We find that in Australia, Mid/Small-cap funds often have significantly positive net alphas and this is driven by their strong performance in down-markets. In contrast Large-cap funds often have significantly negative net alphas and this is driven by their relatively poor performance in...

In this article, I propose an extension of the Treynor-Black model to a case where the investor is not fully invested in the stock market at the outset and there is no need to explicitly specify securities' expected returns. I derive explicit tangent portfolio weights based on a factor model of...

I propose a novel investment objective for portfolios fully invested in risky assets only. The new objective is based on achieving the highest possible excess return per unit of variance. The optimal portfolio is a linear combination of the tangent portfolio and the minimum variance portfolio...