Sunday, December 23, 2007

Portfolio Management - 11 Practitioner Oriented Papers

From
http://www.albany.edu/ciim/practitionerspapers.htm

Abanomey, Walid S. and Mathur Ike. “International Portfolios with Commodity Futures and currency Forward Contracts.” Journal of Investing, Fall 2001 v10 i3 p61.



Abken, Peter A. “An Empirical Evaluation of Value at Risk by Scenario Simulation.” 2000, Journal of Derivatives, Volume 7, Number 4, pp. 12 – 30.



Acito, Christopher J.; Fisher, F. Peter “Fund of Hedge Funds: Rethinking Resource Requirements.” 2002, Journal of Alternative Investments, Volume 4, Number 4, pp. 25 – 35.
Agarwal, Vikas; Naik, Narayan Y. “On Taking the "Alternative" Route: The Risks, Rewards, and Performance Persistence of Hedge Funds.” 2000, Journal of Alternative Investments, Volume 2, Number 4, pp. 6 – 23.



Ahmed, Parvez; Lockwood, Larry J.; Nanda, Sudhir. “Multistyle Rotation Strategies.” 2002, Journal of Portfolio Management, Volume 28, Number 3, pp. 17 – 30.
Albanese, Claudio; Jackson, Ken; Wiberg, Petter. “Dimension Reduction in the Computation of Value-at-Risk.” 2002, Journal of Risk Finance, Volume 3, Number 4, pp. 41 – 53.



Alcantara, Silvia Dos; Duarte, Antonio Marcos, Jr. “Mean-Value-At-Risk Optimal Portfolios With Derivatives.” 1999, Derivatives Quarterly, Volume 6, Number 2, pp. 56 – 63.



Ambachtsheer, Keith P. “Public Pension Fund Power.” Journal of Portfolio Management, Winter 2001 v27 i2 p61.
Amenc, Noël; Giraud, Jean René; Martellini, Lionel; Vaissié, Mathieu. “Taking a Close Look at the European Fund of Hedge Funds Industry: Comparing and Contrasting Industry Practices and Academic Recommendations.” Journal of Alternative Investments, Winter2004, Vol. 7 Issue 3, p59-69.



Andersen, J. V.; Sornette, D. “Have Your Cake and Eat It, Too: Increasing Returns While Lowering Large Risks!” 2001, Journal of Risk Finance, Volume 2, Number 3, pp. 70 – 82.



Anderson, James A. “Searching for a pure portfolio.” Journal of Investing, New York: May 2003. Vol. 33, Iss. 10; p. 32 (1 page).



Ang, James S., Chen An-Sing., and Wuh, Lin James. “Information Sharing, Return Characteristics, and Portfolio Beta: The Case of Mutual Funds.” Journal of Investing, Fall 1999 v8 i3 p54.



Ang, Andrew and Bekaert, Geert. “How Regimes Affect Asset Allocation.” Financial Analysts Journal, Mar/Apr2004, Vol. 60 Issue 2, p86, 14p, 4 charts, 1 diagram, 7 graphs.

Anson, Mark. “Strategic versus Tactical Asset Allocation.” Journal of Portfolio Management, Winter2004, Vol. 30 Issue 2, p8, 12p.



Aragones, Jose R., Blanco, Carlos., and Mascareñas, Juan. “Active Management of Equity Investment Portfolios.” Journal of Portfolio Management, Spring 2001 v27 i3 p39.



Aragones, Jose Ramon; Blanco, Carlos; Dowd, Kevin. “Incorporating Stress Tests into Market Risk Modeling.” 2001, Derivatives Quarterly, Volume 7, Number 3, pp. 44 – 50.



Arshanapalli, Bala; Switzer, Lorne N.; Hung, Loretta T. S. “Active versus Passive Strategies for EAFE and the S&P 500.” Journal of Portfolio Management, Summer2004, Vol. 30 Issue 4, p51, 10p.


Arnott, Robert D. “Managing investments for the long term.” Financial Analysts Journal. Jul/Aug 2003. Vol. 59, Iss. 4; p. 4



Arnott, Robert D. “Risk Budgeting and Portable Alpha; 2002, Journal of Investing, Volume 11, Number 2, pp. 15 – 22.



Arshanapalli, Bala; D'ouville, Edmond; Nelson, William. “Are Size, Value, and Momentum Related to Recession Risk?” Journal of Investing, Winter2004, Vol. 13 Issue 4, p83-87.



Arvanitis, Angelo; Gregory, Jonathan; Martin, Richard. “Hedging Financial Risk Subject to Asymmetric Information.” 2000, Journal of Risk Finance, Volume 1, Number 2, pp. 9 – 18.


Asness, Clifford S.; Krail, Robert J.; Liew, John M. “Alternative Investments: Do Hedge Funds Hedge?” 2001, Journal of Portfolio Management, Volume 28, Number 1, pp. 6 – 19.



Atkinson, Stanley M. and Sturm, Ray R. “All-star mutual funds?” Journal of Investing, Summer 2003 v12 i2 p87(10).



Avramov, Doron; Chao, John; Chordia, Tarun. “Hedging Against Liquidity Risk and Short Sale Constraints.” 2002, Social Science Research Network Electronic Library.



Bares, Pierre-Antoine; Gibson, Rajna; Gyger, Sebastien. “Hedge Fund Allocation with Survival Uncertainty and Investment Constraints.” 2002, Social Science Research Network Electronic Library


Basak, Suleyman; Shapiro, Alex; Tepla, Lucie. “Risk Management with Benchmarking.” 2002, Social Science Research Network Electronic Library.
Bauer, Rob; Haerden, Roul; Molenaar, Roderick. “Asset Allocation in Stable and Unstable Times.” Journal of Investing, Fall2004, Vol. 13 Issue 3, p72-80.



Baz, Jamil., Breedon, Francis., and Naik, Vasant. “Optimal portfolios of foreign currencies: Trading on the forward bias.” Journal of Portfolio Management, Fall 2001 v28 i1 p102(10).



Beder, Tanya Styblo. “The Great Risk Hunt.” 1999, Journal of Portfolio Management, Volume 25, Number 5, pp. 28 – 34.


Belden, Susan; Waring, M. Barton. “Compared to What? A Debate on Picking Benchmarks.” 2001, Journal of Investing, Volume 10, Number 4, pp. 66 – 72.



Berenyi, Zsolt. “Measuring Hedge Fund Risk with Multi-moment Risk Measures.” 2002, Social Science Research Network Electronic Library.
Berkelaar, Arjan B.; Kobor, Adam; Tsumagari, Masaki. “The Sense and Nonsense of Risk Budgeting.” Financial Analysts Journal, Sep/Oct2006, Vol. 62 Issue 5, p63-75.

Bierman, Harold Jr. and Swaminathan, Bhaskaran. “Managing a Closed-End Investment Fund.” Journal of Portfolio Management, Summer 2000 v26 i4 p49.

Blake, Christopher R.; Morey, Matthew R. “Morningstar Ratings and Mutual Fund Performance.” 2000, Journal of Financial and Quantitative Analysis, Volume 35, Number 3.



Blank, Herbert D.; Daniel, Wayne E. “The Defensive Asset Class: A New Paradigm in Plan Diversification.” 2002, Journal of Investing, Volume 11, Number 2, pp. 66 – 75.



Blitz, David C.; Hottinga, Andiouke. “Tracking Error Allocation; 2001, Journal of Portfolio Management, Volume 27, Number 4, pp. 19 – 26.”


Bowles, Tyler J.; Lewis, W. Cris. “The Effect of Income Taxes on Optimal Portfolio Selection.” 2001, Journal of Wealth Management, Volume 4, Number 2, pp. 29 – 36.



Braccia, Joseph A. “An analysis of currency overlays for U.S. pension plans.” Journal of Portfolio Management, Fall 1995 v22 i1 p88A(6). Brown, Stephen J. and

Goetzmann, William N. “Hedge funds with style: style analysis and management are crucial to success.” Journal of Portfolio Management, Winter 2003 v29 i2 p101(12).

Browne, Sid. “The Risk and Rewards of Minimizing Shortfall Probability.” 1999, Journal of Portfolio Management, Volume 25, Number 4, pp. 76 – 85.

Brunel, Jean L.P. “The Role of Alternative Assets in Tax Efficient Portfolio Construction.” 1999, Journal of Wealth Management, Volume 2, Number 1, pp. 9 – 26.



Brush, John S. and Schock, Varilyn K. “Gradient maximization: an integrated return/risk portfolio construction procedure.” Journal of Portfolio Management, Summer 1995 v21 n4 p89(10).


Brusilovskiy, Pavel; Tilman, Leo M. “Measuring Predictive Accuracy of Value-at-Risk Models: Issues, Paradigms, and Directions.” 2001, Journal of Risk Finance, Volume 2, Number 3, pp. 83 – 91.



Buetow, Gerald W. and Johnson Robert. “Mutual Fund Asset Allocation and Federal Reserve Monetary Policy.” Journal of Investing, Summer 2001 v10 i2 p103.



Buetow, Gerald W.; Ratner, Hal. “The Dangers in Using Return Based Style Analysis in Asset Allocation.” 2000, Journal of Wealth Management, Volume 3, Number 2, pp. 26 – 38.



Buetow, Gerald W., Jr.; Johnson, Robert R.; Runkle, David E. “The Inconsistency of Return-Based Style Analysis.” 2000, Journal of Portfolio Management, Volume 26, Number 3, pp. 61 – 77.



Burke, John; Pagli, John M., Jr. “Convertible Arbitrage: A Manager's Perspective.” 1999, Journal of Alternative Investments, Volume 2, Number 1, pp. 72 – 78.



Caglayan, Mustafa Onur; Edwards, Franklin R. “Hedge Fund and Commodity Fund Investments in Bull and Bear Markets.” 2001, Journal of Portfolio Management, Volume 27, Number 4, pp. 97 – 108.



Cakici, Nusret; Foster, Kevin R. “Value at Risk for Interest Rate-Dependent Securities.” 2003, Journal of Fixed Income, Volume 12, Number 4, pp. 81 – 96.



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Capital Market Inc. “Hedge Fund Survey: Risk Management Overview.” 2000, Journal of Alternative Investments, Volume 3, Number 2, pp. 7 – 19.



Castille, Charles; Pirone, John; Waring, Barton;Whitney, Duane. “Optimizing Manager Structure and Budgeting Manager Risk.” 2000, Journal of Portfolio Management, Volume 26, Number 3, pp. 90 – 104.















Chatrath, Arjun; Liang, Youguo; McIntosh, Willard. “Can We Hedge REIT Returns?” 1999, Real Estate Finance, Volume 15, Number 4, pp. 78 – 84.





Chen, Hsiu-Lang; NJegadeesh, Narasimhan; Wermers, Russ. “The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers.” 2000, Journal of Financial and Quantitative Analysis, Volume 35, Number 3.



Chincarini, Ludwig and Daehwan, Kim. “The advantages of tax-managed investing: Avoiding the drag.” Journal of Portfolio Management, Fall 2001 v28 i1 p56(17).



Chow, Victor K. and Hulburt, Heather M. “Value, Size, and Portfolio Efficiency.” Journal of Portfolio Management, Spring 2000 v26 i3 p78.



Chow, George; Kritzman, Mark. “Value at Risk for Portfolios with Short Positions.” 2002, Journal of Portfolio Management, Volume 28, Number 3, pp. 73 – 81.



Chow, George; Kritzman, Mark; Van Royen, Anne-Sophie. “Risk Budgets: Comment.” 2001, Journal of Portfolio Management, Volume 27, Number 4, pp. 109 – 111.



Christopherson, Jon., Ding, Zhuanxin., and Greenwood, Paul. “The perils of success: The impact of asset growth on small-capitalization investment manager performance.” Journal of Portfolio Management, Winter 2002 v28 i2 p41(13).







Chung, Sam Y. “Portfolio Risk Measurement: A Review of Value at Risk.” 1999, Journal of Alternative Investments, Volume 2, Number 1, pp. 34 – 42.



Coke, Carolyn; Fothergill, Martin. “Funds of Hedge Funds: An Introduction to Multi-Manager Funds.” 2001, Journal of Alternative Investments, Volume 4, Number 2, pp. 7 – 16.







Corridon, Sean. “The effect of reduced supply of treasuries: Implications for fixed-income risk and portfolio asset allocation.” Journal of Portfolio Management, Winter 2002 v28 i2 p75(8).



Crowder, Garry; Hennessee, Lee; “Hedge Fund Indices.” 2001, Journal of Alternative Investments, Volume 4, Number 1, pp. 67 – 73.



Crowley, Paul; Purcell, Dave. “The Reality of Hedge Funds.” 1999, Journal of Investing, Volume 8, Number 3, pp. 26 – 44.



Dahlquist, Magnus ; Engström, Stefan; Söderlind, Paul. “Performance and Characteristics of Swedish Mutual Funds.” 2000, Journal of Financial and Quantitative Analysis, Volume 35, Number 3.







Davis, James L. “Mutual fund performance and manager style.” Financial Analysts Journal. Jan/Feb 2001. Vol. 57, Iss. 1; p. 19(9).



De Souza, Clifford and Gokcan, Suleyman. “Hedge Fund Investing: A Quantitative Approach to Hedge fund Manager Selection and De-Selection.” Journal of Wealth Management, Spring2004, Vol. 6 Issue 4, p52, 22p, 18 charts, 2 graphs.



Dembo, Ron S. “Mark-to-Future: A new Risk Measurement Approach.” 2000, Derivatives Quarterly, Volume 6, Number 4, pp. 42 – 49.


Dennis, Patrick; Mayhew, Stewart. “Risk-Neutral Skewness: Evidence from Stock Options.” 2002, Journal of Financial and Quantitative Analysis, Volume 37, Number 3.



Dhatt, Manjeet S.; Yong, H. Kim; Mukherji, Sandip. “Can composite value measures enhance portfolio performance?” Journal of Investing, Winter 2004 v13 i4 p42(7)



Diebold, Francis X.; Schuermann, Til; Stroughair, John D. “Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management.” 2000, Journal of Risk Finance, Volume 1, Number 2, pp. 30 – 36.









Dor, Arik Ben; Dynkin, Lev; Gould, Tony. “Style Analysis and Classification of Hedge Funds.” Journal of Alternative Investments, Fall2006, Vol. 9 Issue 2, p10-29.



Douglass, Julian; Wu, Owen; and Ziemba, William. “Stock Ownership Decisions in Defined-Contribution Pension Plans. Journal of Portfolio Management, Summer2004, Vol. 30 Issue 4, p92, 9p.



Dowd, Kevin “Assessing VaR Accuracy.” 2000, Derivatives Quarterly, Volume 6, Number 3, pp. 61 – 63.



Dowd, Kevin. “Estimating Value at Risk: A Subjective Approach.” 2000, Journal of Risk Finance, Volume 1, Number 4, pp. 43 – 46.



Dowd, Kevin. “Estimating VaR With Order Statistics.” 2001, Journal of Derivatives, Volume 8, Number 3, pp. 23 – 31.



Dowd, Kevin. “A Value at Risk Approach to Risk-Return Analysis.” 1999, Journal of Portfolio Management, Volume 25, Number 4, pp. 60 – 67.



