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The Journal of Investing
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Published on May 9, 2019in The Journal of Investing
Sequence risk is a subtle risk factor retirement investment managers face that can hinder their plans for success. This paper illustrates the damaging effects that sequence risk can have on retirement plans and how asset volatility can exacerbate this risk. The study analyzes an asset-centric approach that utilizes low-volatility assets to mitigate sequence risk, as their diminished volatility implies more certainty for retirement plans. It further examines the return/risk profiles of four candi...
Published on May 9, 2019in The Journal of Investing
Julia Klevak1
Estimated H-index: 1
,
Joshua Livnat26
Estimated H-index: 26
+ 1 AuthorsKate Suslava1
Estimated H-index: 1
The effect a trade war would have on corporate America is a widely disputed hot topic. On one hand, the trade dispute may discourage abusive trade practices by foreign companies; on the other, it may hurt American exporters, raise costs for manufacturers, and interrupt companies’ supply chains. We shed some light on this question by examining the language of earnings call transcripts in the April-August 2018 period, the earliest voluntary disclosure by US companies to communicate their views on ...
Published on May 10, 2019in The Journal of Investing
Gary Smith18
Estimated H-index: 18
Black-box algorithms now account for nearly a third of all U. S. stock trades. It is a mistake to think that these algorithms possess superhuman intelligence. In reality, computers do not have the common sense and wisdom that humans have accumulated by living. Trading algorithms are particularly dangerous because they are so efficient at discovering statistical patterns—but so utterly useless in judging whether the discovered patterns are meaningful. TOPICS: Quantitative methods, risk management
Published on May 9, 2019in The Journal of Investing
Andrew Clare21
Estimated H-index: 21
,
James Seaton9
Estimated H-index: 9
+ 1 AuthorsStephen Thomas22
Estimated H-index: 22
We investigate the relationship among Value, Growth, and two forms of Momentum across a wide range of developed and emerging international equity markets using MSCI total return “smart beta” indexes. As anticipated, Value generally beats Growth. A distinction is then made between relative momentum, where assets are ranked according to their performance against each other, and absolute momentum (sometimes known as trend following), where assets are categorized according to whether they have recen...
Published on May 9, 2019in The Journal of Investing
Jürgen Vandenbroucke1
Estimated H-index: 1
The article gives a qualitative description of an advisory or discretionary investment process that manages the emotional aspect of investing. Portfolios are adaptive, meaning they automatically adjust their allocation in response to changing market conditions. The adjustments are model-based and transparent, and align in terms of frequency and magnitude with the investor’s emotionality. The process looks beyond the risk-focused paradigm in relation to investor profiling, product positioning, an...
Published on May 22, 2019in The Journal of Investing
EstradaJavier17
Estimated H-index: 17
A bucket approach, which broadly consists of parking a few years of annual withdrawals safely in cash and investing the rest of the portfolio more aggressively, is a popular strategy often recommended by financial planners and typically embraced by retirees. Although this strategy is not devoid of merit, the comprehensive evidence discussed here, from 21 countries over a 115-year period, questions its effectiveness. In fact, simple static strategies, which by definition involve periodic rebalanc...
Published on May 11, 2019in The Journal of Investing
Wei Du , Haizhi Wang8
Estimated H-index: 8
,
Jianrong Wang
In this paper, we document evidence that intra-industry uncertainty has a positive relation with firm valuation. Specifically, the reduction of intra-industry uncertainty about firm future profitability leads to a decline of firm ME/BE ratios over time. We find that the positive relation is more prominent for firms in high-tech sectors and those with intensive product market competition. Our results are robust to the control of firm-level uncertainty and alternative measures of intra-industry un...
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