Practical Applications Summary In The Pragmatics of Private Markets Investing from the 2020 Fund Manager Selection special issue of The Journal of Portfolio Management, Karl Polen, chief investment officer of the Arizona State Retirement System, provides insights on private market investing from the vantage of nearly 40 years in the industry. Polen approaches private market investing from the perspective of investing in a business, and therefore he puts the emphasis on the private equity firm’s business strategy, company culture, and employees. Ultimately, private equity firms must also have fee structures that align with investor interests. TOPIC: Manager selection
{"title":"Practical Applications of The Pragmatics of Private Markets Investing","authors":"K. Polen","doi":"10.3905/pa.8.3.405","DOIUrl":"https://doi.org/10.3905/pa.8.3.405","url":null,"abstract":"Practical Applications Summary In The Pragmatics of Private Markets Investing from the 2020 Fund Manager Selection special issue of The Journal of Portfolio Management, Karl Polen, chief investment officer of the Arizona State Retirement System, provides insights on private market investing from the vantage of nearly 40 years in the industry. Polen approaches private market investing from the perspective of investing in a business, and therefore he puts the emphasis on the private equity firm’s business strategy, company culture, and employees. Ultimately, private equity firms must also have fee structures that align with investor interests. TOPIC: Manager selection","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133102712","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}
Practical Applications Summary In Do as I Say, Not as I Do: An Analysis of Portfolio Development Recommendations Made by Financial Advisors, from the Spring 2020 issue of The Journal of Wealth Management, authors John Grable (of the University of Georgia), Amy Hubble (of Radix Financial), and Michelle Kruger (of Loras College) explore the variation of financial advisors’ asset allocations, from general best practices to hypothetical scenarios. While they find advisors’ general allocation strategies align with their scenario-specific allocations in most regards, they also discover that, in practice, advisors tend to subconsciously overweight their clients’ age and employment status. This overweighting leads to suboptimal allocation portfolios with lower risk and a higher ratio of bonds to equities. TOPICS: Portfolio construction, risk management, wealth management
{"title":"Practical Applications of Do as I Say, Not as I Do: An Analysis of Portfolio Development Recommendations Made by Financial Advisors","authors":"John E. Grable, Amy Hubble, M. Kruger","doi":"10.3905/pa.8.3.404","DOIUrl":"https://doi.org/10.3905/pa.8.3.404","url":null,"abstract":"Practical Applications Summary In Do as I Say, Not as I Do: An Analysis of Portfolio Development Recommendations Made by Financial Advisors, from the Spring 2020 issue of The Journal of Wealth Management, authors John Grable (of the University of Georgia), Amy Hubble (of Radix Financial), and Michelle Kruger (of Loras College) explore the variation of financial advisors’ asset allocations, from general best practices to hypothetical scenarios. While they find advisors’ general allocation strategies align with their scenario-specific allocations in most regards, they also discover that, in practice, advisors tend to subconsciously overweight their clients’ age and employment status. This overweighting leads to suboptimal allocation portfolios with lower risk and a higher ratio of bonds to equities. TOPICS: Portfolio construction, risk management, wealth management","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126876145","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}
Practical Applications Summary In Do as I Say, Not as I Do: An Analysis of Portfolio Development Recommendations Made by Financial Advisors, from the Spring 2020 issue of The Journal of Wealth Management, authors John Grable (of the University of Georgia), Amy Hubble (of Radix Financial), and Michelle Kruger (of Loras College) explore the variation of financial advisors’ asset allocations, from general best practices to hypothetical scenarios. While they find advisors’ general allocation strategies align with their scenario-specific allocations in most regards, they also discover that, in practice, advisors tend to subconsciously overweight their clients’ age and employment status. This overweighting leads to suboptimal allocation portfolios with lower risk and a higher ratio of bonds to equities. TOPICS: Portfolio construction, risk management, wealth management