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D'Vari, Ron; Sosa, Juan C. “Value at Risk Estimates for Brady Bond Portfolios.” 2000, Journal of Fixed Income, Volume 10, Number 3, pp. 7 – 23.



Dynkin, Lev; Hyman, Jay; Lindner, Peter. “Hedging and Replication of Fixed-Income Portfolios.” 2002, Real Estate Finance, Volume 11, Number 4, pp. 43 – 63.



Dynkin, Lev., Hyman, Jay., and Konstantinovsky, Vadim. “Sufficient diversification in credit portfolios: number of issues and downgrade risk.” Journal of Portfolio Management, Fall 2002 v29 i1 p89(26).



Eaker, Mark; Grant, Dwight M.; Woodard, Nelson. “Realized Rates of Return in Emerging Equity Markets.” 2000, Journal of Portfolio Management, Volume 26, Number 3, pp. 41 – 49.



Editors, Journal of Risk Finance. “Fundamentals of Financial Markets III.” 2001, Journal of Risk Finance, Volume 2, Number 4, pp. 60 – 61.



Edwards, Franklin R. “Do Hedge Funds Have a Future?” 1999, Journal of Alternative Investments, Volume 2, Number 2, pp. 63 – 68.



Edwards, Franklin R.; Liew, Jimmy. “Hedge Funds versus Managed Futures as Asset Classes.” 1999, Journal of Derivatives, Volume 6, Number 4, pp. 45 – 64.



El-Jahel, Lina; Perraudin, William; Sellin, Peter. “Value at Risk For Derivatives.” 1999, Journal of Derivatives, Volume 6, Number 3, pp. 7 – 26.



Ellis, Charles D. “Will Business Success Spoil the Investment Management Profession?” Journal of Portfolio Management, Spring 2001 v27 i3 p11.



Ellis, George T. “Nearly One in Three 401(k) Participants Would Use Advisors to Make Investment Choices, Nationwide Financial(SM) Study Finds; Participants report desire for professional money management services, which are picking up steam in the 401(k) industry.” Journal of Investing, Winter 2002 v11 i4 p31(7).



Elnekave, Robi. “Portfolio size: an unrecognized source of risk.” Journal of Investing, Winter 2002 v11 i4 p31(7).



Ennis, Richard M. “The Case for Whole-Stock Portfolios.” Journal of Portfolio Management, Spring 2001 v27 i3 p17.



Ennis, Richard M.; Sebastian, Michael D. “The Small-Cap Alpha Myth.” 2002, Journal of Portfolio Management, Volume 28, Number 3, pp. 11 – 16.



Estep, Preston W. “Cash flows, asset values, and investment returns: tying return forecasting to uses of cash.” Journal of Portfolio Management, Spring 2003 v29 i3 p17(12).
Fant, L. Franklin; O'Neal, Edward S. “Do You Need More than One Manager for a Given Equity Style?” 1999, Journal of Portfolio Management, Volume 25, Number 4, pp. 68 – 75.





Farber, Lawrence. “Nursing an anemic pension fund.” Medical Economics, Sept 5, 2003 v80 i17 p86(1).



Faugère, Christophe; Shawky, Hany A. and Smith, David M. “Sell Discipline and Institutional Money Management.” Journal of Portfolio Management, Spring2004, Vol. 30 Issue 3, p95, 11p.



Favre, Laurent; Galeano, Jose-Antonio “Mean-Modified Value-at-Risk Optimization with Hedge Funds.” 2002, Journal of Alternative Investments, Volume 5, Number 2, pp. 21 – 25.



Favre, Laurent; Galeano, Jose-Antonio. “An Analysis of Hedge Fund Performance Using Loess Fit Regression.” 2002, Journal of Alternative Investments, Volume 4, Number 4, pp. 8 – 24.



Fender, William E. “Why international equities belong in a diversified investment portfolio.” Journal of Investing, Winter 2002 v11 i4 p63(4).



Fender, William E. “Mutual Fund diversification” Journal of Investing, Summer 2005 v8 i3 p32 (7).



Fenghua Wang; Yexiao Xu. “What Determines Chinese Stock Returns?” Financial Analysts Journal, Nov/Dec2004, Vol. 60 Issue 6, p65-77.



Ferguson, Robert and Simaan, Yusif. “Portfolio composition and the investment horizon revisited.” Journal of Portfolio Management, Summer 1996 v22 n4 p62(6).



Ferruz, Luis; Vicente, Luis. “Style portfolio performance: Empirical evidence from the Spanish equity funds”. Journal of Asset Management, April 2005 v5 i6 p397(13).







Figlewski, S and Kon, S.J. “Portfolio Management with Stock Index Futures.” Financial Analysts Journal, November 2005 v38 p52-59.

Findlay, M.C., Williams, E.E., and Thompson, J.R. “Why we all held our breath when the market reopened: the distinction between risk and uncertainty.” Journal of Portfolio Management, Spring 2003 v29 i3 p91(11).



Finnerty, John D. “Adjusting the Binomial Model for Default Risk.” 1999, Journal of Portfolio Management, Volume 25, Number 2, pp. 93 – 104.



Fischer, Brian. “Understanding Tracking Error and Its Relationship with VaR.” 2001, Journal of Investing, Volume 10, Number 3, pp. 54 – 60.



Fisher, Jeffrey D.; Geltner, David. “Property-Level Benchmarking of Real Estate Development Investments Using the NCREIF Property Index.” 2002, Real Estate Finance, Volume 18, Number 4, pp. 71 – 87.


Fisher, Kenneth L. and Statman, Meir. “Investment advice from mutual fund companies.” Journal of Portfolio Management, Fall 1997 v24 n1 p9(17).



Flood, Eugene and Ramachandran, Narayan. “Integrating Active and Passive Management.” Journal of Portfolio Management, Fall 2000 v27 i1 p10.



Flynn, Michael J., Kudish, David., and McDermott, Susan N. “Use style allocation to improve pension fund returns.” Corporate Cashflow Magazine, Feb 1996 v17 n3 p20(4).



Fong, H. Gifford; Lin, Kai-Ching. “A New Analytical Approach to Value at Risk.” 1999, Journal of Portfolio Management, Volume 25, Number 5, pp. 88 – 98.



Frey, Rudiger; Pattie, Pierre. “Risk Management For Derivatives In Illiquid Markets: A Simulation Study.” 2002, Social Science Research Network Electronic Library.



Fridson, Martin S. “Inventing Money: The Story of Long-Term Capital Management and the Legends Behind It / When Genius Failed: The Rise and Fall of Long-Term Capital Management.” Financial Analysts Journal. Mar/Apr 2001. Vol. 57, Iss. 2; p. 80 (3).



Fung, William; Hsieh, David A. “Risk in Fixed-Income Hedge Fund Styles.” 2002, Journal of Fixed Income, Volume 12, Number 2.



Fung, William; Hsieh, David A. “Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases.” 2000, Journal of Financial and Quantitative Analysis, Volume 35, Number 3.



Gaivoronski, Alexei; Pflug, Georg. “Properties And Computation Of Value At Risk Efficient Portfolios Based On Historical Data.” 2002, Social Science Research Network Electronic Library.







Gay, Gerald D.; Kim, Jongchai; Nam, Jouahn. “The Case Of The SK Securities And J.P. Morgan Swap: Lessons In VAR Frailty.” 1999, Derivatives Quarterly, Volume 5, Number 3, pp. 13 – 26.



Geltner, David. “Benchmarking Manager Performance Within the Private Real Estate Investment Industry.” 2000, Real Estate Finance, Volume 17, Number 1, pp. 23 – 34.

Geltner, David; Ling, David C. “Ideal Research and Benchmark indexes in Private Real Estate: Some Conclusions From the RERI/PREA Technical Report.” 2001, Real Estate Finance, Volume 17, Number 4, pp. 17 – 28.



Ghaleb-Harter, Tanya; Lamm, R. McFall, Jr. “Do Hedge Funds Belong in Taxable Portfolios?” 2001, Journal of Wealth Management, Volume 4, Number 1, pp. 58 – 73.



Gibson, Scout and Safieddine, Assem. “Does smart money move markets? Institutional investors play a price-setting role.” Journal of Portfolio Management, Spring 2003 v29 i3 p66(13).



Gilkeson, James H.; Michelson, Stuart E. “Manager Skill and Risk Budgeting.” Journal of Investing, Spring2005, Vol. 14 Issue 1, p73-82.



Giraud, Jean-Ren; Hedges, James R., IV; Wright, Ted. “Hedge Funds: Economic Benefits and Practical Challenges.” 2001, Journal of Alternative Investments, Volume 4, Number 3, pp. 27 – 37.


Grundke, Peter. “Integrating Interest Rate Risk in Credit Portfolio Models.” Journal of Risk Finance, Winte/Spring2004, Vol. 5 Issue 2, p6, 10p, 5 charts.



Goetzmann, William N.; Ingersoll Jr., Jonathan E.; Spiegel, Matthew I.; Welch, Ivo. “Sharpening Sharpe Ratios.” 2002, National Bureau of Economic Research.



Goldberg, Lisa and Breger, Ludovic. “Modeling credit risk: currency dependence in global credit markets.” Journal of Portfolio Management, Winter 2003 v29 i2 p90(11).



Goldman Sachs & Co.; Financial Risk Management. “The Hedge Fund "Industry" and Absolute Return Funds.” 1999, Journal of Alternative Investments, Volume 4, Number 7, pp. 11 – 28.



Golec, Joseph. “Regulation and the rise in asset-based mutual fund management fees.” Journal of Financial Research, Spring 2003 v26 i1 p19(12).



Gordon, Robert N. “Making Hedge Funds More Tax-Efficient.” Journal of Wealth Management, Summer2004, Vol. 7 Issue 1, p75, 6p, 3bw.







Greene, Claire. “Portfolio management and the rise of the secondary market.” Commercial Lending Review, March 2003 v18 i2 p1(2).



Gregoriou, Greg N.; Rouah, Fabrice. “Do Stock Market Indices Move the Ten Largest Hedge Funds? A Cointegration Approach.” 2001, Journal of Alternative Investments, Volume 4, Number 2, pp. 61 – 66.





Grinold, Richard C. “Mean-variance and scenario-based approaches to portfolio selection.” Journal of Portfolio Management, Winter 1999 v25 i2 p10(1).



Grundke, Peter. “Integrating Interest Rate Risk in Credit Portfolio Models.” Journal of Risk Finance, Winte/Spring2004, Vol. 5 Issue 2, p6, 10p, 5 charts.



Guo, Binbin and Darnell, Max. “Time diversification and long-term asset allocation.” Journal of Wealth Management, Winter 2005 v8 i3 p65(13).



Gupta, Anurag; Liang, Bing. “Do Hedge Funds Have Enough Capital? A Value at Risk Approach.” 2002, Social Science Research Network Electronic Library.



Gupta, Francis; Prajogi, Robertus; Stubbs, Eric. “The Information Ratio and Performance.” 1999, Journal of Portfolio Management, Volume 26, Number 1, pp. 33 – 39.







Healey, Thomas J.; Strong, Hal. “Alternative Investments: Institutional Dollars in Search of Higher Returns.” 2000, Journal of Alternative Investments, Volume 3, Number 1, pp. 7-11.



Hendershott, Patric H.; Hendershott, Robert J. “On Measuring Real Estate Risk.” 2002, Real Estate Finance, Volume 18, Number 4, pp. 35 – 40.







Hirschey, Mark. “Extreme return reversal in the stock market: strong support for insightful fundamental analysis.” Journal of Portfolio Management, Spring 2003 v29 i3 p78(15).



Hochman, Noah E.; Ramesh, Lalita; Yago, Glenn. “Hedge Funds: Structure and Performance.” 1999, Journal of Alternative Investments, Volume 2, Number 1, pp. 43 – 56.



Hoerneman, Jeffrey T., Junkans, Dean and Zarate, Carmen. “Strategic asset allocation and other determinants of portfolio returns.” Journal of Wealth Management, Winter 2005 v8 i3 p26.



Hopkins, Robert E., Jr.; Southard, Jon A.; Torto, Raymond G.; Wheaton, William C.; “Evaluating Real Estate Risk: Debt Applications.” 2001, Real Estate Finance, Volume 18, Number 3, pp. 29 – 41.



Horvitz, Jeffrey E.; Wilcox, Jarrod W. “Tax management of stock portfolios.” Journal of Investing, Spring 2005 v14 i1 p83(7).











Hsieh, David A.; Fung, William. “Hedge-Fund Benchmarks: Information Content and Biases.” 2002, Financial Analysts Journal, Volume 58, Number 1.



Hung-Gay, Fung; Xiaoqing, Eleanor and Jot, Yau. “Do Hedge Fund Managers Display Skill?” Journal of Alternative Investments, Spring2004, Vol. 6 Issue 4, p22, 10p, 5 charts.




Ineichen, Alexander M. “Funds of Hedge Funds:Industry Overview.” 2002, Journal of Wealth Management, Volume 4, Number 4, pp. 47 – 62.



Ineichen, Alexander M. “Who's Long? Market-Neutral versus Long/Short Equity.” 2002, Journal of Alternative Investments, Volume 4, Number 4, pp. 62 – 69.







Jacobs, Bruce I., Levy, Kenneth N. and Starer David. “Long-short portfolio management: an integrated approach.” Journal of Portfolio Management, Winter 1999 v25 i2 p23(1).



Jansen, Roel and Van Dijk, Ronald. “Optimal benchmark tracking with small portfolios: Using the diversity measure to deal with constraints on number of stocks in a Portfolio.” Journal of Portfolio Management, Winter 2002 v28 i2 p33(7).



Jeffrey, Robert. “Reflections on Portfolio Management After 25 Years.” Journal of Investing, Spring 2001 v10 i1 p9.



Johansson, Frederik; Sieler, Michael J.; Tjarnberg, Mikael. “Measuring Downside Portfolio Risk.” 1999, Journal of Portfolio Management, Volume 26, Number 1, pp. 96 – 107.



Jones, Charles P., Wilson, Jack W. and Lundstrum, Leonard L. “Estimating stock returns: should investors expect less in the future?” Journal of Portfolio Management, Fall 2002 v29 i1 p40(11).



Jonson, Stafford R., Fiore, Lyle C., and Zuber, Richard. “The investment performance of common stocks in relation to their price-earnings ratios: an update of the Basu study.” The Financial Review, August 1989 v24 n3 p499(7).



Jung, Jay. “Valuation and Performance of Convertible Bonds with Hedge Funds.” 2000, Journal of Alternative Investments, Volume 2, Number 4, pp. 24 – 34.



Kapadia, Nikunj. “Negative Vega? Understanding Options on Spreads.” 1999, Journal of Alternative Investments, Volume 1, Number 4, pp. 75 – 78.



Karavas, Vassilios N. “Alternative Investments in the Institutional Portfolio.” 2000, Journal of Alternative Investments, Volume 3, Number 3, pp. 11 – 26.



Karavas, Vassilios N. “Alternative investments in the institutional portfolio.” Journal of AlternativeInvestments, Winter 2000 v3 i3 p11(15).



Kat, Harry M.; Lu, Sa. “An Excursion into the Statistical Properties of Hedge Fund Returns.” 2002, Social Science Research Network Electronic Library.



