Performance measurement
- Risk Parity: The Democratization of Risk in Asset AllocationFrancesco A. Fabozzi, Joseph Simonian and Frank J. FabozziThe Journal of Portfolio Management March 2021, jpm.2021.1.228; DOI: https://doi.org/10.3905/jpm.2021.1.228
- The Canadian Pension Fund Model: A Quantitative PortraitAlexander D. Beath, Sebastien Betermier, Chris Flynn and Quentin SpehnerThe Journal of Portfolio Management March 2021, jpm.2021.1.226; DOI: https://doi.org/10.3905/jpm.2021.1.226
- Optimal Allocation to Time-Series and Cross-Sectional MomentumOlivier Schmid and Patrick WirthThe Journal of Portfolio Management February 2021, 47 (4) 160-179; DOI: https://doi.org/10.3905/jpm.2021.1.213
- Forecasting Long-Horizon Volatility for Strategic Asset AllocationMirko Cardinale, Narayan Y. Naik and Varun SharmaThe Journal of Portfolio Management February 2021, 47 (4) 83-98; DOI: https://doi.org/10.3905/jpm.2021.1.212
- Asset Allocation and Private Market InvestingJunying Shen, Ding Li, Grace (Tiantian) Qiu, Vishv Jeet, Michelle (Yu) Teng and Ki Cheong WongThe Journal of Portfolio Management February 2021, 47 (4) 71-82; DOI: https://doi.org/10.3905/jpm.2021.1.211
- 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
- Managing Portfolio VolatilityMichael Stamos and Thomas ZimmererThe Journal of Portfolio Management February 2021, 47 (4) 99-109; DOI: https://doi.org/10.3905/jpm.2021.1.207
- Tactical Asset Allocation with the Relative Total Return CAPERolando F. PeláezThe Journal of Portfolio Management February 2021, 47 (4) 180-191; DOI: https://doi.org/10.3905/jpm.2021.1.206
- 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
- Replicating Maximum Yield Annuities with US Treasury FundsJoseph R. PrendergastThe Journal of Fixed Income February 2021, jfi.2021.1.109; DOI: https://doi.org/10.3905/jfi.2021.1.109
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