Frank Fabozzi interviewed Joanne Hill of Bear Creek Advisory about her key issues concerning ETFs, options, and derivatives and about her extensive experience both on Wall Street and in academia. Dr. Hill discusses how she got started in finance, her early work with derivatives, liquidity risk, investment horizons, volatility, correlations, and other topics. A video recording of the complete interview is available on the PMR website at https://www.pm-research.com/conversationswith-joanne.
弗兰克•法博齐采访了Bear Creek Advisory的乔安妮•希尔，讨论了她在etf、期权和衍生品方面的关键问题，以及她在华尔街和学术界的丰富经验。希尔博士讨论了她是如何开始从事金融工作的，以及她在衍生品、流动性风险、投资视野、波动性、相关性和其他主题方面的早期工作。完整采访的视频记录可在PMR网站https://www.pm-research.com/conversationswith-joanne上获得。
{"title":"Practical Applications of Joanne Hill – Conversation with Frank Fabozzi","authors":"F. Fabozzi","doi":"10.3905/pa.9.2.451","DOIUrl":"https://doi.org/10.3905/pa.9.2.451","url":null,"abstract":"Frank Fabozzi interviewed Joanne Hill of Bear Creek Advisory about her key issues concerning ETFs, options, and derivatives and about her extensive experience both on Wall Street and in academia. Dr. Hill discusses how she got started in finance, her early work with derivatives, liquidity risk, investment horizons, volatility, correlations, and other topics. A video recording of the complete interview is available on the PMR website at https://www.pm-research.com/conversationswith-joanne.","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126665872","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In The Life Journey of Wealthy Women: Evolving Experiences Around Money, Work, Family, and Life Choices of Ultrawealthy Women, which appears in the Winter 2020 issue of The Journal of Wealth Management, authors Fredda Herz Brown (Relative Solutions) and Dennis Jaffe (Wise Counsel Research) explore the unique ways women from three different wealth origins—inherited, self-created, and through marriage—understand their affluence. Some commonalities observed include a view of wealth as a means to pursue self-actualization, upbringings that emphasized traditional views of a woman’s role, a commitment to gender parity and instilling these values in their children, and a positive relationship between wealthy women and their fathers. TOPIC: Wealth management
{"title":"Practical Applications of The Life Journey of Wealthy Women: Evolving Experiences Around Money, Work, Family, and Life Choices of Ultrawealthy Women","authors":"Fredda Herz Brown, D. Jaffe","doi":"10.3905/pa.9.2.450","DOIUrl":"https://doi.org/10.3905/pa.9.2.450","url":null,"abstract":"In The Life Journey of Wealthy Women: Evolving Experiences Around Money, Work, Family, and Life Choices of Ultrawealthy Women, which appears in the Winter 2020 issue of The Journal of Wealth Management, authors Fredda Herz Brown (Relative Solutions) and Dennis Jaffe (Wise Counsel Research) explore the unique ways women from three different wealth origins—inherited, self-created, and through marriage—understand their affluence. Some commonalities observed include a view of wealth as a means to pursue self-actualization, upbringings that emphasized traditional views of a woman’s role, a commitment to gender parity and instilling these values in their children, and a positive relationship between wealthy women and their fathers. TOPIC: Wealth management","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125373467","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In Sales Dispersion: A Robust Factor to Consider to Achieve Alpha, from the Spring 2021 issue of The Journal of Wealth Management, authors Andrew Cohen (of Old Dominion University) and Feng Dong (of Siena College) examine the benefits of using sales forecast dispersion for predicting future stock performance. They hypothesize that companies with lower sales dispersion use strategies to optimize production, inventory control, and distribution channels, which eventually leads to long-term profitability. The authors find that the lower the analyst sales dispersion, the bigger the forecasting edge and the higher the probability of generating significant alpha. They conclude that sales dispersion is significantly more robust in predicting future stock performance than earnings dispersion. TOPICS: Performance measurement, analysis of individual factors/risk premia, wealth management
《财富管理杂志》(the Journal of Wealth Management) 2021年春季号的《销售离散度:实现Alpha的一个重要因素》(Sales Dispersion: A Robust Factor to Consider to Achieve Alpha)一文的作者安德鲁·科恩(Old Dominion University)和锡耶纳学院(Siena College)的董峰(Feng Dong)研究了使用销售预测离散度预测未来股票表现的好处。他们假设，销售分散程度较低的公司使用策略来优化生产、库存控制和分销渠道，最终导致长期盈利。作者发现，分析师的销售离散度越低，预测边缘越大，产生显著alpha的概率越高。他们得出的结论是，在预测未来股票表现方面，销售分散度明显比盈利分散度更为稳健。主题:绩效评估、个人因素/风险溢价分析、财富管理