Kat, Harry M. “In Search of the Optimal Fund of Hedge Funds.” Journal of Wealth Management, Spring2004, Vol. 6 Issue 4, p43, 9p, 7 charts.



Kauffman, Richard L. “Assets & liabilities: a mismatch not made in heaven.” Institutional Investor, Sept 2003 v37 i9 p21(1).



Kawaller, Ira G. “Hedging the currency exposure of a non-dollar portfolio.” Derivatives Quarterly, Winter98, Vol. 5 Issue 2, p62, 5p.











Knudson, Kent. “Mutual fund distribution payments: navigating the conflicts.” Journal of Investment Compliance, Winter 2003 v3 i3 p25(4).



Knudson, Kent. “PlanView Welcomes New Services Partners: The Fountain Group and Project Corps; Consulting Groups to Offer Additional Strategic Portfolio Management Expertise.” Journal of Investment Compliance, Fall 2002 v2 i5 p56(3).

Konberg, Magnus; Lindberg, Martin. “Hedge Funds: A Review of Historical Performance.” 2001, Journal of Alternative Investments, Volume 4, Number 1, pp. 21 – 32.



Korkie, Robert M. and Turtle, Harry J. “What's a portfolio manager worth? A new style performance measure.” Journal of Portfolio Management, Winter 2002 v28 i2 p65(9).



Korn, Jay Donald. “HIGH YIELDS, ON THE HOUSE” Journal of Portfolio Management, Jun 2005. Vol. 35, Iss. 11; p. 58 (1 page).



Kothari, S. P. and Shanken, Jay. “Asset Allocation with Inflation-Protected Bonds.” Financial Analysts Journal, Jan/Feb2004, Vol. 60 Issue 1, p54, 17p, 8 charts, 4 graphs.



Krause, Andreas. “Exploring the limitations of Value at Risk: How Good is it in Practice?” 2003, Journal of Risk Finance, Volume 4, Number 2.



Kritzman, Mark. “Currency Hedging and the Risk of Loss.” 2000, Journal of Alternative Investments, Volume 3, Number 3, pp. 27 – 32.



Krokhmal, Pavlo; Uryasev, Stanislav; Zrazhevsky, Grigory. “Risk Management for Hedge Fund Portfolios.” 2002, Journal of Alternative Investments, Volume 5, Number 1, pp. 10 – 30.



Krokhmal, Pavlo; Uryasev, Stanislav; Zrazhevsky, Grigory M. “Comparative Analysis of Linear Portfolio Rebalancing Strategies: An Application to Hedge Funds.” 2002, Social Science Research Network Electronic Library.



Krokhmal, Pavlo., Uryasev, Stanislav., and Zrazhevsky, Gregory. “Risk management for hedge fund portfolios: a comparative analysis of linear rebalancing strategies.” Journal of Alternative Investments, Summer 2002 v5 i1 p10(20).



Kroll, Guy, and Yoram Kaplanski. "VaR Analytics--Portfolio Structure, Key Rate Convexities, and VaR Betas." Journal of Portfolio Management, Spring 2001 v27 i3 p116.



Kroll, Yoram. "VaR Analytics-Portfolio Structure, Key Rate Convexities, and VaR Betas": Comment. 2001, Journal of Portfolio Management, Volume 27, Number 3, pp. 116 – 119.



Kroll, Yoram. "Asset Allocation Models. 2005, Journal of Portfolio Management, Volume 32, Number 4, pp. 70 – 102.



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Wednesday, December 19, 2007

Blog Status 19-12- 2007

I made a structure for technical analysis also. This sort of structure will make it easy for developing the subject and also for revising it subsequently and keep the material up to date. I regret the inconvenience caused to visitors because of blank pages for somedays.

Technical Analysis Introduction

Books for Reference

Robert Edwards and John Magee, Technical Analysis of Stock Trends, A classic book on bar chart patterns and trading tactics, Indian edition published by Vision books

Technical Analysis Topic 1 Dow's Editorials

Dow on Speculation - Dow Theory


Charles H Dow was the founder editor of Wall Street Journal.

While man people tried to use the word "investor" instead of speculator, Dow openly used the word speculation and wrote about it his editorials. Probably many of his editorials are not available to us today.

One of the persons/writers of that time S.A. Nelson included 16 of those editorias in a book 'The ABC of Stock Speculation.' The book was published 1903 by S.A. Nelson. Fraser Publishing Company, Burlington, published it in 1964. I read the fifth reprint (1999) of it.

I provide the interesting observations, explanations and comments made by Dow in his 16 Editorials.

The names of the chapters having these editorials are:

IV. Morality of Wall Steet
V. Scientific Speculation
VI. Thwe Two General Methods of Trading
VII. Three General Lines of Reasoning
VIII. Swings within Swings
IX. Methods of Reading the Market
X. The Operation of Stop Orders
XI. Outting Losses Short
XII. The Danger in Overtrading
XIII. Methods of Trading
XIV. The Out of Town Trader
XV. The Short Side of the Market
XVI. Speculation for the Decline
XVII. Concerning Dicretionary Accounts
XVIII. The Liability of Loss
XIX. The Recurrence of Crises
XX. Financial Criticism

On speculation

It is, however, part of almost every manucturer's business or of every merchant's business to speculate in raw materials or goods, and nobody thinks of finding fault with either for doing so. In Wall Street speculation stands alone, without any business disguise, for all men to see. There is no difference between one kind of speculation and another so far as essence is concerned; the only difference is that one is disguised and the other is not.

Scientific Speculation

Dow made very pertinent observations in this editorial on the topic of speculation.

He wrote, the maxim "buy cheap and sell dear" to make profits in trading is ok, but it leaves unsolved the question of when a security or a commodity is cheap and when it is dear. He did hit upon the right issue with this comment.

He quotes the elder Rothschilds's priniciple that it was well to buy a property of known value when others wanted to sell and to sell when others wanted to buy. This brings into consideration the concept of value.

There is also the belief that public as a whole buys at the wrong time and sells at the wrong time. The reason given is that public buys on manipulated advances and after they are well along. It buys at a time when manipulators wish to sell and sells when manipulators wish to buy.

Dow quotes Daniel Drew to bring another idea of speculation. "Cut your losses short, but let your profits run." It means that if a stock has been purchased and it goes up, it is well to wait; but if it goes down, it is well to stop the loss quickly on the ground that the theory on which the purchase was made was wrong.

When a trader finds in his accounts that his profits in profitable trades have been relatively large and his losses in losing trades relatively small, he can pat himself that he learning how to trade.

Dow quotes Jay Gould that his policy was to endeavour to foress future conditions in a property and then, having made his commitments carefully, to exercise great patience in awating results. "Patience" is the important word here. Many find great difficulties in using this method for speculation. Dow provides encouragement to this method also by writing,"The present is always tending toward the future and there are always in existing conditions signals of danger or encouragement for those who read with care."

Thus in this editorial Dow quoted three persons and brought out ideas of value, keeping losses to small amounts and patience to be used in speculation.



The Two General Methods of Trading

One technical and the other fundamental

In this editorial Dow mentioned that there were two general methods of trading.

One is to deal in active stocks relying for protection upon stop orders. Active stocks mean there is enough liquidity at various price points so as to permit the execution of the stop order at the point selected. The importance stop order is very high in this method. The trader need not know much about the value of stock under consideration. But he must have a basis to guess which way the stock will move. After taking a position, if his guess turns out right, he lets his profits run. If his guess turns out to be wrong, he squares up the transaction with the stop order. If he can guess right as many times as he can guess wrong, he can expect profits. This system is based on a rule or logic for guessing the direction of the market and then using stop losses to take small losses in case of adverse moves in the market.

The second system of trading is based on values. The value estimation is based on fundamental analysis. The trader has to feel sure of the value for at least months to come. Dow mentioned that values are related to earnings available for dividends. The trader also has to consider the general trend or tendency of the market, relative moves of the stock with respect to the market. Based on this information, the trader buys the stock at a price below the value and if the price goes down, he will buy an equal amount at the every decline by 1 percent. Dow wrote that stocks on their downward move can go down by 20 to 30 points. So there should be enough capital to buy on the downside and profit when the stock comes up. Traders have to commit capital to trading conservatively rather than taking big positions at a single point of time.

Dow mentioned the saying in Wall Street, "The man who begins to speculate in stocks with the intention to make a fortune, usually goes broke, whereas the man whso trades with a view of getting good interest on his money sometimes get rich." It is probably another way of saying a few lucky ones make a lot of money.

Dow cautioned traders using value based method to pay attention to the following points.

1. Bull and bear markets run four and five years at a full time. Use the average prices (implying Dow Jones averages), to determine which one is underway.
2. In a bull market, it is better to always work on the bull side. In a bear market, work on bear side.
3. In bull market buy on declines and in bear markets sell on rallies.
4. Stick to the stock bought until a fair profit is realized or until there is good reason for deciding that the first estimate of value was wrong.
5. Have enough capital to do trading. Dow advised an initial capital of $2500 for accumulating shares starting with 10 share lots.


Three General Lines of Reasoning

Dow mentioned in this editorial that three points were made in earlier pieces.

1. The surface appearance of the market is apt to be deceptive.
2. In trading losses are to be cut short and profits are to be allowed to run.
3. Discounting correctly the future is a sure way to wealth.

The third point shows that Dow supported fundamental analysis based trading also apart trading based on technicals. Many will give credit to Dow only for technicals based trading.

Why the surface appearance of the market is deceptive: The market has to be analyzed as the market is to be considered as having three movements all going at the same time. The first is the narrow movement from day to day. The second is the short wing, running from two weeks to a month or more; the third is the main movement covering at least four years in its duration. This description of three movements is considered to be the essential part of Dow theory.

The day to day movement should be disregarded by everybody, except traders who pay no commissions. With that statement Dow gave the opinion that extreme short term trading is to be left to persons having brokerage seats and arrangement with brokers to pay flat payments. Now that more and more people are paying flat brokerage payments day trading is increasing.

The medium swing is the one for ordinary consideration. In describing Dow theory many people say that Dow theory recommends only main trend trading. But in the editorial Dow clealy said medium trendis the one ordinary consideration. The outside trader should not attempt to deal in more than two or three stocks at a time. He should keep a chart of price movements of these for months or years so that he can identify the swings.

In charts, apart from price, a record of volumes and any special and interesting facts about the company are to be noted. The trader should also keep a chart of average as they tell about the market more clearly.

The average thirty day swing could be 5 points. So Dow recommends buying a stock which has a value above the price whenever it declines by 4 points from a previous peak in bull market. He recommeds buying half of lot at the first instance so that if it declines further remaining quantity can be bought.



Swings within Swings

In this editorial, Dow describes the three swings mentioned above once again and points out the method for taking profits from the market.

The first swing is day-to-day movement which is due to local causes and the balance of buying and selling on that day. The second is the secondary movement that covers a period ranging from ten to sixty days with an average of thity to forty days. The third swing is the main trend covering from four to six years. (Remember in India currently people are talking of bull markets for next 10 years.)

If the main move is up, relapses are speculators' opportunities, but if the main move is down, rallies furnish opportunities. The movement of averages defines the main trend. As long as the average of one high point exceeds that of previous high point, the main trend is up. It is difficult to judge the reversal before hand, as it can an unusually pronounced secondary trend.

In this editorial, Dow talks of speculation or trading using fundamental values. A value based speculator has to buy when the price declines in the market.

In the example given, Dow talks of 10 point decline of a good stock from 108 to 98 in a bull market. The value based speculator can buy it, because the 10-point decline in the bull market would be almost certain to bring in bull market more than 5 points recovery and full 10 points would not be unreasonable. Dow advise even this investor to put a stop order after the 5 point rally from 98 and allow the profits to accumulate. This is technofundamental trading. The trader uses fundamental value to enter the trade and then uses stop orders to continue the trade.

Methods of Reading the Market

Dow gives the following methods of making some judgements on the market. He says it is doubtful if any have been or can be wholly satisfactory. But many are in practical use and give some suggestions for action in the market.

The first is the book method. In this method price changes are noted by 1 point sizes. The price moves up or down are shown by diagonals and small price chages will be captured in horizontal lines. A long horizontal line indicates accumulation or distribution. This description resembles somehow point and figure charting. But not exactly.

The second method is mentioned is that of double top. Dow gives the caution once again that there will good many exceptions and many times without this signal market goes down.

The third methods says some people trade on the logic over a period of time up days will equal down days.

The fourth one, described as more practicable by Dow is the theory that a primary movement will have a secondary movement in opposite direction. The opposing move can be at least three-eighths of the of primary movement. If a stock advances 10 points, it is very likely to have a relapse of 4 points or more. The law seems to hold irrespective of the size of the advance.

Dow comments that it is impossible to predict in advance the length of any primary movement, but the further it goes, the greater the reaction when it comes, hence the more certainty of being able to trade successfully on that reaction (Is Dow hinting the short sale?)

Dow makes a point about great operators. The thought with great operators isnot whether a price can be advanced, but whether the value of property which they propose
to buy will lead investors and speculators six months hence to take stock at figures from 10 to 20 points above present prices.

Dow concludes this editorial with the statement 'To know values is to comprehend the meanings of movements in the market."

Dow is normally thought to be the advocate of technical trading. But these editorials seem to indicate that Dow is equally a strong advocate of trading based on fundamentals.

The Operation of Stop Orders

With value based trading, wherein the stock is bought to carry it till it reaches its intrinsic value, a stop order is a folly.

But for the trader, who wants to trade in and out of stocks without regard to values, but being governed by a sense of what the general market is going to do, stop orders are beneficial.

The practice of letting losses run infrequently makes a loss so large that trading come to an end because the speculator has no more money.

Cutting Losses Short

Dows says experience says that "either cut losses short, or take an investment position."

The general rule is to stop losses within a range of two or three points from the purchase price. all purchases on points, tendencies and rumours should be regarded as guesses and protected by stop orders.

The stop order is of primary importance when a purchase is first made and when its wisdom is in doubt. It is also use when a stock has had its normal swing for the purpose of saving most of the profit if a reaction comes.

The Danger in Overtrading

It is very important to note this statement of Dow in this editorial

Making money in stocks for most people resolves itself into a series of transactions in which we may say there are six profits and four losses, resulting in net gain.

The experience of good traders shows that the operating expenses of trading, that is to say, the ratio of losses to profits, run from 50 to 65 per cent of the total profits.


Methods of Trading


The more a man really knows about speculation, the less certain he becomes in regard to any market movement, except as the result of general conditions.

Dow in this editorial makes the statement that it is possible to derive fairly accurate knowledge of the value of a speculative investment stock. The value estimation should be considered essentially with reference to its ability ot maintain or increase its dividends. If the stock seems likely to continue a current rate of dividend, and the return on the cost is such as to make it fairly satisfactory as an investment, it is a good stock to buy when, in sympathy with decline in the general market, it has fallen below its normal price.

The stock bought as investment should be held without regard to current fluctuations, until it showed a satisfactory profit. Then it should be sold and the operator should wait weeks or months if necessary for an opportunity to take it or some other stock back upon favourable terms. The operator who selects investment properties carefully and buys after the market has had general declines, and who exercises a good deal of patience both in waiting for the time to buy and for the time to sell-who in short, treats his speculation as an investment, will be likely to make money in stocks.

