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Does Financial Distress Risk Drive the Momentum Anomaly?
Does Financial Distress Risk Drive the Momentum Anomaly?

... years prior to bankruptcy, and particularly during the last year. This suggests that the market is anticipating, but not fully incorporating (i.e., under reacting to), the deteriorating financial health of a firm. Distressed firms, therefore, experience lower past realized returns. Hong et al. (2000 ...
NBIM DIscussIoN NoTE Momentum in Futures Market
NBIM DIscussIoN NoTE Momentum in Futures Market

... We note, however, that the net exposure to the market(s) and the corresponding leverage of the strategy is not held constant in such an approach and is a by-product of the volatility-conditioned portfolio construction. Other portfolio construction techniques exist such as equal risk contribution whi ...
Time-varying risk premia and the cost of capital
Time-varying risk premia and the cost of capital

... Blanchard, 1986). In short, the fabled Q theory of investment implies that stock returns should covary positively with investment, while discount rates (expected returns) should covary negatively with investment. The difficulty with this implication is that it is scarcely apparent in aggregate data. ...
Oral Disclosure - CIBC Structured Notes
Oral Disclosure - CIBC Structured Notes

... any interest that would have been earned up until the day on which you were notified of CIBC’s decision not to proceed with the GICs. For GICs purchased using the FundSERV network and held in accounts in your Dealer’s name, CIBC will pay your Dealer the amount owing to you at maturity. The payment o ...
NBER WORKING PAPER SERIES THE EQUITY PREMIUM IN RETROSPECT Rajnish Mehra
NBER WORKING PAPER SERIES THE EQUITY PREMIUM IN RETROSPECT Rajnish Mehra

... returns. Since the annual standard deviation of the equity premium is about 20 percent, this can result in a difference of about 2 percent between the two measures, which is non - trivial since the phenomena under consideration has an arithmetic mean of between 2 and 8 percent. In Mehra and Prescott ...
Dynamic Volatility Targeting
Dynamic Volatility Targeting

Sustainable Withdrawal Rates From Your Retirement Portfolio
Sustainable Withdrawal Rates From Your Retirement Portfolio

... thus month's, withdrawal amount by the previous year’s percentage change in the consumer price index. The objective of inflation adjustment in Equation (2) is to maintain the purchasing power of the monthly withdrawal amount. As an alternative to the portfolio success rate analysis, we revised the m ...
Introduction to Portfolio Selection and Capital Market Theory: Static Analysis BaoheWang
Introduction to Portfolio Selection and Capital Market Theory: Static Analysis BaoheWang

... E{ s | Z j , j  1, 2, , n, j  s}  0 then the fraction of every efficient portfolio allocated to security s is the same and equal to zero. Proof: Suppose Z e is the return on an efficient portfolio with fraction  s  0 allocated to security s, Z be the return on a portfolio with the same fractio ...
- Free Documents
- Free Documents

... the outset. Chapter also contains some material that will be of direct interest to students, including the importance of studying investments using illustrations of the wealth that can be accumulated by compounding over long periods of time and investments as a profession. The CFA designation is dis ...
The Adequacy of Investment Choices Offered By 401(k) Plans Edwin
The Adequacy of Investment Choices Offered By 401(k) Plans Edwin

... than that reported by Huberman and Sengmuller (2003). Huberman and Sengmuller’s data sample came from 401(k) plans managed by Vanguard. Many plans restrict their offerings to one fund family. Vanguard is one of the largest mutual fund families in terms of number of funds offered. Thus it is not surp ...
Margin Credit and Stock Return Predictability
Margin Credit and Stock Return Predictability

ALLOCATING FOR IMPACT - Global social impact investment
ALLOCATING FOR IMPACT - Global social impact investment

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Summary Prospectus

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Strategy enhancement - nab asset management

... To manage risk and generate more robust returns we’ve increased our portfolios’ diversification over time by investing in riskcontrolled strategies, including the MARR strategy. It aims to generate attractive real returns (that is, returns above inflation) over a period of several years. At the same ...
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JOIM - CSInvesting

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Investment Guide - REST Industry Super

... ‘Investment Guide’ is incorporated by reference material which forms part of the ‘REST Super Product Disclosure Statement’ (PDS), REST Select Product Disclosure Statement’ (PDS) and ‘Acumen Product Disclosure Statement’ (PDS) effective 1 October 2015 and ‘REST Corporate Product Disclosure Statement’ ...
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Sample chapter - McGraw Hill Higher Education

Multi-Period Trading via Convex Optimization
Multi-Period Trading via Convex Optimization

... associated cash account. We let ht ∈ Rn+1 denote the portfolio (or vector of positions or holdings) at the beginning of time period t, where (ht )i is the dollar value of asset i at the beginning of time period t, with (ht )i < 0 meaning a short position in asset i, for i = 1, . . . , n. The portfol ...
Portfolio Comparisons. - Artex Component System
Portfolio Comparisons. - Artex Component System

Investor Sentiment and Beta Pricing
Investor Sentiment and Beta Pricing

... Specifically, in June of year t, all NYSE firms are sorted by size (price x shares outstanding) to determine decile breakpoints. Using these breakpoints, we assign all firms in the sample in year t to 10 size portfolios. To allow for variation in beta that is unrelated to size, we further subdivide ...
The Gain-Loss Spread: A New and Intuitive
The Gain-Loss Spread: A New and Intuitive

Depression Babies
Depression Babies

The Effect of Debt on the Cost of Equity in a Regulatory Setting
The Effect of Debt on the Cost of Equity in a Regulatory Setting

Chapter 28 Investment Policy and the Framework of the CFA Institute
Chapter 28 Investment Policy and the Framework of the CFA Institute

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Rate of return

In finance, return is a profit on an investment. It comprises any change in value and interest or dividends or other such cash flows which the investor receives from the investment. It may be measured either in absolute terms (e.g., dollars) or as a percentage of the amount invested. The latter is also called the holding period return.A loss instead of a profit is described as a negative return.Rate of return is a profit on an investment over a period of time, expressed as a proportion of the original investment. The time period is typically a year, in which case the rate of return is referred to as annual return.Return on investment (ROI) is return per dollar invested. It is a measure of investment performance, as opposed to size (c.f. return on equity, return on assets, return on capital employed).
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