{"title":"Practical Applications of Do as I Say, Not as I Do: An Analysis of Portfolio Development Recommendations Made by Financial Advisors","authors":"John E. Grable, Amy Hubble, M. Kruger","doi":"10.3905/pa.8.2.404","DOIUrl":"https://doi.org/10.3905/pa.8.2.404","url":null,"abstract":"Practical Applications Summary In Do as I Say, Not as I Do: An Analysis of Portfolio Development Recommendations Made by Financial Advisors, from the Spring 2020 issue of The Journal of Wealth Management, authors John Grable (of the University of Georgia), Amy Hubble (of Radix Financial), and Michelle Kruger (of Loras College) explore the variation of financial advisors’ asset allocations, from general best practices to hypothetical scenarios. While they find advisors’ general allocation strategies align with their scenario-specific allocations in most regards, they also discover that, in practice, advisors tend to subconsciously overweight their clients’ age and employment status. This overweighting leads to suboptimal allocation portfolios with lower risk and a higher ratio of bonds to equities. TOPICS: Portfolio construction, risk management, wealth management","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133567048","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}
Practical Applications Summary In The Use and Value of Financial Advice for Retirement Planning, from the Winter 2020 issue of The Journal of Retirement, W. Van Harlow, formerly of Empower Retirement; Keith Brown of the University of Texas; and Stephen Jenks of Empower Retirement examined the characteristics of individuals who received professional advice for retirement planning and the economic value of the results. The authors surveyed more than 4,000 working households to assess their demographics as well as their investment and behavioral characteristics. The results reveal that the retirement income replacement earned by advised households tends to be 15 percentage points higher than that of unadvised households. TOPICS: Retirement, quantitative methods, portfolio construction
《退休计划财务建议的使用和价值的实际应用总结》，摘自《退休杂志》2020年冬季号，W. Van Harlow，原Empower Retirement;德克萨斯大学的基思·布朗;Empower Retirement的斯蒂芬·詹克斯(Stephen Jenks)研究了接受退休计划专业建议的个人的特征和结果的经济价值。作者调查了4000多个工薪家庭，以评估他们的人口结构、投资和行为特征。结果显示，建议家庭的退休收入替代比未建议家庭高15个百分点。主题:退休，定量方法，投资组合构建
{"title":"Practical Applications of The Use and Value of Financial Advice for Retirement Planning","authors":"W. V. Harlow, K. Brown, Stephen E. Jenks","doi":"10.3905/pa.8.3.403","DOIUrl":"https://doi.org/10.3905/pa.8.3.403","url":null,"abstract":"Practical Applications Summary In The Use and Value of Financial Advice for Retirement Planning, from the Winter 2020 issue of The Journal of Retirement, W. Van Harlow, formerly of Empower Retirement; Keith Brown of the University of Texas; and Stephen Jenks of Empower Retirement examined the characteristics of individuals who received professional advice for retirement planning and the economic value of the results. The authors surveyed more than 4,000 working households to assess their demographics as well as their investment and behavioral characteristics. The results reveal that the retirement income replacement earned by advised households tends to be 15 percentage points higher than that of unadvised households. TOPICS: Retirement, quantitative methods, portfolio construction","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130583988","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}
Practical Applications Summary In The Use and Value of Financial Advice for Retirement Planning, from the Winter 2020 issue of The Journal of Retirement, W. Van Harlow, formerly of Empower Retirement; Keith Brown of the University of Texas; and Stephen Jenks of Empower Retirement examined the characteristics of individuals who received professional advice for retirement planning and the economic value of the results. The authors surveyed more than 4,000 working households to assess their demographics as well as their investment and behavioral characteristics. The results reveal that the retirement income replacement earned by advised households tends to be 15 percentage points higher than that of unadvised households. TOPICS: Retirement, quantitative methods, portfolio construction
《退休计划财务建议的使用和价值的实际应用总结》，摘自《退休杂志》2020年冬季号，W. Van Harlow，原Empower Retirement;德克萨斯大学的基思·布朗;Empower Retirement的斯蒂芬·詹克斯(Stephen Jenks)研究了接受退休计划专业建议的个人的特征和结果的经济价值。作者调查了4000多个工薪家庭，以评估他们的人口结构、投资和行为特征。结果显示，建议家庭的退休收入替代比未建议家庭高15个百分点。主题:退休，定量方法，投资组合构建
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Practical Applications Summary In And the Winner Is … A Comparison of Valuation Measures for Equity Country Allocation, from the July 2019 edition of The Journal of Portfolio Management, Adam Zaremba of the University of Dubai and Jan Szczygielski of the Newcastle Business School at Northumbria University examine the performance of 14 valuation ratios to see which are best for country-level equity allocation. They assess seven performance metrics and calculate ratios of each against both enterprise value (EV) and market equity (ME). For individual stocks, the ratio of earnings before interest, tax, depreciation, and amortization (EBITDA) to EV is consistently TOPICS: Accounting and ratio analysis, mutual funds/passive investing/indexing, emerging
2019年7月出版的《投资组合管理杂志》(the Journal of Portfolio Management)上的一篇文章《赢家是……股票国家配置的估值方法比较》中，迪拜大学的亚当·扎伦巴(Adam Zaremba)和诺森比亚大学纽卡斯尔商学院的简·什齐吉尔斯基(Jan Szczygielski)研究了14种估值比率的表现，看看哪种估值比率最适合国家层面的股票配置。他们评估七个绩效指标，并计算每个指标与企业价值(EV)和市场权益(ME)的比率。对于个股而言，息税折旧摊销前收益(EBITDA)与EV的比率始终如一。主题:会计和比率分析，共同基金/被动投资/指数，新兴市场