While the first method that described was the speculative investment method by using values as basis, the second method advocated was the method of cutting losses and allowing the profits to run. This method now has the name of technical analysis. Dow was more straight in describing it.

Dow cautions at the end of this piece, that there is no sure way of making money in stocks, but the principle of buying after a period of steadiness in prices, stopping losses and letting profits run will, as a matter of statistical record, beat most people's guessing at what is going to occur.

Next topic

The Out of Town Trader

Technical Analysis Topic 2 Dow Theory

Dow was one of the earliest to describe trends in stock prices.

Dow described stock prices as moving in trends similar to the movement of ocean water.

He postulated three types of price movements.

(1) Major trends: They are like tides in the ocean. They bring water far onto the share and take it deep into the ocean.

(2) Intermediate trends: They resemble waves. They rise and fall and rise and fall as water is in up tide or in low tide.

(3) Short run movements: They are like ripples in water.

Followers of Dow theory attempt to predict the direction of the major price trend recognizing the idea taht intermediate movements in a direction opposite to the major trend keep appearing while the major trend is in progress.

According to Dow, in a major uptrend, each intermediate recovery will reach a new peak above the prior peak and this price rise will be accompanied by heavy trading volume. similarly, profit taking reversal or intermediate downtrend that follows an increase to a new peak should have a trough above the prior trough, with relatively light trading volume. When this pattern of price and volume movements change, the mjaor trend may be entering a period of consolidation or a major trend reversal.

Ea

Technical Analysis Topic 9 Straight Line Trend Lines

The Dow's idea of trend lines can be shown on graphs or cahrts of stock prices by drawing straightline connecting the troughs. As long as the stock prices are above the upward sloping trendline of troughs, the price trend is up. whenever price move downward piercing the upward sloping trendline, the downward trendline connecting tyhe peaks could be drawn signalling a downward trend.

To draw a trend line at least two successive points are required. Two increasing troughs or two decreasing peaks. A third point above the uptrend line or below the downtrend line confirms the trend.

In technical analysis only confirmed trends have to be used for trading.

Technical Analysis Topic 10 Automated/Curved Trend Line - Moving Averages

Moving Averages

Moving averages replace straight line trends as trendlines.

In moving average approaches different practioners use differend days' moving averages.

50 day and 200 day moving averages (DMA) are popular.

50 DMA is used to indicate intermediate trend.

200 DMA is used to indicate major trend.

Tuesday, December 18, 2007

Technical Analysis Topic 18 Stochastics

The Stochastic method has a %K line and a %D line.

The formula for the %K is:

%K = 100[(C-Ln)/(Hn-Ln)]

In this equation C is today’s close, Ln the lowest low for the last n days, and Hn is the highest figh over the same n day trading period.

The formula for the %D is:

%D = 100(H3/L3)

In this expression, H3 is the 3-period sum of (C-Ln) in the %K calculation, and L3 is the 3-period sum of (Hn-Ln). %D is also calculated as 3 period moving average of %K.

Technical Analysis Topic 19 RAte of Change ROC

Rate of Change(ROC):


Rate of Change compares today’s price of a security with the price(of the same security) of a prior period of specified number of days. For example, a 10-day ROC is calculated by comparing the current day’s price with the price 10 days before. For comparison, subtraction or division are used. When both prices are same, in the case of subtraction, the difference is zero. In this case, zero line is the equilibrium line in the chart. When current price is higher, ROC is positive and when current price is lower ROC is negative.

Technical Analysis Topic 20 MACD

Moving Average Convergent Divergent Method (MACD):

In this method, the difference between a shorter period EMA (exponential moving verage) and a longer period EMA is termed as MACD.

For example, in a method represented by MACD(12, 26, 9), the 26-day EMA is subtracted from the 12-day EMA. 9-day EMA of MACD is also calculated and plotted. This line is termed as the Signal line or Trigger line. In general one should own a stock only when the MACD line is above the Trigger line.

Blog Status 18-12-2007

Today I made the structure to cover financial statement analysis, business analysis and fundamental analysis. I have to make a similar structure for technical analysis also. It will take some good amount of time for me to fill these pages.

Fundamental Analysis -Introduction

Fundamental Analysis -Topic 1 Graham Rao Method

Accordng to Graham-Rao stock-selection criteria, the company must have an adequate size (Rs 100 crore sales may be taken as adequate size for Indian companies) and a strong financial condition.

To satisfy this criterion, the current assets should be at least twice that of current liabilities and the total debt-equity ratio should not be greater than 1:1.

The company should have paid dividends and earned profits for the last 10 years (Graham's original prescription was 20 years of dividends).

There should be a growth in earnings per share of 10 per cent per annum over the last seven years (Equal to the growth innominal GDP of the country).

The current price should not exceed 20 times the average EPS in the last seven years for companies with past seven-year growth higher than 20 per cent. For companies with past growth rates between 10 and 20 percent per annum, the multiplier has to be the growth rate itself.

The current price should also not be more than 1.5 times the book value last reported.

These prescriptions require 10-year data to pick stocks. But the method is unambiguous and uses a limited number of ratios.

Investors may complain about the 10-year data requirement; but they have to keep in mind that their hard-earned money has to be protected by committing it to companies with a good past record.

------------------
Articles on the Method


Picking Value Stocks, Article that explains the method
http://docs.google.com/Doc?id=dg3h8m78_3hq8pkpc6

The merit of value investing, Article that shows that valuation criteria identify winners.
http://docs.google.com/Doc?id=dg3h8m78_5gkvsszdf

In Search of Value, is an article that describes application of the full method to Indian Stocks in 2007
http://docs.google.com/Doc?id=dg3h8m78_6hgbrxpd2

Fundamental Analysis -Topic 3 Dividend Discount Model

In the dividend discount model expected future dividends are discounted to the the present value.


For the infinite constant grow rate period Value of the share V is obtained by D1//k-g where D1 = dividend next year, k = cost of equity, and g = constant growth rate per annum expected in the infinite future

The estimates of future dividends are based on the past history of earnings and dividends, current circumstances, and intentions of the company management and other economic agents like banks and government.

Cost of equity is an important input in this method.

For a recent attempt at estimating market risk premium in India study

http://www.iimahd.ernet.in/~jrvarma/papers/WP2006-06-04.pdf

Fundamental Analysis -Topic 6 Target Price Method

Target Price

A target price for a stock is a figure published by a securities industry person, usually an analyst.
The idea is that the target price is a prediction, a guess about where the stock is headed.
Target prices usually are associated with a date by which the stock is expected to hit the target. (normal practice 12 months)

http://invest-faq.com/articles/adv-target-price.html

The projected price level as stated by an investment analyst or advisor.
A stock trading at $60 might have a one year price target of $90.


http://www.investopedia.com/terms/p/pricetarget.asp

Target price model is basically fundamental analysis technique. Butin technical analysis also price targets are given.

Fundamental Analysis -Topic 8 Country/Economy Analysis

In top down approach, in global investing, first countries wherein investments will be made will be determined. Country/economic analysis is used for this purpose.

No doubt to forecast financial variables for discounted cash flow analysis, one has to make analysis of the economy. But that is a long term forecast of the economy. In textbooks when economy analysis is discussed, the focus mainly is on short term conditions that help to take short-term investment decisions.

Fundamental Analysis -Topic 12 Money Supply and Stock Prices

Money Supply Definition

The definition of money supply can be given in many ways. Money supply can be defined as the amount of money available within a particular economy to purchase goods or services.

According to macroeconomic theory, money supply can be defined as the amount of money and currency available with common people within a particular economy for buying goods, securities, and other services. Here the cost of money is the interest rate. In this theory, money supply is also referred as money stock or monetary aggregates.

The relationship between the rate of interest and money is opposite or reverse. For example, if the money supply goes up, the interest rates go down. At the time when the amount of money in demand is equaled to the amount of money in supply by the rate of interest, then the situation of the economy is known as the money market equilibrium.

In the United States, money supply is categorized into four types such as M0 Money Supply, M1 Money Supply, M2 Money Supply, and M3 Money Supply.

The categories are set in an ascending order (M0 to M1 to M2 to M3) and they increase in size accordingly.

The M0 money supply is defined as the narrowest form of money supply.

The Federal Reserve of the United States defines the different categories of money supply in the following manner:
M0 Money Supply Definition:
It is defined as the total amount of physical currencies along with central bank accounts, which can be converted into physical currency.


M1 Money Supply Definition:
It is defined as M0 minus the components of M0 which are held as vault cash or reserves plus the amount deposited in checking or current accounts also termed as demand accounts.


M2 Money Supply Definition:
It is defined as M1+ the majority of savings accounts, time deposits with small denominations (including CDs less than $100,000), and money market accounts.


M3 Money Supply Definition:
It is defined as M2+ every other types of certificates of deposit (CDs), repurchase agreements, and eurodollar deposits.

M1 Money Supply

M1 money supply refers to the total money supply in the economy. It includes only those demand deposits that are checkable. It includes all currency in circulation as well as demand deposits. Currency in circulation includes all minted coins and printed-paper. MO is the elementary liquidity level of money. M1 is MO and the total of non-paper or coin deposit balances without any withdrawal restrictions.

M1 and MO money supplies have a money multiplier relationship. It is the ratio of cash and coins held by people with them and in banks to the total balance in their financial accounts. In the USA, M1 money supply is those portions of MO that are held as reserves or vault cash and the amount held in demand accounts. According to December, 2006 records, the total amount of M1 in supply was about $1.37 trillion. The demand deposits that form a part of M1 money supply are those deposits where the depositors have the right to withdraw it any time. The people with demand deposit accounts can make or receive payments by cash, check and money order, direct debit, giro, standing order, SWIFT or ATM card.

There are three money supply measures. M1 is one of them while M2 and M3 are the other two. These measures show different degrees of liquidity or spendability. M1 is the narrowest measure among the three and it includes only the most liquid forms of money. Simply speaking, it includes currency in the hands of individuals, travelers checks, demand deposits and other deposits against which a check can be issued, tenders held outside banks, checking accounts minus the amount of money in the federal reserves float, Negotiable Order of Withdrawal (NOW) accounts, Super NOW accounts, Automatic Transfer Services (ATS) accounts and credit union share drafts.

For quite a long time, there was a general opinion that there is a perfect relation between M1 money supply and inflation. But this notion is on the downslide now. The money supply numbers seem to have lost some of its appeal to market participants. A strong growth in money supply is not encouraged as such a situation does lead to inflationary pressures.

M2 Money Supply

Money supply measures can be categorized into three types. They are M1, M2 and M3. These measures are based on the degrees of liquidity. M2 money supply consists of the following things:
Savings deposits, which include money, market deposit accounts.


Time deposits of small denominations, that is, time deposits that are of amounts less than $ 100,000. From this, individual retirement account (IRA) and Keogh balances at depository institutions are deducted.


Balances in retail money market mutual funds from which IRA and Keogh balances at money market mutual funds are deducted.
M2 money supplies are seasonally adjusted by adding small denomination time deposits, savings deposits and retail money funds. All these are adjusted separately and this result is summed up with seasonally adjusted M1. M2 includes savings and small time deposits, overnight repos of commercial banks and non-institutional money market accounts. According to the Federal Reserve Bank of New York, M2 was approximately $ 6.8 trillion and this amount largely consisted of savings deposits.

Broadly speaking, M2 money supply is a measure of total money supply. All the factors of M1 money supply are included in M2 and with these are added savings and other time deposits. M2 is the next level of liquidity of M1.M1 takes into its purview it includes currency in the hands of individuals, travelers checks, demand deposits and other deposits against which a check can be written, tenders held outside banks, checking accounts minus the amount of money in the federal reserves float, Negotiable Order of Withdrawal (NOW) accounts, Super NOW accounts, Automatic Transfer Services (ATS) accounts and credit union share drafts. Precisely, it includes all the currency in circulation, all paper money and minted coins.

It was in 1990s that the relationship between the performance of the economy and growth of M2 money supply became less significant. The interest rates recorded had reached an all time low in 30 years. This prompted many investors to move the funds they had in savings and time deposits that were part of M2 into bond mutual funds and stocks that are not included in the three money supply measures. If the relation between M2 and nominal income had remained as before, then the behavior of M2 would have been consistent with an economy in extreme contraction. In spite of all the limitations M2 is still considered to be the most important indicator of the financial conditions in an economy. The concept of M2 is broader than that of M1.

M3 Money Supply


Out of the three measures of money supply, M3 money supply is the broadest concept, the other two being M1 and M2. M3 is an estimate of the entire supply of money in the economy and it has experienced the all time high in the near past. It has more than doubled since 1995 and in this year itself, it has shown an approximate increase of $250 billion according to Federal Reserves data. M3 takes into its expanse, M2 and all Certificates of Deposits.

M1 includes travelers checks, currency in the hands of individuals, demand deposits and other deposits against which a check can be written, checking accounts minus the amount of money in the federal reserves float, tenders held outside banks, automatic transfer services (ATS) accounts, negotiable order of withdrawal (NOW) accounts, Super NOW accounts and credit union share drafts. Precisely, it includes all the currency in circulation, all paper money and minted coins. Along with these, M2 includes savings and other time deposits. All these are carried over into the next level of liquidity, M3.

The annual growth in Eurozone M3 money supply rose unexpectedly in the recent past. It rose to 10.9%. This credit growth may cause inflation in the future. But till date this has not been the case, though M3 has risen faster than the European Central Bank's 4.5% non-inflationary reference value.

The Federal Reserve System has announced that they would not calculate M3 monetary aggregates any more. They want to "deemphasize" the role of M3 because the M1 and M2 money supply measures have received greater importance over the years. The individual components of M3 will however be published. However, this step on the part of the Federal Reserve has not been welcomed universally, because, in the last eight years, there has been a huge increase in the money supply. Figures of M3 help a lot in tracking movements in and out of M1 and M2 over time. After all, M3 includes M2 and institutional money market mutual funds, large denomination time deposits, balances in institutional money funds and repurchase liabilities issued by depository institutions.

http://finance.mapsofworld.com/money/supply/m1.html

Fundamental Analysis -Topic 13 GSFCI

The Goldman Sachs Financial Conditions Index:

A financial conditions framework is the right one for evaluating
monetary policy in the United States. The dominance of the capital
markets in the U.S. financial system means that the focus should be
on those factors that control the transmission of monetary policy to
the real economy such as private sector interest rates, the exchange
value of the dollar, and the valuation of the equity market.

The Goldman Sachs Financial Conditions Index (GSFCI) has had a
much tighter linkage with changes in economic activity in the 1990s
than other indicators such as the real federal funds rate or the broad
monetary aggregates. This has occurred, first, because of the growing
role of the stock market in the economy and, second, because markets
in general are now more anticipatory than in the past.

The GSFCI only contains four variables—real 3-month LIBOR, real
A-rated corporate bond yields, the real Goldman Sachs Trade-
Weighted Dollar Index (GSTWI), and the equity market
capitalization/GDP ratio. Despite this, it generally manages to capture
shifts in other financial variables that matter because these four
variables act as proxies for other financial variables that are not
explicitly included in the index.

