundsMeir Statman and Denys GlushkovThe Journal of Portfolio Management January 2016, 42 (2) 140-151; DOI: https://doi.org/10.3905/jpm.2016.42.2.140
- The Folly of Blame: Why Investors Should Care About Their Managers’ CultureJason Hsu, Jim Ware and Chuck HeisingerThe Journal of Portfolio Management April 2015, 41 (3) 23-34; DOI: https://doi.org/10.3905/jpm.2015.41.3.023
- The Divergence of High- and Low-Frequency Estimation: Implications for Performance MeasurementWill Kinlaw, Mark Kritzman and David TurkingtonThe Journal of Portfolio Management April 2015, 41 (3) 14-21; DOI: https://doi.org/10.3905/jpm.2015.41.3.014
- Illuminating Hedge Fund Returns to Improve Portfolio ConstructionPeter MladinaThe Journal of Portfolio Management April 2015, 41 (3) 127-139; DOI: https://doi.org/10.3905/jpm.2015.41.3.127
- Enhanced Mean–Variance Portfolios:
A Controlled Integration of Quantitative PredictorsLars Kaiser, Marco J. Menichetti and Aron VeressThe Journal of Portfolio Management July 2014, 40 (4) 28-41; DOI: https://doi.org/10.3905/jpm.2014.40.4.028
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