{"title":"Practical Applications of Sales Dispersion: A Robust Factor to Consider to Achieve Alpha","authors":"Andrew H. Cohen, Feng Dong","doi":"10.3905/pa.9.2.445","DOIUrl":"https://doi.org/10.3905/pa.9.2.445","url":null,"abstract":"In Sales Dispersion: A Robust Factor to Consider to Achieve Alpha, from the Spring 2021 issue of The Journal of Wealth Management, authors Andrew Cohen (of Old Dominion University) and Feng Dong (of Siena College) examine the benefits of using sales forecast dispersion for predicting future stock performance. They hypothesize that companies with lower sales dispersion use strategies to optimize production, inventory control, and distribution channels, which eventually leads to long-term profitability. The authors find that the lower the analyst sales dispersion, the bigger the forecasting edge and the higher the probability of generating significant alpha. They conclude that sales dispersion is significantly more robust in predicting future stock performance than earnings dispersion. TOPICS: Performance measurement, analysis of individual factors/risk premia, wealth management","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122046653","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Has one of the most vexing problems of mathematical finance been solved? In The Free Boundary of the American Put, from the Winter 2020 issue of The Journal of Derivatives, author Thomas Little (of Hard Analytics in Houston) says he has done exactly that, presenting an analytic formula to determine the early expiry boundary curve for American put options more quickly and accurately than has been possible in the past. Unlike European-style put options, which may be exercised only on or near their expiration dates, American puts may be exercised at any time prior to expiration. Most American puts are, in fact, held until expiration, but traders may exercise a put early for any of a number of reasons. If the early expiry boundary curve could be accurately calculated, thus determining the critical asset price at or below which a put should be exercised to avoid arbitrage, traders could more confidently make early expiry decisions and time their trades. Little says that his formula provides that curve accurately along the full time line of the option. The next step will be to back test a portfolio of American put options during several market cycles to see whether the use of Little’s formula would have produced better outcomes than those achieved with current practices. TOPICS: Options, fundamental equity analysis, statistical methods
数学金融学中最棘手的问题之一已经解决了吗?《衍生品杂志》(The Journal of Derivatives) 2020年冬季版的《美国看跌期权的自由边界》(The Free Boundary of The American Put)一书的作者托马斯•利特尔(Thomas Little)表示，他正是这样做的，他提出了一个分析公式，以比过去更快、更准确地确定美国看跌期权的提前到期边界曲线。欧式看跌期权只能在到期日或临近到期日行使，而美式看跌期权可以在到期日之前的任何时间行使。事实上，大多数美国看跌期权在到期前都是持有的，但交易者可能出于多种原因提前行使看跌期权。如果能够准确地计算出提前到期边界曲线，从而确定执行看跌期权以避免套利的关键资产价格，交易者就可以更自信地做出提前到期的决定并选择交易时间。利特尔说，他的公式提供了沿着期权的整个时间线准确的曲线。下一步将是在几个市场周期内对美国看跌期权投资组合进行回测，看看使用利特尔公式是否会比目前的做法产生更好的结果。主题:期权，基本股票分析，统计方法
{"title":"Practical Applications of The Free Boundary of the American Put","authors":"T. Little","doi":"10.3905/pa.9.2.444","DOIUrl":"https://doi.org/10.3905/pa.9.2.444","url":null,"abstract":"Has one of the most vexing problems of mathematical finance been solved? In The Free Boundary of the American Put, from the Winter 2020 issue of The Journal of Derivatives, author Thomas Little (of Hard Analytics in Houston) says he has done exactly that, presenting an analytic formula to determine the early expiry boundary curve for American put options more quickly and accurately than has been possible in the past. Unlike European-style put options, which may be exercised only on or near their expiration dates, American puts may be exercised at any time prior to expiration. Most American puts are, in fact, held until expiration, but traders may exercise a put early for any of a number of reasons. If the early expiry boundary curve could be accurately calculated, thus determining the critical asset price at or below which a put should be exercised to avoid arbitrage, traders could more confidently make early expiry decisions and time their trades. Little says that his formula provides that curve accurately along the full time line of the option. The next step will be to back test a portfolio of American put options during several market cycles to see whether the use of Little’s formula would have produced better outcomes than those achieved with current practices. TOPICS: Options, fundamental equity analysis, statistical methods","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116287950","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Practical Applications