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Special report: Portfolio management

Publication Date : April 14, 2014

Trends in academic research are steering portfolio management to a more factor-based approach, challenging concepts of risk and return, and bringing more transparency and expectations of better performance. Investment approaches considered generators of alpha, or outperformance, now have been seen by academics as generators of beta, or market exposures and drivers of market returns.

Feature Stories

Factor-based approach gains momentum

Academics expand arsenal with addition of profitability, liquidity and carry factors.

Ibbotson: Less liquidity doesn’t mean more risk

Academic research has long influenced portfolio management, including the development of modern portfolio theory, optimizing the risk and return relationship in investing.

Acadian’s Baker explores anomaly of low-risk stocks: Returns are pretty good

Malcolm P. Baker, Robert G. Kirby Professor of Business Administration, Harvard Business School, and director of research, Acadian Asset Management LLC, Boston, finds a puzzle in the lack of arbitrage between high- and low-risk stocks.

Debate continues on underlying reason for factor investing

Academics debate the underlying reason for elements of factor-based investing, including size, value, liquidity and profitability, said Tobias J. Moskowitz, Fama Family professor of finance, University of Chicago, Booth School of Business and research consultant of AQR Capital Management LLC, Greenwich, Conn.

Web Extra Stories

Absorption ratio getting new converts

The markets currently look “resilient,” a condition that should give investors confidence to pursue aggressive risk-seeking strategies with little chance of a shock exposing them unprepared for loss, according to Mark Kritzman.

Dimensional implements profitability factor in equity strategies

At Dimensional Fund Advisors LP, “academic research is an important part of what we do,” said Jed Fogdall, vice president and co-head of portfolio management.