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Essays in Honor of Jack Treynor
Editors: John B. Guerard Jr.
Addresses topics in investment analysis and portfolio construction that are constantly being re-examined
Treynor is one of the most cited and influential financial writers
Features outstanding faculty and practitioner contributions
This volume, inspired by and dedicated to the work of pioneering investment analyst, Jack Treynor, addresses the issues of portfolio risk and return and how investment portfolios are measured. In a career spanning over fifty years, the primary questions addressed by Jack Treynor were: Is there an observable risk-return trade-off? How can stock selection models be integrated with risk models to enhance client returns? Do managed portfolios earn positive, and statistically significant, excess returns and can mutual fund managers time the market?
Since the publication of a pair of seminal Harvard Business Review articles in the mid-1960’s, Jack Treynor has developed thinking that has greatly influenced security selection, portfolio construction and measurement, and market efficiency. Key publications addressed such topics as the Capital Asset Pricing Model and stock selection modeling and integration with risk models. Treynor also served as editor of the Financial Analysts Journal, through which he wrote many columns across a wide spectrum of topics.
This volume showcases original essays by leading researchers and practitioners exploring the topics that have interested Treynor while applying the most current methodologies. Such topics include the origins of portfolio theory, market timing, and portfolio construction in equity markets. The result not only reinforces Treynor’s lasting contributions to the field but suggests new areas for research and analysis.
Table of contents (19 chapters)
Front Matter
The Theory of Risk, Return, and Performance Measurement
Portfolio Theory: Origins, Markowitz and CAPM Based Selection
Market Timing
Returns, Risk, Portfolio Selection, and Evaluation
Validating Return-Generating Models
Invisible Costs and Profitability
Mean-ETL Portfolio Construction in US Equity Market
Portfolio Performance Assessment: Statistical Issues and Methods for Improvement
The Duality of Value and Mean Reversion
Performance of Earnings Yield and Momentum Factors in US and International Equity Markets
Alpha Construction in a Consistent Investment Process
Empirical Analysis of Market Connectedness as a Risk Factor for Explaining Expected Stock Returns
The Behaviour of Sentiment-Induced Share Returns: Measurement When Fundamentals Are Observable
Constructing Mean Variance Efficient Frontiers Using Foreign Large Blend Mutual Funds
Fundamental Versus Traditional Indexation for International Mutual Funds: Evaluating DFA, WisdomTree, and RAFI PowerShares
Forecasting Implied Volatilities for Options on Index Futures: Time-Series and Cross-Sectional Analysis versus Constant Elasticity of Variance (CEV) Model
The Swiss Black Swan Unpegging Bad Scenario: The Losers and the Winners
Leveling the Playing Field
Against the ‘Wisdom of Crowds’: The Investment Performance of Contrarian Funds
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