Portfolio Construction, Measurement, and Efficiency
Essays in Honor of Jack Treynor

Editors: John B. Guerard Jr.



Addresses topics in investment analysis and portfolio construction that are constantly being re-examined

Treynor is one of the most cited and influential financial writers

Features outstanding faculty and practitioner contributions

This volume, inspired by and dedicated to the work of pioneering investment analyst, Jack Treynor, addresses the issues of portfolio risk and return and how investment portfolios are measured.  In a career spanning over fifty years, the primary questions addressed by Jack Treynor were: Is there an observable risk-return trade-off? How can stock selection models be integrated with risk models to enhance client returns? Do managed portfolios earn positive, and statistically significant, excess returns and can mutual fund managers time the market?

Since the publication of a pair of seminal Harvard Business Review articles in the mid-1960’s, Jack Treynor has developed thinking that has greatly influenced security selection, portfolio construction and measurement, and market efficiency.  Key publications addressed such topics as the Capital Asset Pricing Model and stock selection modeling and integration with risk models.  Treynor also served as editor of the Financial Analysts Journal, through which he wrote many columns across a wide spectrum of topics.

This volume showcases original essays by leading researchers and practitioners exploring the topics that have interested Treynor while applying the most current methodologies. Such topics include the origins of portfolio theory, market timing, and portfolio construction in equity markets.  The result not only reinforces Treynor’s lasting contributions to the field but suggests new areas for research and analysis.

Table of contents (19 chapters)

Front Matter

The Theory of Risk, Return, and Performance Measurement

Portfolio Theory: Origins, Markowitz and CAPM Based Selection

Market Timing

Returns, Risk, Portfolio Selection, and Evaluation

Validating Return-Generating Models

Invisible Costs and Profitability

Mean-ETL Portfolio Construction in US Equity Market

Portfolio Performance Assessment: Statistical Issues and Methods for Improvement

The Duality of Value and Mean Reversion

Performance of Earnings Yield and Momentum Factors in US and International Equity Markets

Alpha Construction in a Consistent Investment Process

Empirical Analysis of Market Connectedness as a Risk Factor for Explaining Expected Stock Returns

The Behaviour of Sentiment-Induced Share Returns: Measurement When Fundamentals Are Observable

Constructing Mean Variance Efficient Frontiers Using Foreign Large Blend Mutual Funds

Fundamental Versus Traditional Indexation for International Mutual Funds: Evaluating DFA, WisdomTree, and RAFI PowerShares

Forecasting Implied Volatilities for Options on Index Futures: Time-Series and Cross-Sectional Analysis versus Constant Elasticity of Variance (CEV) Model

The Swiss Black Swan Unpegging Bad Scenario: The Losers and the Winners

Leveling the Playing Field

Against the ‘Wisdom of Crowds’: The Investment Performance of Contrarian Funds