Portfolio Construction Measurement and Efficiency Essays in Honor of Jack Treynor 1st Edition by John B Guerard ISBN 3319816454 978-3319816456

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Product details:

ISBN 10: 3319816454 

ISBN 13: 978-3319816456 

Author: John B. Guerard 

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.

Table of contents:

1. The Theory of Risk Return and Performance Measurement

2. Origins: Markowitz and CAPM Based Selection

3. Market Timing

4. Returns, Risk, Portfolio Selection and Evaluation

5. Validating Return-Generating Models

6. Invisible Costs and Profitability

7. Mean-ETL Portfolio Construction in US Equity Market

8. Statistical Issues and Methods for Improvement

9. The Duality of Value and Mean Reversion

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

11. Alpha Construction in a Consistent Investment Process

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

13. Measurement When Fundamentals Are Observable

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

15. Evaluating DFA, WisdomTree, and RAFI PowerShares

16. Time-Series and Cross-Sectional Analysis versus Constant Elasticity of Variance (CEV) Model

17. The Losers and the Winners

18. Leveling the Playing Field

19. The Investment Performance of Contrarian Funds

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Tags: John B Guerard, Portfolio Construction, Measurement and Efficiency, Essays in Honor of Jack Treynor