Financial Analysts Journal 

About: Financial Analysts Journal is an academic journal published by CFA Institute. The journal publishes majorly in the area(s): Portfolio & Earnings. It has an ISSN identifier of 0015-198X. Over the lifetime, 2963 publications have been published receiving 118132 citations. The journal is also known as: FAJ.

Global Portfolio Optimization

Abstract: (1992). Global Portfolio Optimization. Financial Analysts Journal: Vol. 48, No. 5, pp. 28-43.

Random Walks in Stock Market Prices

Abstract: OR MANY YEARS cconomists, Statisticians, and teachers of finance have been interested in developing and testing models of stock price behavior. One important model that has evolved from this research is the theory of random walks. This theory casts serious doubt on many other methods for describing and predicting stock price behavior — methods that have considerable popularity outside the academic world. For example, we shall see later that if the random walk theory is an accurate description of reality, then the various "technical" or "chartist" procedures for predicting stock prices are completely without value. In general the theory of random walks raises challenging questions for anyone who has more than a passing interest in understanding the behavior of stock prices. Unfortunately, however, most discussions of the theory have appeared in technical academic journals and in a form which the non-mathematician would usually find incomprehensible. This article describes, briefly and simply, the theory of random walks and some of the important issues it raises concerning the work of market analysts. To preserve brevity some aspects of the theory and its implications are omitted. More complete (and also more technical) discussions of the theory of random walks are available elsewhere; hopefully the introduction provided here will encourage the reader to examine one of the more rigorous and lengthy works listed at the end of this article.

Hedge Fund Benchmarks: A Risk-Based Approach

Abstract: Following a review of the data and methodological difficulties in applying conventional models used for traditional asset class indexes to hedge funds, this article argues against the conventional approach Instead, in an extension of previous work on asset-based style (ABS) factors, the article proposes a model of hedge fund returns that is similar to models based on arbitrage pricing theory, with dynamic risk-factor coefficients For diversified hedge fund portfolios (as proxied by indexes of hedge funds and funds of hedge funds), the seven ABS factors can explain up to 80 percent of monthly return variations Because ABS factors are directly observable from market prices, this model provides a standardized framework for identifying differences among major hedge fund indexes that is free of the biases inherent in hedge fund databases

Fact and Fantasy in the Use of Options

Abstract: (1975). Fact and Fantasy in the Use of Options. Financial Analysts Journal: Vol. 31, No. 4, pp. 36-41, 61-72.

Facts and Fantasies about Commodity Futures

Abstract: For this study of the simple properties of commodity futures as an asset class, an equally weighted index of monthly returns of commodity futures was constructed for the July 1959 through December 2004 period. Fully collateralized commodity futures historically have offered the same return and Sharpe ratio as U.S. equities. Although the risk premium on commodity futures is essentially the same as that on equities for the study period, commodity futures returns are negatively correlated with equity returns and bond returns. The negative correlation is the result, primarily, of commodity futures' different behavior over a business cycle. Commodity futures are positively correlated with inflation, unexpected inflation, and changes in expected inflation.