Portfolio Management Research

May 24, 2024 | pm-research.com | Yao-Tsung Chen |In Taiwan |Shu-Yi Lin |Cheng-Yen Yu

Information published by news media affects stock prices through two channels. One is the information therein, which can cause a permanent price change. Pinpointing general durations and correlations for every piece of information and price change with a machine learning algorithm is difficult, however. The second channel is investor sentiment, which can result in a temporary price change. Much literature contains general rules for predicting price changes based on investor sentiment.

Apr 6, 2024 | pm-research.com | Marco Stella

We consider approximately 12,000 equity mutual funds representing more than $20 trillion in market value. Among these, we identify 334 that use environmental language in their names and/or investment strategy description. We then use S&P Global Sustainable1 data to analyze the funds’ greenhouse gas emissions. The results are underwhelming: the self-declared green funds do perform better than their non-green counterparts, but only marginally.

Apr 1, 2024 | pm-research.com | Taro Wirth |Thomas Siegl |Michael Schmitt

Investing in cryptocurrencies has become a mainstream topic in asset management. The number of cryptocurrencies is vast (CoinMarketCap states that there are over 23,000), and continues to rise, so selecting solid investments is key. The authors analyze an approach of avoiding currency-picking in favor of passive investment strategies in cryptocurrencies.

Mar 5, 2024 | pm-research.com | D.K. Malhotra

In Is Alternative Investment a Successful Strategy?, from the Fall 2023 issue of The Journal of Alternative Investments, D. K. Malhotra of Thomas Jefferson University finds that alternative mutual funds (AMFs) outperformed US and global equity markets on a risk-adjusted basis from January 2000 to June 2022, but that AMFs have underperformed the US market since July 2007. During the COVID-19 pandemic, US equities outperformed AMFs in terms of both absolute returns and risk-adjusted returns.

Feb 21, 2024 | pm-research.com | Thomas Siegl |Michael Schmitt |Taro Wirth

Investing in cryptocurrencies has become a mainstream topic in asset management. The number of cryptocurrencies is vast (CoinMarketCap states that there are over 23,000), and continues to rise, so selecting solid investments is key. The authors analyze an approach of avoiding currency-picking in favor of passive investment strategies in cryptocurrencies.