Changes in the GSFCI foreshadow real GDP growth (with a lag of
about 3 quarters) on about a one-for-one basis. A one-point rise in the
GSFCI is followed by about a one-percentage-point reduction in the
growth rate within a year on average.

Similarly, an unanticipated 100-basis-point rise in the real federal
funds will tend to tighten the GSFCI by about one point, on average.
Thus, Fed officials might anticipate that a 100-basis-point hike in the
real federal funds that was not anticipated would trim the growth pace
by about one percentage point. Of course, these relationships have
significant variability. That is the reason why we developed a
financial conditions framework in the first place.

Goldman Sachs Global Economics
Paper No. 44
--------------------
GSFCI, Trough to Subsequent Peak

Trough to Peak
Dates Trough Peak Increase in bps

1961:Q1 - 1962:Q2 97.26 98.74 148
1968:Q4 - 1970:Q2 95.91 99.19 328
1972:Q1 - 1973:Q1 96.32 97.62 130
1975:Q2 - 1976:Q3 94.35 98.31 396
1977:Q2 - 1978:Q4 97.48 99.77 229
1980:Q3 - 1982:Q2 98.94 106.65 771
1983:Q2 - 1984:Q3 103.98 107.53 355
1987:Q1 - 1987:Q4 101.01 102.43 142
1993:Q4 - 1994:Q4 97.68 99.79 211


Goldman Sachs Global Economics
Paper No. 44
---------------------




Goldman Sachs Financial Conditions IndexSM*

GSFCI (index 1987-1995=100)
Dec 2005 100.18
Nov 2005 100.30
Oct 2005 100.31
Sep 2005 99.87

Goldman Sachs US Economics Analyst, Issue No: 05/50
December 16, 2005
--------------------

Fundamental Analysis -Topic 14 Present Value of Growth Opportunities

download paper from

http://www.canisius.edu/images/userImages/wsbweb/Page_9979/WP2007-03.pdf

Fundamental Analysis -Topic 15 Practioner Oriented Papers

From
http://www.albany.edu/ciim/practitionerspapers.htm

Abanomey, Walid S. and Mathur Ike. “International Portfolios with Commodity Futures and currency Forward Contracts.” Journal of Investing, Fall 2001 v10 i3 p61.



Abken, Peter A. “An Empirical Evaluation of Value at Risk by Scenario Simulation.” 2000, Journal of Derivatives, Volume 7, Number 4, pp. 12 – 30.



Acito, Christopher J.; Fisher, F. Peter “Fund of Hedge Funds: Rethinking Resource Requirements.” 2002, Journal of Alternative Investments, Volume 4, Number 4, pp. 25 – 35.



Agarwal, Vikas; Naik, Narayan Y. “On Taking the "Alternative" Route: The Risks, Rewards, and Performance Persistence of Hedge Funds.” 2000, Journal of Alternative Investments, Volume 2, Number 4, pp. 6 – 23.



Ahmed, Parvez; Lockwood, Larry J.; Nanda, Sudhir. “Multistyle Rotation Strategies.” 2002, Journal of Portfolio Management, Volume 28, Number 3, pp. 17 – 30.



Aitsahlia, Fajud; Imhof, Lorens and Lin, Tze Leung. “Pricing and Hedging of American Knock-In Options.” Journal of Derivatives, Spring2004, Vol. 11 Issue 3, p44, 7p.



Albanese, Claudio; Jackson, Ken; Wiberg, Petter. “Dimension Reduction in the Computation of Value-at-Risk.” 2002, Journal of Risk Finance, Volume 3, Number 4, pp. 41 – 53.



Alcantara, Silvia Dos; Duarte, Antonio Marcos, Jr. “Mean-Value-At-Risk Optimal Portfolios With Derivatives.” 1999, Derivatives Quarterly, Volume 6, Number 2, pp. 56 – 63.



Ambachtsheer, Keith P. “Public Pension Fund Power.” Journal of Portfolio Management, Winter 2001 v27 i2 p61.



Amenc, Noël; Malaise, Philippe; Vaissié, Mathieu. “The fund of hedge funds reporting puzzle.” Journal of Risk Finance (15265943), 2006, Vol. 7 Issue 1, p24-37.



Amenc, Noël; Giraud, Jean René; Martellini, Lionel; Vaissié, Mathieu. “Taking a Close Look at the European Fund of Hedge Funds Industry: Comparing and Contrasting Industry Practices and Academic Recommendations.” Journal of Alternative Investments, Winter2004, Vol. 7 Issue 3, p59-69.



Andersen, J. V.; Sornette, D. “Have Your Cake and Eat It, Too: Increasing Returns While Lowering Large Risks!” 2001, Journal of Risk Finance, Volume 2, Number 3, pp. 70 – 82.



Anderson, James A. “Searching for a pure portfolio.” Journal of Investing, New York: May 2003. Vol. 33, Iss. 10; p. 32 (1 page).



Ang, James S., Chen An-Sing., and Wuh, Lin James. “Information Sharing, Return Characteristics, and Portfolio Beta: The Case of Mutual Funds.” Journal of Investing, Fall 1999 v8 i3 p54.



Ang, Andrew and Bekaert, Geert. “How Regimes Affect Asset Allocation.” Financial Analysts Journal, Mar/Apr2004, Vol. 60 Issue 2, p86, 14p, 4 charts, 1 diagram, 7 graphs.



Anson, Mark J.P. “Hedge Fund Incentive Fees.” 2001, Journal of Alternative Investments, Volume 4, Number 2, pp. 43 - 48

Anson, Mark J.P. “An Institutional View of the Hedge Fund World.” 2001, Journal of Investing, Volume 10, Number 2, pp. 83 - 90



Anson, Mark J.P. “Selecting a Hedge Fund Manager.” 2000, Journal of Wealth Management, Volume 3, Number 3, pp. 45 - 52



Anson, Mark J.P. “Should Hedge Funds Be Institutionalized?” 2001, Journal of Investing, Volume 10, Number 3, pp. 69 – 74.



Anson, Mark. “Strategic versus Tactical Asset Allocation.” Journal of Portfolio Management, Winter2004, Vol. 30 Issue 2, p8, 12p.



Aragones, Jose R., Blanco, Carlos., and Mascareñas, Juan. “Active Management of Equity Investment Portfolios.” Journal of Portfolio Management, Spring 2001 v27 i3 p39.



Aragones, Jose Ramon; Blanco, Carlos; Dowd, Kevin. “Incorporating Stress Tests into Market Risk Modeling.” 2001, Derivatives Quarterly, Volume 7, Number 3, pp. 44 – 50.



Arshanapalli, Bala; Switzer, Lorne N.; Hung, Loretta T. S. “Active versus Passive Strategies for EAFE and the S&P 500.” Journal of Portfolio Management, Summer2004, Vol. 30 Issue 4, p51, 10p.



Arnott, Robert D. “Ethics, Earnings, and Equity Valuation: A Crisis of Confidence.” Journal of Portfolio Management, Spring 2003 v29 i3 p8(8).



Arnott, Robert D. “Managing investments for the long term.” Financial Analysts Journal. Jul/Aug 2003. Vol. 59, Iss. 4; p. 4



Arnott, Robert D. “Risk Budgeting and Portable Alpha; 2002, Journal of Investing, Volume 11, Number 2, pp. 15 – 22.



Arshanapalli, Bala; D'ouville, Edmond; Nelson, William. “Are Size, Value, and Momentum Related to Recession Risk?” Journal of Investing, Winter2004, Vol. 13 Issue 4, p83-87.



Arvanitis, Angelo; Gregory, Jonathan; Martin, Richard. “Hedging Financial Risk Subject to Asymmetric Information.” 2000, Journal of Risk Finance, Volume 1, Number 2, pp. 9 – 18.



Asnes, Marion. “Morgan Stanley Reed Fires 40 Pennsylvania Money Management Professionals.” Financial Analysts Journal. Charlottesville: August 2003. Vol. 34, Iss.5; p. 10.



Asness, Clifford S.; Krail, Robert J.; Liew, John M.; Alternative Investments: Do Hedge Funds Hedge?; 2001, Journal of Portfolio Management, Volume 28, Number 1, pp. 6 – 19.



Asness, Clifford S.; Krail, Robert J.; Liew, John M.; Do Hedge Funds Hedge?; 2001, Journal of Portfolio Management.



Asness, Clifford S.; Krail, Robert J.; Liew, John M. “Alternative Investments: Do Hedge Funds Hedge?” 2001, Journal of Portfolio Management, Volume 28, Number 1, pp. 6 – 19.



Atkinson, Stanley M. and Sturm, Ray R. “All-star mutual funds?” Journal of Investing, Summer 2003 v12 i2 p87(10).



Avramov, Doron; Chao, John; Chordia, Tarun. “Hedging Against Liquidity Risk and Short Sale Constraints.” 2002, Social Science Research Network Electronic Library.



Bares, Pierre-Antoine; Gibson, Rajna; Gyger, Sebastien. “Hedge Fund Allocation with Survival Uncertainty and Investment Constraints.” 2002, Social Science Research Network Electronic Library



Barone-Adesi, Giovanni. “Does Volatility Pay?” 2000, Journal of Risk Finance, Volume 2, Number 1, pp. 27 – 35.



Barr, Dean; Beeman, David; Russell, Craig; Weinreich, Joshua; Yip, Kenneth. “Evolution of an Essential Asset Class--Absolute Return Strategies.” 2000, Journal of Investing, Volume 9, Number 4, pp. 9 - 24



Basak, Suleyman; Shapiro, Alex; Tepla, Lucie. “Risk Management with Benchmarking.” 2002, Social Science Research Network Electronic Library.



Bathal, Chenchuramaiah T.; Rao, Ramesh P. What stocks appeal to institutional investors? Journal of Investing, Spring 2005 v14 i1 p14(10).



Anson, Mark J.P. “An Institutional View of the Hedge Fund World.” 2001, Journal of Investing, Volume 10, Number 2, pp. 83 - 90



Anson, Mark J.P. “Selecting a Hedge Fund Manager.” 2000, Journal of Wealth Management, Volume 3, Number 3, pp. 45 - 52



Anson, Mark J.P. “Should Hedge Funds Be Institutionalized?” 2001, Journal of Investing, Volume 10, Number 3, pp. 69 – 74.



Anson, Mark. “Strategic versus Tactical Asset Allocation.” Journal of Portfolio Management, Winter2004, Vol. 30 Issue 2, p8, 12p.



Aragones, Jose R., Blanco, Carlos., and Mascareñas, Juan. “Active Management of Equity Investment Portfolios.” Journal of Portfolio Management, Spring 2001 v27 i3 p39.



Aragones, Jose Ramon; Blanco, Carlos; Dowd, Kevin. “Incorporating Stress Tests into Market Risk Modeling.” 2001, Derivatives Quarterly, Volume 7, Number 3, pp. 44 – 50.



Arshanapalli, Bala; Switzer, Lorne N.; Hung, Loretta T. S. “Active versus Passive Strategies for EAFE and the S&P 500.” Journal of Portfolio Management, Summer2004, Vol. 30 Issue 4, p51, 10p.



Arnott, Robert D. “Ethics, Earnings, and Equity Valuation: A Crisis of Confidence.” Journal of Portfolio Management, Spring 2003 v29 i3 p8(8).



Arnott, Robert D. “Managing investments for the long term.” Financial Analysts Journal. Jul/Aug 2003. Vol. 59, Iss. 4; p. 4



Arnott, Robert D. “Risk Budgeting and Portable Alpha; 2002, Journal of Investing, Volume 11, Number 2, pp. 15 – 22.



Arshanapalli, Bala; D'ouville, Edmond; Nelson, William. “Are Size, Value, and Momentum Related to Recession Risk?” Journal of Investing, Winter2004, Vol. 13 Issue 4, p83-87.



Arvanitis, Angelo; Gregory, Jonathan; Martin, Richard. “Hedging Financial Risk Subject to Asymmetric Information.” 2000, Journal of Risk Finance, Volume 1, Number 2, pp. 9 – 18.



Asnes, Marion. “Morgan Stanley Reed Fires 40 Pennsylvania Money Management Professionals.” Financial Analysts Journal. Charlottesville: August 2003. Vol. 34, Iss.5; p. 10.



Asness, Clifford S.; Krail, Robert J.; Liew, John M.; Alternative Investments: Do Hedge Funds Hedge?; 2001, Journal of Portfolio Management, Volume 28, Number 1, pp. 6 – 19.



Asness, Clifford S.; Krail, Robert J.; Liew, John M.; Do Hedge Funds Hedge?; 2001, Journal of Portfolio Management.



Asness, Clifford S.; Krail, Robert J.; Liew, John M. “Alternative Investments: Do Hedge Funds Hedge?” 2001, Journal of Portfolio Management, Volume 28, Number 1, pp. 6 – 19.



Atkinson, Stanley M. and Sturm, Ray R. “All-star mutual funds?” Journal of Investing, Summer 2003 v12 i2 p87(10).



Avramov, Doron; Chao, John; Chordia, Tarun. “Hedging Against Liquidity Risk and Short Sale Constraints.” 2002, Social Science Research Network Electronic Library.



Bares, Pierre-Antoine; Gibson, Rajna; Gyger, Sebastien. “Hedge Fund Allocation with Survival Uncertainty and Investment Constraints.” 2002, Social Science Research Network Electronic Library



Barone-Adesi, Giovanni. “Does Volatility Pay?” 2000, Journal of Risk Finance, Volume 2, Number 1, pp. 27 – 35.



Barr, Dean; Beeman, David; Russell, Craig; Weinreich, Joshua; Yip, Kenneth. “Evolution of an Essential Asset Class--Absolute Return Strategies.” 2000, Journal of Investing, Volume 9, Number 4, pp. 9 - 24



Basak, Suleyman; Shapiro, Alex; Tepla, Lucie. “Risk Management with Benchmarking.” 2002, Social Science Research Network Electronic Library.



Bathal, Chenchuramaiah T.; Rao, Ramesh P. What stocks appeal to institutional investors? Journal of Investing, Spring 2005 v14 i1 p14(10).



Bauer, Rob; Haerden, Roul; Molenaar, Roderick. “Asset Allocation in Stable and Unstable Times.” Journal of Investing, Fall2004, Vol. 13 Issue 3, p72-80.



Baz, Jamil., Breedon, Francis., and Naik, Vasant. “Optimal portfolios of foreign currencies: Trading on the forward bias.” Journal of Portfolio Management, Fall 2001 v28 i1 p102(10).



Beder, Tanya Styblo. “The Great Risk Hunt.” 1999, Journal of Portfolio Management, Volume 25, Number 5, pp. 28 – 34.



Bekaert, Geert; Urias, Michael S. “Is There a Free Lunch in Emerging Market Equities?” 1999, Journal of Portfolio Management, Volume 25, Number 3, pp. 83 – 95.



Belden, Susan; Waring, M. Barton. “Compared to What? A Debate on Picking Benchmarks.” 2001, Journal of Investing, Volume 10, Number 4, pp. 66 – 72.



Berenyi, Zsolt. “Measuring Hedge Fund Risk with Multi-moment Risk Measures.” 2002, Social Science Research Network Electronic Library.



