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Portfolio Construction, Measurement, and Efficiency

Essays in Honor of Jack Treynor

  • Book
  • © 2017

Overview

Editors:
  1. John B. Guerard, Jr.

    1. McKinley Capital Management, Anchorage, USA

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  • Addresses topics in investment analysis and portfolio construction that are constantly being re-examined

  • Treynor is one of the most cited and influential financial writers

  • Features outstanding faculty and practitioner contributions

  • Includes supplementary material: sn.pub/extras

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Table of contents (19 chapters)

  1. Front Matter

    Pages i-xxxiii
    Download chapter PDF

  2. The Theory of Risk, Return, and Performance Measurement

    • John Guerard
    Pages 1-38

  3. Portfolio Theory: Origins, Markowitz and CAPM Based Selection

    • Phoebus J. Dhrymes
    Pages 39-48

  4. Market Timing

    • Ravi Jagannathan, Robert A. Korajczyk
    Pages 49-71

  5. Returns, Risk, Portfolio Selection, and Evaluation

    • Phoebus J. Dhrymes, John B. Guerard
    Pages 73-110

  6. Validating Return-Generating Models

    • Marshall E. Blume, Mustafa N. Gültekin, N. Bülent Gültekin
    Pages 111-134

  7. Invisible Costs and Profitability

    • Xiaoxia Lou, Ronnie Sadka
    Pages 135-153

  8. Mean-ETL Portfolio Construction in US Equity Market

    • Barret Pengyuan Shao
    Pages 155-168

  9. Portfolio Performance Assessment: Statistical Issues and Methods for Improvement

    • Bernell K. Stone
    Pages 169-228

  10. The Duality of Value and Mean Reversion

    • Noah Beck, Shingo Goto, Jason Hsu, Vitali Kalesnik
    Pages 229-238

  11. Performance of Earnings Yield and Momentum Factors in US and International Equity Markets

    • Jose Menchero, Zoltán Nagy
    Pages 239-256

  12. Alpha Construction in a Consistent Investment Process

    • Sebastián Ceria, Kartik Sivaramakrishnan, Robert A. Stubbs
    Pages 257-274

  13. Empirical Analysis of Market Connectedness as a Risk Factor for Explaining Expected Stock Returns

    • Shijie Deng, Min Sim, Xiaoming Huo
    Pages 275-289

  14. The Behaviour of Sentiment-Induced Share Returns: Measurement When Fundamentals Are Observable

    • Richard A. Brealey, Ian A. Cooper, Evi Kaplanis
    Pages 291-313

  15. Constructing Mean Variance Efficient Frontiers Using Foreign Large Blend Mutual Funds

    • Ganlin Xu, Harry Markowitz, Minyee Wang, John B. Guerard
    Pages 315-329

  16. Fundamental Versus Traditional Indexation for International Mutual Funds: Evaluating DFA, WisdomTree, and RAFI PowerShares

    • Heehyun Lim, Edward Tower
    Pages 331-353

  17. Forecasting Implied Volatilities for Options on Index Futures: Time-Series and Cross-Sectional Analysis versus Constant Elasticity of Variance (CEV) Model

    • Tzu Tai, Cheng Few Lee
    Pages 355-387

  18. The Swiss Black Swan Unpegging Bad Scenario: The Losers and the Winners

    • Sebastien Lleo, William T. Ziemba
    Pages 389-420

  19. Leveling the Playing Field

    • Jonathan B. Berk, Jules H. van Binsbergen
    Pages 421-430

  20. Against the ‘Wisdom of Crowds’: The Investment Performance of Contrarian Funds

    • Kelsey D. Wei, Russ Wermers, Tong Yao
    Pages 431-453
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Keywords

About this book

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.

Editors and Affiliations

  • McKinley Capital Management, Anchorage, USA

    John B. Guerard, Jr.

About the editor

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 first Moskowitz 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.

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