of The Evolution of Private Equity Fund Value","authors":"Gregory W. Brown, Hu Wendy Y., Jian Zhang","doi":"10.3905/pa.9.2.448","DOIUrl":"https://doi.org/10.3905/pa.9.2.448","url":null,"abstract":"TOPICS: Private equity, performance measurement","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124003916","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In The Bitcoin VIX and Its Variance Risk Premium, published in the Spring 2021 issue of The Journal of Alternative Investments, Carol Alexander and Arben Imeraj (both of the University of Sussex) introduce the bitcoin volatility index. CryptoCompare now streams this index every 15 seconds, under the ticker BVIN. Alexander and Imeraj are the first to investigate the bitcoin variance risk premiums and the behavior of the term structure of fair-value variance swap rates. The authors collect price data on bitcoin derivatives traded on the Deribit exchange via its application programming interface. They construct a family of indexes for different maturities using the same methodology used by CBOE’s equity volatility index, the VIX. They describe the methodology, noting that it accounts for information in volatility skews but assumes no jumps in prices. They also compare the indexes with those created with an alternative technique that does not rely on the no-jump assumption. In addition, they explore the diversification potential of bitcoin variance through correlation matrixes with other assets’ volatility indexes, realized volatilities, and other variance risk premiums. TOPICS: Currency, mutual funds/passive investing/indexing, statistical methods, performance measurement
在《另类投资杂志》(The Journal of Alternative Investments) 2021年春季刊上发表的《比特币波动率指数及其方差风险溢价》(The Bitcoin VIX and Its Variance Risk Premium)中，来自苏塞克斯大学的卡罗尔·亚历山大(Carol Alexander)和阿本·伊梅拉杰(Arben Imeraj)介绍了比特币波动指数。CryptoCompare现在每15秒流式传输一次该索引，在代码BVIN下。Alexander和Imeraj是第一个研究比特币方差风险溢价和公允价值方差掉期利率期限结构行为的人。作者通过其应用程序编程接口收集了在Deribit交易所交易的比特币衍生品的价格数据。他们使用与芝加哥期权交易所股票波动率指数(VIX)相同的方法，为不同期限构建了一系列指数。他们描述了这种方法，指出它考虑了波动性偏态的信息，但假设价格不会跃升。他们还将索引与不依赖于无跳转假设的另一种技术创建的索引进行比较。此外，他们还通过与其他资产的波动率指数、已实现波动率以及其他方差风险溢价的相关矩阵来探索比特币方差的多元化潜力。主题:货币，共同基金/被动投资/指数，统计方法，绩效评估
{"title":"Practical Applications of The Bitcoin VIX and Its Variance Risk Premium","authors":"C. Alexander, Arben Imeraj","doi":"10.3905/pa.9.2.447","DOIUrl":"https://doi.org/10.3905/pa.9.2.447","url":null,"abstract":"In The Bitcoin VIX and Its Variance Risk Premium, published in the Spring 2021 issue of The Journal of Alternative Investments, Carol Alexander and Arben Imeraj (both of the University of Sussex) introduce the bitcoin volatility index. CryptoCompare now streams this index every 15 seconds, under the ticker BVIN. Alexander and Imeraj are the first to investigate the bitcoin variance risk premiums and the behavior of the term structure of fair-value variance swap rates. The authors collect price data on bitcoin derivatives traded on the Deribit exchange via its application programming interface. They construct a family of indexes for different maturities using the same methodology used by CBOE’s equity volatility index, the VIX. They describe the methodology, noting that it accounts for information in volatility skews but assumes no jumps in prices. They also compare the indexes with those created with an alternative technique that does not rely on the no-jump assumption. In addition, they explore the diversification potential of bitcoin variance through correlation matrixes with other assets’ volatility indexes, realized volatilities, and other variance risk premiums. TOPICS: Currency, mutual funds/passive investing/indexing, statistical methods, performance measurement","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125096311","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In LBO and VC Investments in Recent Crises, published in the Spring 2021 issue of The Journal of Alternative Investments, Marcel Stark (Livingstone Partners) and Rainer Lauterbach (ISM International School of Management) investigate reasons for the outperformance of private equity (PE) funds relative to public equity. They examine leveraged buyout (LBO) and venture capital (VC) deals and deal flow to industry sectors over time. The authors focus on the dot-com crisis from 2000 to 2002 and the financial crisis from 2007 to 2009. To determine which industries may be relatively resilient to market downturns, they rank the performance of 12 industry sectors over the period studied and during the two crises. Their evidence suggests that some LBO firms and VC firms change their industry focus during crises in a manner that partially explains their outperformance relative to public equity funds. TOPICS: Private equity, financial crises and financial market history, performance measurement
