The Market Portfolio is not an efficient portfolio. There are many evidences that tell us that: the equal weighted indexes have beaten their market-value weighted indexes for many years, many easy-to-build portfolios (some “smart-beta”, “multifactors”) have beaten market-value weighted...

We rank the 61 companies operating in 2009 in the Pension Fund Industry in Spain using data from 1994 to 2009 for the 1,393 existing individual mutual funds. The best companies according to the ranking were: Bestinver, Caja Manresa, Cajasur, Merchbanc and Ibercaja. The worst, according to the...

We rank the 64 companies operating in 2010 in the Pension Fund Industry in Spain using data from 1990 to 2010 for the existing individual mutual funds. The best companies according to the ranking were Bestinver, Mutua Madrilena and Merchbanc. The worst, according to the ranking, were Caja...

The investment anomaly refers to the pervasive negative predictability in future stock returns following large firm investments. I re-investigate two competing hypotheses for the potential source of the anomaly: i) prolonged mispricing due to limits to arbitrage and ii) financing constraints in...

XVA models for the calculation of CVA, FVA (see for example (Burgard and Kjaer 2013)), KVA(Green, Kenyon, and Dennis 2014), MVA (Green and Kenyon 2014) and TVA (Kenyon and Green 2014a) have frequently been formulated at the counterparty level. However, it is clear that some elements of the...

Traditional risk factor models indicate that hedge funds capture pre-fee alphas of 6% to 10% per annum over the period from 1996 to 2012. At the same time, the hedge fund return series is not reliably distinguishable from the returns of mechanical S&P 500 put-writing strategies. We show that the...

The Modern Portfolio Theory (MPT) has been the cornerstone of the asset allocation for over 40 years. In the past decade though, it led in a rather systematic way to bad investments decisions. One of MPT's main assumptions, investor risk aversion that translates into volatility aversion, biases...

The term “equity premium puzzle” was coined in 1985 by economists Rajnish Mehra and Edward C. Prescott. The equity premium puzzle in considered one of the most significant questions in finance. A number of papers have explored the fundamental questions of why the premium exists and has not...

We study the impact of evaluating the performance of asset managers relative to a benchmark portfolio on firms' investment, merger and IPO decisions. We introduce asset managers into an otherwise standard asset pricing model and show that firms that are part of the benchmark are effectively...