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This volume, inspired by and dedicated to the work of pioneering investment analyst, Jack Treynor, addresses the issues of portfolio risk and return and how investment portfolios are measured. In a career spanning over fifty years, the primary questions addressed by Jack Treynor were: Is there an observable risk-return trade-off? How can stock selection models be integrated with risk models to enhance client returns? Do managed portfolios earn positive, and statistically significant, excess returns and can mutual fund managers time the market?
Since the publication of a pair of seminal Harvard Business Review articles in the mid-1960's, Jack Treynor has developed thinking that has greatly influenced security selection, portfolio construction and measurement, and market efficiency. Key publications addressed such topics as the Capital Asset Pricing Model and stock selection modeling and integration with risk models. Treynor also served as editor of the Financial Analysts Journal, through which he wrote many columns across a wide spectrum of topics.
This volume showcases original essays by leading researchers and practitioners exploring the topics that have interested Treynor while applying the most current methodologies. Such topics include the origins of portfolio theory, market timing, and portfolio construction in equity markets. The result not only reinforces Treynor's lasting contributions to the field but suggests new areas for research and analysis.
List of contents
Foreword #1.- Foreword #2: Jack Treynor: An Appreciation.- Foreword #3: Jack Treynor and the Q-Group.- Ch 1 The Theory of Risk, Return, and Performance Measurement.- Ch 2 Origins of Portfolio Theory: Selection and Evaluation.- Ch 3 Market Timing.- Ch 4 Returns, Risk, Portfolio Selection, and Evaluation.- Ch 5 Validating Return-Generating Models.- Ch 6 Invisible Costs and Profitability.- Ch 7 Mean-ETL Portfolio Construction in U.S. Equity Market.- Ch 8 Portfolio Performance Assessment: Statistical Issues and Methods for Improvement.- Ch 9 The Duality of Value and Mean Reversion.- Ch 10 Performance of Earnings Yield and Momentum Factors in US and International Equity Markets.- Ch 11 Alpha Construction in a Consistent Investment Process.- Ch 12 Empirical Analysis of Market Connectedness as a Risk Factor for Explaining Expected Stock Returns.- Ch 13 The Behavior of Sentiment-Induced Share Returns: Measurement when Fundamentals are Observable.- Ch 14 Constructing Mean Variance Efficient Frontiers Using Foreign Large Blend Mutual Funds.- Ch 15 Fundamental versus Traditional Indexation for International Mutual Funds.- Ch 16 Forecasting Implied Volatilities for Options on Index Futures.- Ch 17 The Swiss Black Swan Bad Scenario: Another Casualty of the Eurozone Crisis.- Ch 18 Leveling the Playing Field.- Ch 19 Uncommon Value: The Investment Performance of Contrarian Funds.
About the author
John B. Guerard, Jr., Ph.D. is Director of Quantitative Research at McKinley Capital Management, in Anchorage, Alaska. He earned his AB in Economics from Duke University, MA in Economics from the University of Virginia, MSIM from the Georgia Institute of Technology, and Ph.D. in Finance from the University of Texas, Austin. John taught at the McIntire School of Commerce, the University of Virginia, Lehigh University, and Rutgers University. John taught as an adjunct faculty member at the International University of Monaco and the University of Pennsylvania. He worked with the DAIS Group at Drexel, Burnham, Lambert, Daiwa Securities Trust Company, Vantage Global Advisors, and served on the Virtual Research team at GlobeFlex Capital. John co-managed a Japanese equity portfolio with Harry Markowitz at Daiwa Securities Trust Company. While serving as Director of Quantitative Research at Vantage Global Advisors (formerly MPT Associates), Mr. Guerard was awarded the firstMoskowitz Prize for research in socially responsible investing. Mr. Guerard has published several monographs, including
Corporate Financial Policy and R&D Management (Wiley, 2006, second edition),
Quantitative Corporate Finance (Springer, 2007, with Eli Schwartz),
The Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques (Springer, 2010), and
Introduction to Financial Forecasting in Investment Analysis (Springer, 2013). John serves an Associate Editor of the
Journal of Investing and
The International Journal of Forecasting. Mr. Guerard has published research in
The International Journal of Forecasting,
Management Science, the
Journal of Forecasting,
Journal of Investing,
Research in Finance, the
IBM Journal of Research and Development,
Research Policy, and the
Journal of the Operational Research Society.
Summary
This volume, inspired by and dedicated to the work of pioneering investment analyst, Jack Treynor, addresses the issues of portfolio risk and return and how investment portfolios are measured. In a career spanning over fifty years, the primary questions addressed by Jack Treynor were: Is there an observable risk-return trade-off? How can stock selection models be integrated with risk models to enhance client returns? Do managed portfolios earn positive, and statistically significant, excess returns and can mutual fund managers time the market?
Since the publication of a pair of seminal Harvard Business Review articles in the mid-1960’s, Jack Treynor has developed thinking that has greatly influenced security selection, portfolio construction and measurement, and market efficiency. Key publications addressed such topics as the Capital Asset Pricing Model and stock selection modeling and integration with risk models. Treynor also served as editor of the Financial Analysts Journal, through which he wrote many columns across a wide spectrum of topics.
This volume showcases original essays by leading researchers and practitioners exploring the topics that have interested Treynor while applying the most current methodologies. Such topics include the origins of portfolio theory, market timing, and portfolio construction in equity markets. The result not only reinforces Treynor’s lasting contributions to the field but suggests new areas for research and analysis.