在《另类投资杂志》(the Journal of Alternative Investments) 2021年春季刊上发表的《近期危机中的杠杆收购和风险投资》(LBO)一文中，马塞尔•斯塔克(Livingstone Partners)和雷纳•劳特巴赫(ISM国际管理学院)调查了私募股权基金(PE)相对于上市股票表现优于上市股票的原因。他们研究了杠杆收购(LBO)和风险投资(VC)交易以及随着时间的推移流向工业部门的交易。作者重点关注了2000年至2002年的互联网危机和2007年至2009年的金融危机。为了确定哪些行业可能对市场低迷具有相对的弹性，他们对12个行业在研究期间和两次危机期间的表现进行了排名。他们的证据表明，一些杠杆收购公司和风险投资公司在危机期间改变了他们的行业重点，这在一定程度上解释了它们相对于公共股权基金的优异表现。主题:私募股权，金融危机和金融市场历史，绩效评估
{"title":"Practical Applications of LBO and VC Investments in Recent Crises","authors":"Marcel Stark, Rainer Lauterbach","doi":"10.3905/pa.9.2.446","DOIUrl":"https://doi.org/10.3905/pa.9.2.446","url":null,"abstract":"In LBO and VC Investments in Recent Crises, published in the Spring 2021 issue of The Journal of Alternative Investments, Marcel Stark (Livingstone Partners) and Rainer Lauterbach (ISM International School of Management) investigate reasons for the outperformance of private equity (PE) funds relative to public equity. They examine leveraged buyout (LBO) and venture capital (VC) deals and deal flow to industry sectors over time. The authors focus on the dot-com crisis from 2000 to 2002 and the financial crisis from 2007 to 2009. To determine which industries may be relatively resilient to market downturns, they rank the performance of 12 industry sectors over the period studied and during the two crises. Their evidence suggests that some LBO firms and VC firms change their industry focus during crises in a manner that partially explains their outperformance relative to public equity funds. TOPICS: Private equity, financial crises and financial market history, performance measurement","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128718239","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In Should Endowments Continue to Commit to Private Investments?, from the December 2020 issue of The Journal of Investing, author Dennis Hammond (of Veriti Management in Boston) analyzes whether private equity, venture capital, and private real estate provide superior investment returns for nonprofit endowment funds. Endowments have increasingly allocated assets to private investments, due to their superior historical returns. However, these returns have slowed over the past 10 years–leading the author to question whether private investments are still worth it. Hammond uses publicly available data to calculate whether endowments have earned higher net returns from private or public investments–and whether private investments held by large or average endowments (those with more or less than $1 billion) have done better or worse. He finds that large endowments’ private investments have outperformed those of average endowments and have outperformed the S&P 500 stock index, while average-size endowments’ private investments have underperformed the S&P 500. He says this difference stems from the fact that only large endowments can afford to hire the best private investment managers. He says average-size endowments therefore should consider reallocating assets to publicly traded investments–and offers reasons why large endowments might do the same. TOPICS: Private equity, equity portfolio management, foundations & endowments, volatility measures, fundamental equity analysis, real estate, manager selection
{"title":"Practical Applications of Should Endowments Continue to Commit to Private Investments?","authors":"Dennis R. Hammond","doi":"10.3905/pa.9.2.443","DOIUrl":"https://doi.org/10.3905/pa.9.2.443","url":null,"abstract":"In Should Endowments Continue to Commit to Private Investments?, from the December 2020 issue of The Journal of Investing, author Dennis Hammond (of Veriti Management in Boston) analyzes whether private equity, venture capital, and private real estate provide superior investment returns for nonprofit endowment funds. Endowments have increasingly allocated assets to private investments, due to their superior historical returns. However, these returns have slowed over the past 10 years–leading the author to question whether private investments are still worth it. Hammond uses publicly available data to calculate whether endowments have earned higher net returns from private or public investments–and whether private investments held by large or average endowments (those with more or less than $1 billion) have done better or worse. He finds that large endowments’ private investments have outperformed those of average endowments and have outperformed the S&P 500 stock index, while average-size endowments’ private investments have underperformed the S&P 500. He says this difference stems from the fact that only large endowments can afford to hire the best private investment