Berinato, Scout. “Playing with fire: IT is late to embrace risk analysis, but without it, project portfolio management is nothing more than a fad. (Includes related articles titled "The Five Risks to Software Projects," "The Shape of Risk," and "When to Use Which Tool”) (Risk Management ).” Financial Analysts Journal. Charlottesville: Jan/Feb 2001. Vol. 57, Iss. 1; p. 19 (9 pages).



Berkelaar, Arjan B.; Kobor, Adam; Tsumagari, Masaki. “The Sense and Nonsense of Risk Budgeting.” Financial Analysts Journal, Sep/Oct2006, Vol. 62 Issue 5, p63-75.



Berkowitz, Jeremy; O'Brien, James. “How Accurate Are Value-at-Risk Models at Commercial Banks?” 2002, Journal of Finance, Volume 57, pp. 1093 – 1111.



Bernstein, Peter L. “Shareholder value for whom? For what? (management greed at the top displaces shareholders as Number One). Journal of Portfolio Management, Fall 2002 v29 i1 p1(1).



Bernstein, Peter L. “The Stock Market and Monetary Policy: Comedy or Error?” Journal of Portfolio Management, Spring 2001 v27 i3 p1.



Bierman, Harold Jr. and Swaminathan, Bhaskaran. “Managing a Closed-End Investment Fund.” Journal of Portfolio Management, Summer 2000 v26 i4 p49.



Bird, Ron and Mckinnon, John. “Changes in the Behavior of Earnings Surprise: International Evidence an Implications.” Journal of Investing, Fall 2001 v10 i3 p19.



Blake, Christopher R.; Morey, Matthew R. “Morningstar Ratings and Mutual Fund Performance.” 2000, Journal of Financial and Quantitative Analysis, Volume 35, Number 3.



Blank, Herbert D.; Daniel, Wayne E. “The Defensive Asset Class: A New Paradigm in Plan Diversification.” 2002, Journal of Investing, Volume 11, Number 2, pp. 66 – 75.



Blitz, David C.; Hottinga, Andiouke. “Tracking Error Allocation; 2001, Journal of Portfolio Management, Volume 27, Number 4, pp. 19 – 26.”



Bogle, John C. “The implications of style analysis for mutual fund performance evaluation.” Journal of Portfolio Management, Summer 1998 v24 n4 p34(9).



Bowles, Tyler J.; Lewis, W. Cris. “The Effect of Income Taxes on Optimal Portfolio Selection.” 2001, Journal of Wealth Management, Volume 4, Number 2, pp. 29 – 36.



Braccia, Joseph A. “An analysis of currency overlays for U.S. pension plans.” Journal of Portfolio Management, Fall 1995 v22 i1 p88A(6).



Brealey, Richard A.; Kaplanis, Evi; “Hedge Funds and Financial Stability: An Analysis of their Factor Exposures.” 2001, Journal of International Finance, Volume 4, Number 1, pp. 161 – 187.



Brittain, Bruce. “Hedge Funds and Public Policy: The Search for the Silver Bullet.” 1999, Journal of Alternative Investments, Volume 2, Number 2, pp. 77 – 95.



Brown, Stephen J. and Goetzmann, William N. “Hedge funds with style: style analysis and management are crucial to success.” Journal of Portfolio Management, Winter 2003 v29 i2 p101(12).



Brown, Stephen J. and Goetzmann, William N. “Hedge Funds and the Asian Currency Crisis; 2000, Journal of Portfolio Management, Volume 26, Number 4, pp. 95 – 101.



Brown, David T.; Marshall, William J. “Assessing Fixed-Income Fund Manager Style and Performance from Historical Returns.” 2001, Journal of Fixed Income, Volume 10, Number 4, pp. 15 – 26.



Browne, Sid. “The Risk and Rewards of Minimizing Shortfall Probability.” 1999, Journal of Portfolio Management, Volume 25, Number 4, pp. 76 – 85.

Bruce, Brian; Mencher, Nick “So, are markets efficient or aren't they?” Journal of Investing, Spring 2005 v14 i1 p1(1).



Brunel, Jean L.P. “Absolute Return Strategies Revisited.” 2002, Journal of Wealth Management, Volume 4, Number 4, pp. 63 – 75.



Brunel, Jean L.P. “The Role of Alternative Assets in Tax Efficient Portfolio Construction.” 1999, Journal of Wealth Management, Volume 2, Number 1, pp. 9 – 26.



Brush, John S. and Schock, Varilyn K. “Gradient maximization: an integrated return/risk portfolio construction procedure.” Journal of Portfolio Management, Summer 1995 v21 n4 p89(10).



Brush, John S. and Schock, Varilyn K. “Higher Education for a Lower Cost; Money Management International Offers Debt-Saving Options for College Funding.” Journal of Portfolio Management, Summer 1995 v21 n4 p89(10).



Brusilovskiy, Pavel; Tilman, Leo M. “Measuring Predictive Accuracy of Value-at-Risk Models: Issues, Paradigms, and Directions.” 2001, Journal of Risk Finance, Volume 2, Number 3, pp. 83 – 91.



Buetow, Gerald W. and Johnson Robert. “Mutual Fund Asset Allocation and Federal Reserve Monetary Policy.” Journal of Investing, Summer 2001 v10 i2 p103.



Buetow, Gerald W.; Ratner, Hal. “The Dangers in Using Return Based Style Analysis in Asset Allocation.” 2000, Journal of Wealth Management, Volume 3, Number 2, pp. 26 – 38.



Buetow, Gerald W., Jr.; Johnson, Robert R.; Runkle, David E. “The Inconsistency of Return-Based Style Analysis.” 2000, Journal of Portfolio Management, Volume 26, Number 3, pp. 61 – 77.



Burke, John; Pagli, John M., Jr. “Convertible Arbitrage: A Manager's Perspective.” 1999, Journal of Alternative Investments, Volume 2, Number 1, pp. 72 – 78.



Caglayan, Mustafa Onur; Edwards, Franklin R. “Hedge Fund and Commodity Fund Investments in Bull and Bear Markets.” 2001, Journal of Portfolio Management, Volume 27, Number 4, pp. 97 – 108.



Cakici, Nusret; Foster, Kevin R. “Value at Risk for Interest Rate-Dependent Securities.” 2003, Journal of Fixed Income, Volume 12, Number 4, pp. 81 – 96.



Cantaluppi, Laurent; Hug, Ruedi. “Efficiency Ratio: A New Methodology for Performance Measurement.” 2000, Journal of Investing, Volume 9, Number 2, pp. 19 – 26.



Capital Market Inc. “Hedge Fund Survey: Risk Management Overview.” 2000, Journal of Alternative Investments, Volume 3, Number 2, pp. 7 – 19.



Castille, Charles; Pirone, John; Waring, Barton;Whitney, Duane. “Optimizing Manager Structure and Budgeting Manager Risk.” 2000, Journal of Portfolio Management, Volume 26, Number 3, pp. 90 – 104.



Center for International Securities and Derivatives Markets. “Performance Measurement in Traditional and Alternative Investment Strategies: A Statistical Review.” 2001, Journal of Alternative Investments, Volume 4, Number 1, pp. 74 – 80.



Chance, Don M. “Research Trends in Derivatives and Risk Management Since Black-Scholes.” 1999, Journal of Portfolio Management, Volume 25, Number 5, pp. 35 – 46.



Chande, Tushar S. “Controlling Risk And Managing Investor Expectations By Modeling The Dynamics Of Looses In Hedge Funds.” 1999, Derivatives Quarterly, Volume 5, Number 3, pp. 52 – 58.



Chatrath, Arjun; Liang, Youguo; McIntosh, Willard. “Can We Hedge REIT Returns?” 1999, Real Estate Finance, Volume 15, Number 4, pp. 78 – 84.



Chemla, Gilles. “Pension Fund Investment in Private Equity and Venture Capital in the U.S. and Canada.“ Journal of Private Equity, Spring2004, Vol. 7 Issue 2, p64, 8p, 1 chart, 4 graphs.

Chen, Hsiu-Lang; NJegadeesh, Narasimhan; Wermers, Russ. “The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers.” 2000, Journal of Financial and Quantitative Analysis, Volume 35, Number 3.



Chincarini, Ludwig and Daehwan, Kim. “The advantages of tax-managed investing: Avoiding the drag.” Journal of Portfolio Management, Fall 2001 v28 i1 p56(17).



Chow, Victor K. and Hulburt, Heather M. “Value, Size, and Portfolio Efficiency.” Journal of Portfolio Management, Spring 2000 v26 i3 p78.



Chow, George; Kritzman, Mark. “Value at Risk for Portfolios with Short Positions.” 2002, Journal of Portfolio Management, Volume 28, Number 3, pp. 73 – 81.



Chow, George; Kritzman, Mark; Van Royen, Anne-Sophie. “Risk Budgets: Comment.” 2001, Journal of Portfolio Management, Volume 27, Number 4, pp. 109 – 111.



Christopherson, Jon., Ding, Zhuanxin., and Greenwood, Paul. “The perils of success: The impact of asset growth on small-capitalization investment manager performance.” Journal of Portfolio Management, Winter 2002 v28 i2 p41(13).



Christopherson, Jon A.; Ferson, Wayne E.; Turner, Andrew L. “Performance Evaluation Using Conditional Alphas and Betas.” 1999, Journal of Portfolio Management, Volume 26, Number 1, pp. 59 – 72.



Chung, Sam Y. “Portfolio Risk Measurement: A Review of Value at Risk.” 1999, Journal of Alternative Investments, Volume 2, Number 1, pp. 34 – 42.



Coke, Carolyn; Fothergill, Martin. “Funds of Hedge Funds: An Introduction to Multi-Manager Funds.” 2001, Journal of Alternative Investments, Volume 4, Number 2, pp. 7 – 16.



Collins, Bruce M.; Fabozzi, Frank J. “Derivatives and Risk Management.” 1999, Journal of Portfolio Management, Volume 25, Number 5, pp. 16 – 27.



Corridon, Sean. “The effect of reduced supply of treasuries: Implications for fixed-income risk and portfolio asset allocation.” Journal of Portfolio Management, Winter 2002 v28 i2 p75(8).



Crowder, Garry; Hennessee, Lee; “Hedge Fund Indices.” 2001, Journal of Alternative Investments, Volume 4, Number 1, pp. 67 – 73.



Crowley, Paul; Purcell, Dave. “The Reality of Hedge Funds.” 1999, Journal of Investing, Volume 8, Number 3, pp. 26 – 44.



Dahlquist, Magnus ; Engström, Stefan; Söderlind, Paul. “Performance and Characteristics of Swedish Mutual Funds.” 2000, Journal of Financial and Quantitative Analysis, Volume 35, Number 3.



Dalvi, Manoj; Massaro, Vincent G. “Liquidity Risk For Firms And Financial Markets.” 1999, Derivatives Quarterly, Volume 6, Number 2, pp. 49 – 55.



Davis, James L. “Mutual fund performance and manager style.” Financial Analysts Journal. Jan/Feb 2001. Vol. 57, Iss. 1; p. 19(9).



De Souza, Clifford and Gokcan, Suleyman. “Hedge Fund Investing: A Quantitative Approach to Hedge fund Manager Selection and De-Selection.” Journal of Wealth Management, Spring2004, Vol. 6 Issue 4, p52, 22p, 18 charts, 2 graphs.



Dembo, Ron S. “Mark-to-Future: A new Risk Measurement Approach.” 2000, Derivatives Quarterly, Volume 6, Number 4, pp. 42 – 49.



Dennis, Patrick; Mayhew, Stewart. “Risk-Neutral Skewness: Evidence from Stock Options.” 2002, Journal of Financial and Quantitative Analysis, Volume 37, Number 3.



Dhatt, Manjeet S.; Yong, H. Kim; Mukherji, Sandip. “Can composite value measures enhance portfolio performance?” Journal of Investing, Winter 2004 v13 i4 p42(7)



Diebold, Francis X.; Schuermann, Til; Stroughair, John D. “Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management.” 2000, Journal of Risk Finance, Volume 1, Number 2, pp. 30 – 36.



Dimson, Elroy; Jackson, Andrew. “Performance Evaluation: High-Frequency Performance Monitoring.” 2001, Journal of Portfolio Management, Volume 28, Number 1, pp. 33 – 43.



Dirham, Benson J. “Monetary policy and stock price returns.” Financial Analysts Journal. Jul/Aug 2003. Vol. 59, Iss. 4; p. 26.

Dor, Arik Ben; Dynkin, Lev; Gould, Tony. “Style Analysis and Classification of Hedge Funds.” Journal of Alternative Investments, Fall2006, Vol. 9 Issue 2, p10-29.



Douglass, Julian; Wu, Owen; and Ziemba, William. “Stock Ownership Decisions in Defined-Contribution Pension Plans. Journal of Portfolio Management, Summer2004, Vol. 30 Issue 4, p92, 9p.



Dowd, Kevin “Assessing VaR Accuracy.” 2000, Derivatives Quarterly, Volume 6, Number 3, pp. 61 – 63.



Dowd, Kevin. “Estimating Value at Risk: A Subjective Approach.” 2000, Journal of Risk Finance, Volume 1, Number 4, pp. 43 – 46.



Dowd, Kevin. “Estimating VaR With Order Statistics.” 2001, Journal of Derivatives, Volume 8, Number 3, pp. 23 – 31.



Dowd, Kevin. “A Value at Risk Approach to Risk-Return Analysis.” 1999, Journal of Portfolio Management, Volume 25, Number 4, pp. 60 – 67.



Drippe, Peter; Eyrick, Dwight. “Trader's Corner: Trading Strategy Forum: Merger Arbitrage.” 2001, Journal of Alternative Investments, Volume 4, Number 2, pp. 67 – 72.



D'Vari, Ron; Sosa, Juan C. “Value at Risk Estimates for Brady Bond Portfolios.” 2000, Journal of Fixed Income, Volume 10, Number 3, pp. 7 – 23.



Dynkin, Lev; Hyman, Jay; Lindner, Peter. “Hedging and Replication of Fixed-Income Portfolios.” 2002, Real Estate Finance, Volume 11, Number 4, pp. 43 – 63.



Dynkin, Lev., Hyman, Jay., and Konstantinovsky, Vadim. “Sufficient diversification in credit portfolios: number of issues and downgrade risk.” Journal of Portfolio Management, Fall 2002 v29 i1 p89(26).



Eaker, Mark; Grant, Dwight M.; Woodard, Nelson. “Realized Rates of Return in Emerging Equity Markets.” 2000, Journal of Portfolio Management, Volume 26, Number 3, pp. 41 – 49.



Editors, Journal of Risk Finance. “Fundamentals of Financial Markets III.” 2001, Journal of Risk Finance, Volume 2, Number 4, pp. 60 – 61.



Edwards, Franklin R. “Do Hedge Funds Have a Future?” 1999, Journal of Alternative Investments, Volume 2, Number 2, pp. 63 – 68.



Edwards, Franklin R.; Liew, Jimmy. “Hedge Funds versus Managed Futures as Asset Classes.” 1999, Journal of Derivatives, Volume 6, Number 4, pp. 45 – 64.



El-Jahel, Lina; Perraudin, William; Sellin, Peter. “Value at Risk For Derivatives.” 1999, Journal of Derivatives, Volume 6, Number 3, pp. 7 – 26.



