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Research

How to estimate the equity risk premium

Given the importance of equity risk premium, it is surprising how haphazard the estimation of equity risk premiums remains in practice. This paper by Aswath Damodaran at the New York University Stern School of Business examines a number of different approaches to determining the equity risk premium and why different approaches yield different values. It […]
Amanda WhiteApril 16, 2014
Research

Risk parity and beyond

This paper analyses whether the use of uncorrelated underlying risk factors, as opposed to correlated asset returns, can lead to a more efficient framework for measuring and managing portfolio diversification. The paper, by academics at EDHEC Business School and SYMMYS, acknowledges that the ability to construct well-diversified portfolios is a challenge of critical importance in […]
Amanda WhiteApril 9, 2014
Investor Profile

Making money from ESG

It is a measure of the experience of the Australian fund, Local Government Super, on ESG that it will instruct its managers on which companies to omit from portfolios. The New South Wales fund started its policy of applying environmental, social and governance filters to its investments by omitting tobacco companies in 2000. Today, it […]
David RowleyJanuary 29, 2014
Research

The price and performance of wine

Because it’s nearly Christmas, and conexust1f.flywheelstaging.com will close down for the holidays, we thought this research piece was apt. Elroy Dimson, Peter L. Rousseau, and Christophe Spaenjers, have looked at the impact of aging on wine prices and the performance of wine as a long-term investment, using a unique historical database for five long-established Bordeaux […]
Amanda WhiteDecember 18, 2013
Research

Do some university endowments earn alpha?

This paper concludes that the average asset allocation of elite institutions and top‐performing funds is the single most important determinant of their superior returns during the last 20 years.   To access the paper click below: Do (Some) University Endowments earn Alpha
Amanda WhiteJanuary 4, 2012
Uncategorised posts

Why you should take notice of what we write

New research released this month gives impetus to the evidence that newspaper articles can predict aggregate future stock returns. Conducted by Professor of Finance at the University of St Gallen in Switzerland, Manuel Ammann, it examines articles in the German finance paper, Handeslblatt, from July 1989 until March 2011, and overall found that “newspaper content […]
Amanda WhiteNovember 23, 2011
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