managers. He says average-size endowments therefore should consider reallocating assets to publicly traded investments–and offers reasons why large endowments might do the same. TOPICS: Private equity, equity portfolio management, foundations & endowments, volatility measures, fundamental equity analysis, real estate, manager selection","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125168581","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In EU Paris-Aligned and Climate Transition Benchmarks: A Case Study, from the Summer 2021 issue of The Journal of Impact and ESG Investing, authors Yang Wang, Peter Gunthorp, and David Harris (all of FTSE Russell) address the climate transition benchmarks laid out by the EU’s Commission Delegated Regulation 2020/1818 (the Benchmark Regulation). The authors use a tilt-based target exposure framework to construct portfolios to meet the new benchmarks and demonstrate their performance over a 10-year simulation period. They also use third-party assessments for corporate target-setting requirements and examine how adding those assessments affects portfolio allocations. TOPICS: ESG investing, information providers/credit ratings, portfolio construction, performance measurement
{"title":"EU Paris-Aligned and Climate Transition Benchmarks: A Case Study","authors":"Yang Wang, Y. Peter, Harris-Birtill David","doi":"10.3905/pa.9.2.449","DOIUrl":"https://doi.org/10.3905/pa.9.2.449","url":null,"abstract":"In EU Paris-Aligned and Climate Transition Benchmarks: A Case Study, from the Summer 2021 issue of The Journal of Impact and ESG Investing, authors Yang Wang, Peter Gunthorp, and David Harris (all of FTSE Russell) address the climate transition benchmarks laid out by the EU’s Commission Delegated Regulation 2020/1818 (the Benchmark Regulation). The authors use a tilt-based target exposure framework to construct portfolios to meet the new benchmarks and demonstrate their performance over a 10-year simulation period. They also use third-party assessments for corporate target-setting requirements and examine how adding those assessments affects portfolio allocations. TOPICS: ESG investing, information providers/credit ratings, portfolio construction, performance measurement","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126434794","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In The Sustainability Conundrum, from the March 2020 issue of The Journal of Portfolio Management, authors Mark Anson, Deborah Spalding, Kristofer Kwait, and John Delano (all of Commonfund) examine the portfolio construction process in environmental, social, and governance (ESG) investing. Inconsistent findings from studies attempting to empirically evaluate the value of ESG portfolios likely result in part from the lack of consistent definitions and standards associated with ESG. The authors therefore create an empirical model to calculate sustainable investing’s value, which indicates that sustainable investing produces a negative alpha relative to portfolios unconstrained by sustainable mandates. Then, they derive an “E” factor that is effective for screening both companies and asset managers as green, or environmentally sensitive. This provides an important component of an eventual factor model for sustainable investing. TOPICS: ESG investing, factor-based models
{"title":"Practical Applications of The Sustainability Conundrum","authors":"M. Anson, D. Spalding, Kristofer Kwait, J. Delano","doi":"10.3905/pa.9.2.442","DOIUrl":"https://doi.org/10.3905/pa.9.2.442","url":null,"abstract":"In The Sustainability Conundrum, from the March 2020 issue of The Journal of Portfolio Management, authors Mark Anson, Deborah Spalding, Kristofer Kwait, and John Delano (all of Commonfund) examine the portfolio construction process in environmental, social, and governance (ESG) investing. Inconsistent findings from studies attempting to empirically evaluate the value of ESG portfolios likely result in part from the lack of consistent definitions and standards associated with ESG. The authors therefore create an empirical model to calculate sustainable investing’s value, which indicates that sustainable investing produces a negative alpha relative to portfolios unconstrained by sustainable mandates. Then, they derive an “E” factor that is effective for screening both companies and asset managers as green, or environmentally sensitive. This provides an important component of an eventual factor model for sustainable investing. TOPICS: ESG investing, factor-based models","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126993518","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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