Ellis, Charles D. “Will Business Success Spoil the Investment Management Profession?” Journal of Portfolio Management, Spring 2001 v27 i3 p11.



Ellis, George T. “Nearly One in Three 401(k) Participants Would Use Advisors to Make Investment Choices, Nationwide Financial(SM) Study Finds; Participants report desire for professional money management services, which are picking up steam in the 401(k) industry.” Journal of Investing, Winter 2002 v11 i4 p31(7).



Elnekave, Robi. “Portfolio size: an unrecognized source of risk.” Journal of Investing, Winter 2002 v11 i4 p31(7).



Ennis, Richard M. “The Case for Whole-Stock Portfolios.” Journal of Portfolio Management, Spring 2001 v27 i3 p17.



Ennis, Richard M.; Sebastian, Michael D. “The Small-Cap Alpha Myth.” 2002, Journal of Portfolio Management, Volume 28, Number 3, pp. 11 – 16.



Estep, Preston W. “Cash flows, asset values, and investment returns: tying return forecasting to uses of cash.” Journal of Portfolio Management, Spring 2003 v29 i3 p17(12).



Fant, L. Franklin; O'Neal, Edward S. “Do You Need More than One Manager for a Given Equity Style?” 1999, Journal of Portfolio Management, Volume 25, Number 4, pp. 68 – 75.

Farber, Lawrence. “What mutual fund expense ratios signify.” Medical Economics, Sept 19, 2003 v80 i18 p86(1).



Farber, Lawrence. “Nursing an anemic pension fund.” Medical Economics, Sept 5, 2003 v80 i17 p86(1).



Faugère, Christophe; Shawky, Hany A. and Smith, David M. “Sell Discipline and Institutional Money Management.” Journal of Portfolio Management, Spring2004, Vol. 30 Issue 3, p95, 11p.



Favre, Laurent; Galeano, Jose-Antonio “Mean-Modified Value-at-Risk Optimization with Hedge Funds.” 2002, Journal of Alternative Investments, Volume 5, Number 2, pp. 21 – 25.



Favre, Laurent; Galeano, Jose-Antonio. “An Analysis of Hedge Fund Performance Using Loess Fit Regression.” 2002, Journal of Alternative Investments, Volume 4, Number 4, pp. 8 – 24.



Fender, William E. “Why international equities belong in a diversified investment portfolio.” Journal of Investing, Winter 2002 v11 i4 p63(4).



Fender, William E. “Mutual Fund diversification” Journal of Investing, Summer 2005 v8 i3 p32 (7).



Fenghua Wang; Yexiao Xu. “What Determines Chinese Stock Returns?” Financial Analysts Journal, Nov/Dec2004, Vol. 60 Issue 6, p65-77.



Ferguson, Robert and Simaan, Yusif. “Portfolio composition and the investment horizon revisited.” Journal of Portfolio Management, Summer 1996 v22 n4 p62(6).



Ferruz, Luis; Vicente, Luis. “Style portfolio performance: Empirical evidence from the Spanish equity funds”. Journal of Asset Management, April 2005 v5 i6 p397(13).



Fiches, Michael. “Endowment management trends: struggling to regain investment momentum, college and university endowment managers are adjusting portfolios, investigating new methods of asset management and researching new giving programs.” The Journal of Alternative Investments, Oct 1999, v32 i7 p35 (7).



Figlewski, S and Kon, S.J. “Portfolio Management with Stock Index Futures.” Financial Analysts Journal, November 2005 v38 p52-59.

Findlay, M.C., Williams, E.E., and Thompson, J.R. “Why we all held our breath when the market reopened: the distinction between risk and uncertainty.” Journal of Portfolio Management, Spring 2003 v29 i3 p91(11).



Finnerty, John D. “Adjusting the Binomial Model for Default Risk.” 1999, Journal of Portfolio Management, Volume 25, Number 2, pp. 93 – 104.



Fischer, Brian. “Understanding Tracking Error and Its Relationship with VaR.” 2001, Journal of Investing, Volume 10, Number 3, pp. 54 – 60.



Fisher, Jeffrey D.; Geltner, David. “Property-Level Benchmarking of Real Estate Development Investments Using the NCREIF Property Index.” 2002, Real Estate Finance, Volume 18, Number 4, pp. 71 – 87.



Fisher, Kenneth L. and Statman, Meir. “Investment advice from mutual fund companies.” Journal of Portfolio Management, Fall 1997 v24 n1 p9(17).



Flood, Eugene and Ramachandran, Narayan. “Integrating Active and Passive Management.” Journal of Portfolio Management, Fall 2000 v27 i1 p10.



Flynn, Michael J., Kudish, David., and McDermott, Susan N. “Use style allocation to improve pension fund returns.” Corporate Cashflow Magazine, Feb 1996 v17 n3 p20(4).



Fong, H. Gifford; Lin, Kai-Ching. “A New Analytical Approach to Value at Risk.” 1999, Journal of Portfolio Management, Volume 25, Number 5, pp. 88 – 98.



Frey, Rudiger; Pattie, Pierre. “Risk Management For Derivatives In Illiquid Markets: A Simulation Study.” 2002, Social Science Research Network Electronic Library.



Fridson, Martin S. “Inventing Money: The Story of Long-Term Capital Management and the Legends Behind It / When Genius Failed: The Rise and Fall of Long-Term Capital Management.” Financial Analysts Journal. Mar/Apr 2001. Vol. 57, Iss. 2; p. 80 (3).



Fung, William; Hsieh, David A. “Risk in Fixed-Income Hedge Fund Styles.” 2002, Journal of Fixed Income, Volume 12, Number 2.



Fung, William; Hsieh, David A. “Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases.” 2000, Journal of Financial and Quantitative Analysis, Volume 35, Number 3.



Gaivoronski, Alexei; Pflug, Georg. “Properties And Computation Of Value At Risk Efficient Portfolios Based On Historical Data.” 2002, Social Science Research Network Electronic Library.



Gastineau, Gary L. “Protecting Fund Shareholders from Costly Share Trading.” Financial Analysts Journal, May/Jun2004, Vol. 60 Issue 3, p22, 11p.



Gay, Gerald D.; Kim, Jongchai; Nam, Jouahn. “The Case Of The SK Securities And J.P. Morgan Swap: Lessons In VAR Frailty.” 1999, Derivatives Quarterly, Volume 5, Number 3, pp. 13 – 26.



Geltner, David. “Benchmarking Manager Performance Within the Private Real Estate Investment Industry.” 2000, Real Estate Finance, Volume 17, Number 1, pp. 23 – 34.

Geltner, David; Ling, David C. “Ideal Research and Benchmark indexes in Private Real Estate: Some Conclusions From the RERI/PREA Technical Report.” 2001, Real Estate Finance, Volume 17, Number 4, pp. 17 – 28.



Ghaleb-Harter, Tanya; Lamm, R. McFall, Jr. “Do Hedge Funds Belong in Taxable Portfolios?” 2001, Journal of Wealth Management, Volume 4, Number 1, pp. 58 – 73.



Gibson, Scout and Safieddine, Assem. “Does smart money move markets? Institutional investors play a price-setting role.” Journal of Portfolio Management, Spring 2003 v29 i3 p66(13).



Gilkeson, James H.; Michelson, Stuart E. “Manager Skill and Risk Budgeting.” Journal of Investing, Spring2005, Vol. 14 Issue 1, p73-82.



Giraud, Jean-Ren; Hedges, James R., IV; Wright, Ted. “Hedge Funds: Economic Benefits and Practical Challenges.” 2001, Journal of Alternative Investments, Volume 4, Number 3, pp. 27 – 37.



Grundke, Peter. “Integrating Interest Rate Risk in Credit Portfolio Models.” Journal of Risk Finance, Winte/Spring2004, Vol. 5 Issue 2, p6, 10p, 5 charts.



Goetzmann, William N.; Ingersoll Jr., Jonathan E.; Spiegel, Matthew I.; Welch, Ivo. “Sharpening Sharpe Ratios.” 2002, National Bureau of Economic Research.



Goldberg, Lisa and Breger, Ludovic. “Modeling credit risk: currency dependence in global credit markets.” Journal of Portfolio Management, Winter 2003 v29 i2 p90(11).



Goldman Sachs & Co.; Financial Risk Management. “The Hedge Fund "Industry" and Absolute Return Funds.” 1999, Journal of Alternative Investments, Volume 4, Number 7, pp. 11 – 28.



Golec, Joseph. “Regulation and the rise in asset-based mutual fund management fees.” Journal of Financial Research, Spring 2003 v26 i1 p19(12).



Gordon, Robert N. “Making Hedge Funds More Tax-Efficient.” Journal of Wealth Management, Summer2004, Vol. 7 Issue 1, p75, 6p, 3bw.



Gorton, Gary; Rouwenhorst, K. Geert. “Facts and Fantasies about Commodity Futures.” Financial Analysts Journal, Mar/Apr2006, Vol. 62 Issue 2, p47-68.



Greene, Claire. “Portfolio management and the rise of the secondary market.” Commercial Lending Review, March 2003 v18 i2 p1(2).



Gregoriou, Greg N.; Rouah, Fabrice. “Do Stock Market Indices Move the Ten Largest Hedge Funds? A Cointegration Approach.” 2001, Journal of Alternative Investments, Volume 4, Number 2, pp. 61 – 66.

Gringberd, George. “Regulations on Trading Mechanisms.” Journal of Financial Research, Fall 2002 v12 i4 p180(18).



Grinold, Richard C. “Mean-variance and scenario-based approaches to portfolio selection.” Journal of Portfolio Management, Winter 1999 v25 i2 p10(1).



Grundke, Peter. “Integrating Interest Rate Risk in Credit Portfolio Models.” Journal of Risk Finance, Winte/Spring2004, Vol. 5 Issue 2, p6, 10p, 5 charts.



Guo, Binbin and Darnell, Max. “Time diversification and long-term asset allocation.” Journal of Wealth Management, Winter 2005 v8 i3 p65(13).



Gupta, Anurag; Liang, Bing. “Do Hedge Funds Have Enough Capital? A Value at Risk Approach.” 2002, Social Science Research Network Electronic Library.



Gupta, Francis; Prajogi, Robertus; Stubbs, Eric. “The Information Ratio and Performance.” 1999, Journal of Portfolio Management, Volume 26, Number 1, pp. 33 – 39.



Haight, G. Timothy; Engler, George; Smith, Kenneth J. “An Examination of the Characteristics of College Endowment Funds.” Journal of Investing, Fall2006, Vol. 15 Issue 3, p47-51.



Healey, Thomas J.; Strong, Hal. “Alternative Investments: Institutional Dollars in Search of Higher Returns.” 2000, Journal of Alternative Investments, Volume 3, Number 1, pp. 7-11.



Hendershott, Patric H.; Hendershott, Robert J. “On Measuring Real Estate Risk.” 2002, Real Estate Finance, Volume 18, Number 4, pp. 35 – 40.



Higgins, Eric James and Shawn, Howton. “An analysis of closed-end fund seasoned equity offerings.” Journal of Financial Research, Summer 2003 v26 i2 p243(15).



Hirschey, Mark. “Extreme return reversal in the stock market: strong support for insightful fundamental analysis.” Journal of Portfolio Management, Spring 2003 v29 i3 p78(15).



Hochman, Noah E.; Ramesh, Lalita; Yago, Glenn. “Hedge Funds: Structure and Performance.” 1999, Journal of Alternative Investments, Volume 2, Number 1, pp. 43 – 56.



Hoerneman, Jeffrey T., Junkans, Dean and Zarate, Carmen. “Strategic asset allocation and other determinants of portfolio returns.” Journal of Wealth Management, Winter 2005 v8 i3 p26.



Hopkins, Robert E., Jr.; Southard, Jon A.; Torto, Raymond G.; Wheaton, William C.; “Evaluating Real Estate Risk: Debt Applications.” 2001, Real Estate Finance, Volume 18, Number 3, pp. 29 – 41.



Horvitz, Jeffrey E.; Wilcox, Jarrod W. “Tax management of stock portfolios.” Journal of Investing, Spring 2005 v14 i1 p83(7).



Hottinga, Jouke., Van Leeuwen, Eric., and Van Ijserloo, Judith. “Successful factors to select outperforming corporate bonds: Useful filters in a very large universe.” Journal of Portfolio Management, Fall 2001 v28 i1 p88(14).



Howard, Joanne; Benefits of Traditional Asset Classes for Taxable Individuals; 2002, Journal of Wealth Management, Volume 4, Number 4, pp. 24 – 36.



Hsieh, David A.; Fung, William. “Hedge-Fund Benchmarks: Information Content and Biases.” 2002, Financial Analysts Journal, Volume 58, Number 1.



Hung-Gay, Fung; Xiaoqing, Eleanor and Jot, Yau. “Do Hedge Fund Managers Display Skill?” Journal of Alternative Investments, Spring2004, Vol. 6 Issue 4, p22, 10p, 5 charts.



Hunt, Lacy H. and Hoisington, David M. “Estimating the Stock/Bond risk premium: an alternative approach.” Journal of Portfolio Management, Winter 2003 v29 i2 p28(7).



Ineichen, Alexander M. “Funds of Hedge Funds:Industry Overview.” 2002, Journal of Wealth Management, Volume 4, Number 4, pp. 47 – 62.



Ineichen, Alexander M. “Who's Long? Market-Neutral versus Long/Short Equity.” 2002, Journal of Alternative Investments, Volume 4, Number 4, pp. 62 – 69.



Irvine, Paul; Simko, Paul J. and Nathan, Siva. “Asset Management and Affiliated Analysts' Forecasts.” Financial Analysts Journal, May/Jun2004, Vol. 60 Issue 3, p67, 12p, 6 charts, 1 graph.



Jacobs, Bruce I., Levy, Kenneth N. and Starer David. “Long-short portfolio management: an integrated approach.” Journal of Portfolio Management, Winter 1999 v25 i2 p23(1).



Jansen, Roel and Van Dijk, Ronald. “Optimal benchmark tracking with small portfolios: Using the diversity measure to deal with constraints on number of stocks in a Portfolio.” Journal of Portfolio Management, Winter 2002 v28 i2 p33(7).



Jeffrey, Robert. “Reflections on Portfolio Management After 25 Years.” Journal of Investing, Spring 2001 v10 i1 p9.



Johansson, Frederik; Sieler, Michael J.; Tjarnberg, Mikael. “Measuring Downside Portfolio Risk.” 1999, Journal of Portfolio Management, Volume 26, Number 1, pp. 96 – 107.



Jones, Charles P., Wilson, Jack W. and Lundstrum, Leonard L. “Estimating stock returns: should investors expect less in the future?” Journal of Portfolio Management, Fall 2002 v29 i1 p40(11).



Jonson, Stafford R., Fiore, Lyle C., and Zuber, Richard. “The investment performance of common stocks in relation to their price-earnings ratios: an update of the Basu study.” The Financial Review, August 1989 v24 n3 p499(7).



Jung, Jay. “Valuation and Performance of Convertible Bonds with Hedge Funds.” 2000, Journal of Alternative Investments, Volume 2, Number 4, pp. 24 – 34.



