Crisis proof your portfolio: part 2/2
The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, [...]
About Tommi Johnsen, PhD
Tommi Johnsen is the former Director of the Reiman School of Finance and an Emeritus Professor at the Daniels College of Business at the University of Denver. She has worked extensively as a research consultant and investment advisor for institutional investors and wealth managers in quantitative methods and portfolio construction. She taught at the graduate and undergraduate levels and published research in several areas including: capital markets, portfolio management and performance analysis, financial applications of econometrics and the analysis of equity securities. In 2019, Dr. Johnsen published “Smarter Investing” with Palgrave/Macmillan, a top 10 in business book sales for the publisher. She received her Ph.D. from the University of Colorado at Boulder, with a major field of study in Investments and a minor in Econometrics. Currently, Dr. Johnsen is a consultant to wealthy families/individuals, asset managers, and wealth managers.Crisis Proof Your Portfolio: part 1/2
The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, [...]
No Skill? Well, Active Share Won’t Save You!
Is High Active Share Always Good? Giuliano De Rossi and Gurvinder BrarThe Journal of Asset ManagementA version of this paper can be found hereWant to read [...]
Debunking myths about stock buybacks
Buyback Derangement Syndrome Clifford Asness, Todd Hazelkorn, And Scott Richardson Journal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries [...]
Fama French Factors and ESG: The Good Minus Bad Factor
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Is factor momentum really everywhere?
Factor Momentum Everywhere Tarun Gupta and Bryan KellyJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]
Things to Consider for ESG Portfolio Construction
A Guide to ESG Portfolio Construction Michael Branch, Lisa R. Goldberg and Pete HandJournal of Portfolio ManagementA version of this paper can be found hereWant to [...]
Short Selling + Insider Selling = Profitable Strategy?
When Short Sellers and Corporate Insiders Agree on Stock Pricing Chune Young Chung, Hong Kee Sul, and Kainan WangJournal of Portfolio ManagementA version of this [...]
Tax-Managed Factor Strategies
Tax-Managed Factor Strategies Lisa R. Goldberg , Pete Hand , and Taotao CaiFinancial Analysts JournalA version of this paper can be found hereWant to read our [...]
Only Hedge Fund Winners in Tough Times Show Skill
Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence over Different Market Conditions Zheng Sun, Ashley W. Wang, and Lu Zheng Journal of Financial [...]
Short Selling + Insider Selling = Bad News
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Low Volatility Turnover with Value and Momentum
Low Volatility Needs Little Trading Pim van Vliet Journal of Portfolio Management A version of this paper can be found here Want to read our summaries [...]
Low Volatility Can Be Low Turnover
Low Volatility Needs Little Trading Pim van Vliet Journal of Portfolio Management A version of this paper can be found here Want to read our summaries [...]
How Risky are the Value and Size Premiums? Part 2/2 of Volatility Lessons
Volatility Lessons Eugene F. Fama and Kenneth R. French Financial Analysts Journal A version of this paper can be found here Want to read our summaries [...]
Equity investing is Riskier than You Probably Expected
Volatility Lessons Eugene F. Fama and Kenneth R. French Financial Analysts Journal A version of this paper can be found here Want to read our summaries [...]
Why and How Investors use ESG Information
Why and How Investors Use ESG Information: Evidence from a Global Survey Amir Amel-Zadeh and George Serafeim Financial Analysts Journal A version of this paper [...]
Measuring Factor Exposures: Uses and Abuses
Measuring Factor Exposures: Uses and Abuses Ronen Israel and Adrienne Ross The Journal of Alternative Investments A version of this paper can be found here Want [...]
Short volatility strategies are extensive and widespread
Everybody’s Doing It: Short Volatility Strategies and Shadow Financial Insurers Vineer Bhansali and Larry Harris Financial Analysts Journal A version of this paper can be [...]
Hedge Funds may Profit from Stock-Picking and Help Reduce Mispricing
Hedge Funds and Stock Price Formation Charles Cao, Yong Chen, William N. Goetzmann, and Bing Liang Financial Analysts Journal A version of this paper can [...]
Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending
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