{"title":"Practical Applications of And the Winner Is … A Comparison of Valuation Measures for Equity Country Allocation","authors":"Z. Zaremba, J. Szczygielski","doi":"10.3905/pa.8.3.402","DOIUrl":"https://doi.org/10.3905/pa.8.3.402","url":null,"abstract":"Practical Applications Summary In And the Winner Is … A Comparison of Valuation Measures for Equity Country Allocation, from the July 2019 edition of The Journal of Portfolio Management, Adam Zaremba of the University of Dubai and Jan Szczygielski of the Newcastle Business School at Northumbria University examine the performance of 14 valuation ratios to see which are best for country-level equity allocation. They assess seven performance metrics and calculate ratios of each against both enterprise value (EV) and market equity (ME). For individual stocks, the ratio of earnings before interest, tax, depreciation, and amortization (EBITDA) to EV is consistently TOPICS: Accounting and ratio analysis, mutual funds/passive investing/indexing, emerging","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115852532","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}
Practical Applications Summary In And the Winner Is … A Comparison of Valuation Measures for Equity Country Allocation, from the July 2019 edition of The Journal of Portfolio Management, Adam Zaremba of the University of Dubai and Jan Szczygielski of the Newcastle Business School at Northumbria University examine the performance of 14 valuation ratios to see which are best for country-level equity allocation. They assess seven performance metrics and calculate ratios of each against both enterprise value (EV) and market equity (ME). For individual stocks, the ratio of earnings before interest, tax, depreciation, and amortization (EBITDA) to EV is consistently TOPICS: Accounting and ratio analysis, mutual funds/passive investing/indexing, emerging
2019年7月出版的《投资组合管理杂志》(the Journal of Portfolio Management)上的一篇文章《赢家是……股票国家配置的估值方法比较》中，迪拜大学的亚当·扎伦巴(Adam Zaremba)和诺森比亚大学纽卡斯尔商学院的简·什齐吉尔斯基(Jan Szczygielski)研究了14种估值比率的表现，看看哪种估值比率最适合国家层面的股票配置。他们评估七个绩效指标，并计算每个指标与企业价值(EV)和市场权益(ME)的比率。对于个股而言，息税折旧摊销前收益(EBITDA)与EV的比率始终如一。主题:会计和比率分析，共同基金/被动投资/指数，新兴市场
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Corey Hoffstein, Daniel “Justin” Sibears, Nathan D. Faber
Practical Applications Summary In Rebalance Timing Luck: The Difference Between Hired and Fired from the Summer 2019 issue of The Journal of Index Investing, authors Corey Hoffstein, Daniel “Justin” Sibears, and Nathan Faber (all of Newfound Research in Boston) warn that index fund managers may be overlooking a significant factor driving their investment performance: the date when they rebalance their portfolios. Rebalancing is essential to sound portfolio management, but most managers give little thought to when to do it. Hoffstein, Sibears, and Faber say that is a mistake. They introduce the concept of rebalance timing luck, showing that portfolios rebalanced in different months perform differently over time. This can mean major long-term earnings shortfalls for managers with bad rebalance timing luck. To solve this problem, the authors suggest dividing index funds into identically managed subportfolios, rebalancing the subportfolios on different dates equally spread out over the year, and then equally redistributing all of the fund’s assets across the subportfolios. They find that fund managers can substantially decrease the effects of rebalance timing luck just by dividing a fund into four subportfolios and rebalancing one per quarter—a simple way to potentially shield themselves and investors from bad rebalance timing luck. TOPICS: Mutual funds/passive investing/indexing, portfolio construction, performance measurement, statistical methods
{"title":"Practical Applications of Rebalance Timing Luck: The Difference Between Hired and Fired","authors":"Corey Hoffstein, Daniel “Justin” Sibears, Nathan D. Faber","doi":"10.3905/PA.8.2.401","DOIUrl":"https://doi.org/10.3905/PA.8.2.401","url":null,"abstract":"Practical Applications Summary In Rebalance Timing Luck: The Difference Between Hired and Fired from the Summer 2019 issue of The Journal of Index Investing, authors Corey Hoffstein, Daniel “Justin” Sibears, and Nathan Faber (all of Newfound Research in Boston) warn that index fund managers may be overlooking a significant factor driving their investment performance: the date when they rebalance their portfolios. Rebalancing is essential to sound portfolio management, but most managers give little thought to when to do it. Hoffstein, Sibears, and Faber say that is a mistake. They introduce the concept of rebalance timing luck, showing that portfolios rebalanced in different months perform differently over time. This can mean major long-term earnings shortfalls for managers with bad rebalance timing luck. To solve this problem, the authors suggest dividing index funds into identically managed subportfolios, rebalancing the subportfolios on different dates equally spread out over the year, and then equally redistributing all of the fund’s assets across the subportfolios. They find that fund managers can substantially decrease the effects of rebalance timing luck just by dividing a fund into four subportfolios and rebalancing one per quarter—a simple way to potentially shield themselves and investors from bad rebalance timing luck. TOPICS: Mutual funds/passive investing/indexing, portfolio construction, performance measurement, statistical methods","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126089588","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}