Kapadia, Nikunj. “Negative Vega? Understanding Options on Spreads.” 1999, Journal of Alternative Investments, Volume 1, Number 4, pp. 75 – 78.



Karavas, Vassilios N. “Alternative Investments in the Institutional Portfolio.” 2000, Journal of Alternative Investments, Volume 3, Number 3, pp. 11 – 26.



Karavas, Vassilios N. “Alternative investments in the institutional portfolio.” Journal of AlternativeInvestments, Winter 2000 v3 i3 p11(15).



Kat, Harry M.; Lu, Sa. “An Excursion into the Statistical Properties of Hedge Fund Returns.” 2002, Social Science Research Network Electronic Library.



Kat, Harry M. “In Search of the Optimal Fund of Hedge Funds.” Journal of Wealth Management, Spring2004, Vol. 6 Issue 4, p43, 9p, 7 charts.



Kauffman, Richard L. “Assets & liabilities: a mismatch not made in heaven.” Institutional Investor, Sept 2003 v37 i9 p21(1).



Kawaller, Ira G. “Hedging the currency exposure of a non-dollar portfolio.” Derivatives Quarterly, Winter98, Vol. 5 Issue 2, p62, 5p.



Kenneth, E. Scott. “What role is there for independent directors of mutual funds?” Villanova Journal of Law and Investment Management, Spring 2000 v2 i1 p1-8.



Khan, Shoaib A. “Merger Arbitrage: A Long-Term Investment Strategy.” 2002, Journal of Wealth Management, Volume 4, Number 4, pp. 76 – 81.



Knudson, Kent. “Mutual fund distribution payments: navigating the conflicts.” Journal of Investment Compliance, Winter 2003 v3 i3 p25(4).



Knudson, Kent. “PlanView Welcomes New Services Partners: The Fountain Group and Project Corps; Consulting Groups to Offer Additional Strategic Portfolio Management Expertise.” Journal of Investment Compliance, Fall 2002 v2 i5 p56(3).



Konberg, Magnus; Lindberg, Martin. “Hedge Funds: A Review of Historical Performance.” 2001, Journal of Alternative Investments, Volume 4, Number 1, pp. 21 – 32.



Korkie, Robert M. and Turtle, Harry J. “What's a portfolio manager worth? A new style performance measure.” Journal of Portfolio Management, Winter 2002 v28 i2 p65(9).



Korn, Jay Donald. “HIGH YIELDS, ON THE HOUSE” Journal of Portfolio Management, Jun 2005. Vol. 35, Iss. 11; p. 58 (1 page).



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Krause, Andreas. “Exploring the limitations of Value at Risk: How Good is it in Practice?” 2003, Journal of Risk Finance, Volume 4, Number 2.



Kritzman, Mark. “Currency Hedging and the Risk of Loss.” 2000, Journal of Alternative Investments, Volume 3, Number 3, pp. 27 – 32.



Krokhmal, Pavlo; Uryasev, Stanislav; Zrazhevsky, Grigory. “Risk Management for Hedge Fund Portfolios.” 2002, Journal of Alternative Investments, Volume 5, Number 1, pp. 10 – 30.



Krokhmal, Pavlo; Uryasev, Stanislav; Zrazhevsky, Grigory M. “Comparative Analysis of Linear Portfolio Rebalancing Strategies: An Application to Hedge Funds.” 2002, Social Science Research Network Electronic Library.



Krokhmal, Pavlo., Uryasev, Stanislav., and Zrazhevsky, Gregory. “Risk management for hedge fund portfolios: a comparative analysis of linear rebalancing strategies.” Journal of Alternative Investments, Summer 2002 v5 i1 p10(20).



Kroll, Guy, and Yoram Kaplanski. "VaR Analytics--Portfolio Structure, Key Rate Convexities, and VaR Betas." Journal of Portfolio Management, Spring 2001 v27 i3 p116.



Kroll, Yoram. "VaR Analytics-Portfolio Structure, Key Rate Convexities, and VaR Betas": Comment. 2001, Journal of Portfolio Management, Volume 27, Number 3, pp. 116 – 119.



Kroll, Yoram. "Asset Allocation Models. 2005, Journal of Portfolio Management, Volume 32, Number 4, pp. 70 – 102.



Kuruc, Alvin. “Model-Independent Measures of Volatility Exposure.” 2000, Journal of Risk Finance, Volume 2, Number 1, pp. 19 – 26.



Kwan, Clarence C.Y. “Improving the efficient frontier: by pooling investment capital.” Journal of Portfolio Management, Winter 2003 v29 i2 p69(11).



Lam, Daniel Y.; Lee, Wai. “Implementing Optimal Risk Budgeting.” 2001, Journal of Portfolio Management, Volume 28, Number 1, pp. 73 – 80.



Lamm, R. McFall, Jr. “Portfolios of Alternative Assets: Why Not 100% Hedge Funds?” 1999, Journal of Investing, Volume 8, Number 4, pp. 87 – 97.



Lamm, R. McFall, Jr. “Hedge Funding.” 2005, Journal of Investing, Volume 6, Number 9, pp. 45 – 56.



Lane, Morton N. “CDOs as Self-Contained Reinsurance Structures.” 2001, Journal of Risk Finance, Volume 2, Number 3, pp. 62 – 69.



Larsen, Glen A. and Resnick, Bruce G. “Parameter Estimation Techniques, Optimization Frequency, and Portfolio Return Enhancement.” Journal of Portfolio Management, Summer 2001 v27 i4 p27.



Lazer, Ron., Lev, Baruch., and Livnat, Joshua. “Internet traffic and portfolio returns.” Financial Analysts Journal. May/Jun 2001. Vol. 57, Iss. 3; p. 30 (11 pages).



Lehar, Alfred. “Measuring Systemic Risk: A Risk Management Approach.” 2002, Social Science Research Network Electronic Library.



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Lhabitant, Francois-Serge. “Assessing Market Risk for Hedge Funds and Hedge Fund Portfolios.” 2001, Journal of Risk Finance, Volume 2, Number 4, pp. 16 – 32.



Lhabitant, Francois-Serge. “Derivatives in Portfolio Management: Why Beating the Market is Easy?; 2000, Derivatives Quarterly, Volume 7, Number 2, pp. 39 – 46.



Lhabitant, Francois-Serge. “Assessing Market Risk for Hedge Funds and Hedge Fund Portfolios.” 2001, Journal of Risk Finance, Volume 2, Number 4, pp. 16 – 32.



Liang, Bing. “The accuracy of hedge fund returns: auditing makes a real difference.” Journal of Portfolio Management, Spring 2003 v29 i3 p111(13).



Liang, Bing. “Hedge Funds: The Living and the Dead.” 2000, Journal of Financial and Quantitative Analysis, Volume 35, Number 3.



Liang, Youguo; Whitaker, William. “Style Attributes of Equity REITs.” 2000, Real Estate Finance, Volume 17, Number 2, pp. 31 – 36.



Licis, Kristaps. “Mutual fund information on-line.” Journal of Alternative Investments, Fall 2001 v4 i2 p78(2).



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Li-Kao, Duen. “Battle for Alphas: Hedge Funds versus Long-Only Portfolios.” 2002, Financial Analysts Journal.



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Li zhu; Davis, Joseph H.; Kinniry Jr., Francis M. and Wicas, Nelson W. “Private Equity Performance Measurement and Its Role in a Portfolio.” Journal of Wealth Management, Summer2004, Vol. 7 Issue 1, p27, 8p, 4 charts, 1 diagram, 2 graphs.



Lobosco, Angelo “Style/Risk-Adjusted Performance.” 1999, Journal of Portfolio Management, Volume 25, Number 3, pp. 65 – 68.



Loeacutepez de Prado, Marcos Mailoc and Peijan, Achim. “Measuring Loss Potential of Hedge Fund Strategies.” Journal of Alternative Investments, Summer2004, Vol. 7 Issue 1, p7, 25p, 12 charts, 23 graphs.



Longin, Francois; “Beyond the VaR.” 2001, Journal of Derivatives, Volume 8, Number 4, pp. 36 – 48.



Louton, David; Saraoglu, Hakan. “Performance Implications of Holding Multiple Mutual Funds with the Same Investment Objective.” Journal of Investing, Spring2006, Vol. 15 Issue 1, p62-78.



Madan, Dilip B.; McPhail, Gavin S. “Investing in Skews.” 2000, Journal of Risk Finance, Volume 2, Number 1, pp. 10 – 18.



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Manganelli, Simone; Engle, Robert. “Value-at-Risk Models in Finance.” 2003, Social Science Research Network Electronic Library.



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Martin, George; Schneeweis, Thomas. “The Benefits of Hedge Funds: Asset Allocation for the Institutional Investor.” 2001, Journal of Alternative Investments, Volume 4, Number 3, pp. 7 – 26.



Martins, Luis F., Petrov, Constantin., and Kelly, Jonathan M. “Managing Market Risk for an Emerging Market Debt Portfolio.” Journal of Portfolio Management, Winter 2001 v27 i2 p75.



Mason, Alan; Hord, Jeff. “Implementing a Portable Alpha Strategy: The Transition Factor.” Journal of Investing, Fall2004, Vol. 13 Issue 3, p126-128.



Masters, Seth J. “Rebalancing: establishing a consistent framework.” Journal of Portfolio Management, Spring 2003 v29 i3 p52(7).



McCrary, Sarah A. “Put And Call Return Structures In Hedge Funds.” 1999, Derivatives Quarterly, Volume 6, Number 1, pp. 27 – 38.



Mcfall Lamm R. “Portfolios of Alternative Assets: Why Not 100% Hedge Funds?” Journal of Investing, Winter 1999 v8 i4 p87.



Mcfee, Robert T., and William, Sharon. “Some record-setters: Money management firms see assets increase in 2nd quarter; Stock market hike leads to best AUM growth in years.” Financial Analysts Journal. Jan/Feb 2001. Vol. 9, Iss. 4; p. 45 (5 pages).



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Meissner, Gunter. “Volatility Arbitrage In Fixed-Income Markets.” 1999, Derivatives Quarterly, Volume 5, Number 3, pp. 59 – 67.



Meeks, Kenneth. “Family business: bringing family together for a business retreat is the secret to achieving long-term plans and short-term goals. (Money Management).” Financial Analysts Journal. Charlottesville: August 2003 v34 i1 p87(5).



Mende, Beatriz Vaz. “Computing Robust Risk Measures in Emerging Markets Using Extreme Value Theory.” 2000, Emerging Markets Quarterly, Volume 4, Number 2, pp. 25 – 42.



Merchant, Shanker “Investor Perspective on Hedge-Fund-Linked Principal-Protected Securities.” Journal of Alternative Investments, Summer2004, Vol. 7 Issue 1, p32, 12p, 4 diagrams.



Merton, Robert C. “Thoughts on the future: Theory and practice in investment management.” Financial Analysts Journal. Charlottesville: Jan/Feb 2003. Vol. 59, Iss. 1; p. 17 (7 pages).



Miller, John. and Fuller, Stewart. “Principles of Activism vs. Passivism Management.” The Institutional Investor, Fall 2000 v3 i6 p54(12).



Milner, Francis and Vos, Ed. “Private equity: a portfolio approach.” Journal of Alternative Investments, Spring 2003 v5 i4 p51(15).



Minor, Dylan B. “Transcending the Active/Passive Debate.” Journal of Investing, Winter2003, Vol. 12 Issue 4, p74-82.



Mixon, Scott. “Earnings Revisions and Portfolio Returns.” Journal of Investing, Fall 2001 v10 i3 p33.

Morley, Ian. “Alternative Investments: Perceptions and Reality.” 2001, Journal of Alternative Investments, Volume 3, Number 4, pp. 62 – 64.



Mozes, Haim A.; Williams, Patricia A. “Modeling Earnings Expectations Based on Clusters of Analyst Forecasts.” 1999, Journal of Investing, Volume 8, Number 2, pp. 25 – 38.



Mukherjee, Barsendu. “Review of The New Generation of Risk Management for Hedge Funds and Private Equity Investments.” Journal of Alternative Investments, Summer2004, Vol. 7 Issue 1, p98, 2p.



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Murray, Scott. “Benchmark-Relative Value At Risk.” 1999, Derivatives Quarterly, Volume 5, Number 4, pp. 37 – 46.



Navone, Marco A. “Diversifying Market Risk through Market-Neutral Strategies.” 2002, European Investment Review.



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Nelson, Philip., Bush, Edward., and Johnson, Susanne. “Theory of the Portfolio Alternatives.” Journal of Alternative Investments, Winter 2001 v13 i6 p54(18).



Nelson, George. “Controlling the Cost of Your Communication and Technology Needs; Money Management International Offers Tips for Getting the Most Out of Your Communication Plan.” Journal of Alternative Investments, Summer 1999 v15 i5 p97(15).



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Papageorgiou, Anargyros; Paskov, Spassimir. “Deterministic Simulation for Risk Management.” 1999, Journal of Portfolio Management, Volume 25, Number 5, pp. 122 – 127.



Park, Sangkyun. “What Does the P-E Ratio Mean?” 2000, Journal of Investing, Volume 9, Number 3, pp. 27 – 34.



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Phoa, Wesley. “Estimating Credit Spread Risk Using Extreme Value Theory.” 1999, Journal of Portfolio Management, Volume 199, Number 25, pp. 3.



Qian, Edward., and Gorman Stephen. “Conditional distribution in portfolio theory.” Financial Analysts Journal. Charlottesville: Mar/Apr 2001. Vol. 57, Iss. 2; p. 44 (8 pages).



Rahl, Leslie. “AIMA -- Hedge Fund Risk Transparency.” 2002, Global Investor Bookshop.



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Ramaswamy, Srichander. “Managing Credit Risk in a Corporate Bond Portfolio.” 2002, Journal of Portfolio Management, Volume 28, Number 3, pp. 67 – 72.



Ramesh, Lalita; Yago, Glenn. “Hedge Funds: Systemic Risk and Public Policy.” 1999, Journal of Alternative Investments, Volume 2, Number 2, pp. 69 – 76.



Rattray, Sandy. “Assessing a Fair Level for Implied Volatility.” 2000, Derivatives Quarterly, Volume 7, Number 1, pp. 36 – 48.



Reilly, Frank K. and Wright, David J. “Analysis of Risk-Adjusted Performance of Global Market Assets.” Journal of Portfolio Management, Spring2004, Vol. 30 Issue 3, p63, 15p.



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Rubinstein, Mark. “Derivatives Performance Attribution.” 2001, Journal of Financial and Quantitative Analysis, Volume 36, Number 1.



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Santangelo, Betty. “New anti-money laundering rules for investment funds on the horizon.” Journal of Investment Compliance, Winter 2003 v2 i3 p25(9).



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Schwartz, Robert A. and Steil, Benn. “TNI Securities Announces Partnership with Leading Independent Research Firm; TNI Securities Partners with Foresight Investment Solutions to Deliver Unbiased Research and Turn-Key Brokerage, Portfolio Management.” Journal of Portfolio Management, Spring 2002 v28 i3 p39(11).



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Shapiro, Harvey D. “Better times are coming--and this time our panel really means it: with war fears resolved, credit analysts focus on the case for economic recovery.” Institutional Investor, Sept 2003 v37 i9 p93(7).



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