Corey Hoffstein, Daniel “Justin” Sibears, Nathan D. Faber
Practical Applications Summary In Rebalance Timing Luck: The Difference Between Hired and Fired from the Summer 2019 issue of The Journal of Index Investing, authors Corey Hoffstein, Daniel “Justin” Sibears, and Nathan Faber (all of Newfound Research in Boston) warn that index fund managers may be overlooking a significant factor driving their investment performance: the date when they rebalance their portfolios. Rebalancing is essential to sound portfolio management, but most managers give little thought to when to do it. Hoffstein, Sibears, and Faber say that is a mistake. They introduce the concept of rebalance timing luck, showing that portfolios rebalanced in different months perform differently over time. This can mean major long-term earnings shortfalls for managers with bad rebalance timing luck. To solve this problem, the authors suggest dividing index funds into identically managed subportfolios, rebalancing the subportfolios on different dates equally spread out over the year, and then equally redistributing all of the fund’s assets across the subportfolios. They find that fund managers can substantially decrease the effects of rebalance timing luck just by dividing a fund into four subportfolios and rebalancing one per quarter—a simple way to potentially shield themselves and investors from bad rebalance timing luck. TOPICS: Mutual funds/passive investing/indexing, portfolio construction, performance measurement, statistical methods
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A. Clare, James Seaton, Peter N. Smith, Stephen H. Thomas
Practical Applications Summary In When Growth Beats Value: Applying Momentum Filters to Growth and Value Portfolios, in the August 2019 edition of The Journal of Investing, Andrew Clare, James Seaton, and Stephen Thomas, all of ass Business School, City University, and Peter N. Smith of the University of York analyze momentum investing and whether simple adaptations of momentum factors can augment the performance of growth and value portfolios. They compare the returns from applying momentum-based trading rules to developed and emerging markets and to growth- and value-oriented investing. The crux of their article is a distinction between relative momentum, which ranks assets based on their performance against one another, and absolute momentum, which ranks assets based on whether they have displayed recent positive returns. The authors find that the performance gap between buying and holding a value portfolio over a growth portfolio shrinks after the application of a relative-momentum filter. They note that growth investing can generally outperform comparable value and conventional buy-and-hold strategies when investors use momentum-based rules, though value strategies can benefit as well. Trend following in particular offers significant benefits over a buy-and-hold strategy. The authors additionally find that absolute-momentum overlays deliver better returns overall than relative-momentum ones (except in the case of developed-market growth stocks), along with lower volatility and smaller drawdowns. TOPICS: Factor-based models, performance measurement, emerging
{"title":"Practical Applications of When Growth Beats Value: Applying Momentum Filters to Growth and Value Portfolios","authors":"A. Clare, James Seaton, Peter N. Smith, Stephen H. Thomas","doi":"10.3905/pa.8.2.400","DOIUrl":"https://doi.org/10.3905/pa.8.2.400","url":null,"abstract":"Practical Applications Summary In When Growth Beats Value: Applying Momentum Filters to Growth and Value Portfolios, in the August 2019 edition of The Journal of Investing, Andrew Clare, James Seaton, and Stephen Thomas, all of ass Business School, City University, and Peter N. Smith of the University of York analyze momentum investing and whether simple adaptations of momentum factors can augment the performance of growth and value portfolios. They compare the returns from applying momentum-based trading rules to developed and emerging markets and to growth- and value-oriented investing. The crux of their article is a distinction between relative momentum, which ranks assets based on their performance against one another, and absolute momentum, which ranks assets based on whether they have displayed recent positive returns. The authors find that the performance gap between buying and holding a value portfolio over a growth portfolio shrinks after the application of a relative-momentum filter. They note that growth investing can generally outperform comparable value and conventional buy-and-hold strategies when investors use momentum-based rules, though value strategies can benefit as well. Trend following in particular offers significant benefits over a buy-and-hold strategy. The authors additionally find that absolute-momentum overlays deliver better returns overall than relative-momentum ones (except in the case of developed-market growth stocks), along with lower volatility and smaller drawdowns. TOPICS: Factor-based models, performance measurement, emerging","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130768934","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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