Journal of Portfolio Management

Article	Citations
Divergent ESG Ratings	158
Deconstructing ESG Ratings Performance: Risk and Return for E, S, and G by Time Horizon, Sector, and Weighting	32
Optimal Strategies for ESG Portfolios	21
Tokenization—The Future of Real Estate Investment?	20
Is (Systematic) Value Investing Dead?	18
Resurrecting the Value Premium	15
The Unreasonable Attractiveness of More ESG Data	15
Get Green or Die Trying? Carbon Risk Integration into Portfolio Management	14
Currency Conversion of Fama–French Factors: How and Why	13
Mean–Variance Optimization for Asset Allocation	13
ESG in Global Corporate Bonds: The Analysis Behind the Hype	13
The Best Strategies for Inflationary Times	13
Climate Risk and Real Estate Prices: What Do We Know?	10
Risk Parity: The Democratization of Risk in Asset Allocation	10
Do Corporate Carbon Emissions Data Enable Investors to Mitigate Climate Change?	10
Financial Anomalies in Portfolio Construction and Management	10
Socially Responsible Investing Strategies under Pressure: Evidence from the COVID-19 Crisis	9
The Quantitative Approach for Sustainable Investing	9
Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?	9
Measuring and Managing ESG Risks in Sovereign Bond Portfolios and Implications for Sovereign Debt Investing	8
Downside Volatility-Managed Portfolios	8
Systematic ESG Risk and Decision Criteria for Optimal Portfolio Selection	7
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio	7
Black–Litterman and Beyond: The Bayesian Paradigm in Investment Management	7
The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization	7

Selecting Computational Models for Asset Management: Financial Econometrics versus Machine Learning—Is There a Conflict?	7
Three Decades of Global Institutional Investment in Commercial Real Estate	7
Settling the Size Matter	7
The Stock-Bond Correlation	6
Deep Value	6
The Risk-Free Asset Implied by the Market: Medium-Term Bonds instead of Short-Term Bills	6
Asset Allocation and Private Market Investing	6
Foundations of Climate Investing: How Equity Markets Have Priced Climate-Transition Risks	6
Private Equity Real Estate Fund Performance: A Comparison to REITs and Open-End Core Funds	6
A Survey of Institutional Investors’ Investment and Management Decisions on Illiquid Assets	6
Factor Investing with Black–Litterman–Bayes: Incorporating Factor Views and Priors in Portfolio Construction	5
Quantifying Long-Term Market Impact	5
The Myth of Diversification Reconsidered	5
An Overview of Machine Learning for Asset Management	5
The Quant Crisis of 2018–2020: Cornered by Big Growth	5
Private Equity Performance and the Effects of Cash-Flow Timing	4
Sustainable Investing and Climate Transition Risk: A Portfolio Rebalancing Approach	4
Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets	4
The European ETF Market: Growth, Trends, and Impact on Underlying Instruments	4
Socially Responsible Investing and Factor Investing, Is There an Opportunity Cost?	4
Turning Tail Risks into Tailwinds	4
INTRODUCTION: Quantitative Strategies: Multi-Asset	4
The Canadian Pension Fund Model: A Quantitative Portrait	4
Market Liquidity: An Elusive Variable	4
A Changing Stock–Bond Correlation: Drivers and Implications	4
Better Betas	4
Beta Instability and Implications for Hedging Systematic Risk: Takeaways from the COVID-19 Crisis	4
An Investor’s Guide to Crypto	4
Why Do Equally Weighted Portfolios Beat Value-Weighted Ones?	4
The Role of Factors in Asset Allocation	4
The Data Dilemma in Alternative Risk Premium: Why Is a Benchmark So Elusive?	4
Systematic ESG Risk and Passive ESG Investing	4
Multi-Asset Class Factor Premia: A Strategic Asset Allocation Perspective	4
Failure of the Endowment Model	3
A Market Microstructure View of the Informational Efficiency of Security Prices	3
Emerging Markets Debt Securities: A Literature Review	3
Workhorse or Trojan Horse? The Alternative Risk Premium Conundrum in Multi-Asset Portfolios	3
Sharpe Parity Redux	3
Stock Characteristics and Stock Returns: A Skeptic’s Look at the Cross Section of Expected Returns	3
Volatility Targeting: It’s Complicated!	3
From ELIZA to ChatGPT: The Evolution of Natural Language Processing and Financial Applications	3
Macro Factor Model: Application to Liquid Private Portfolios	3
The Canadian Pension Model: Past, Present, and Future	3
Active Sector Funds and Fund Manager Skill	3
The Norway Model in Perspective	3
Addition by Subtraction: A Better Way to Forecast Factor Returns (and Everything Else)	3
The Future of Factor Investing	3
Should Equity Factors Be Betting on Industries?	3
Strategic Asset Allocation for Endowment Funds	3
Assessing Climate Change Impact on Sovereign Bonds	3

Venture Capital Financing in Europe: Gender and Ethnic Diversity in Founder Teams	3
Trends and Cycles of Style Factors in the 20th and 21st Centuries	3
Monetization Matters: Active Tail Risk Management and the Great Virus Crisis	3
Active Factor Completion Strategies	3
Cross-Asset Skew	3
Macro Factor Investing with Style	3
Portfolio Upside and Downside Risk—Both Matter!	3
Factor Investing in Sovereign Bond Markets: Deep Sample Evidence	3
Mutual Fund Illiquidity and Stock Price Fragility: A Study Based on Chinese Mutual Funds	2
Investment Management Post Pandemic, Post Global Warming, Post Resource Depletion	2
Endogenous Dynamics of Intraday Liquidity	2
Demystifying Index Rebalancing: An Analysis of the Costs of Liquidity Provision	2
Measuring Investment Skill in Multi-Asset Strategies: An Empirical Study of the Information Coefficient as Weighted Rank Correlation	2
Corporate Bond Trading: Finding the Customers’ Yachts	2
Modelling the Shiller CAPE Ratio, Mean Reversion, and Return Forecasts	2
Risk Parity and Beyond—From Asset Allocation to Risk Allocation Decisions	2
Factor Modeling: The Benefits of Disentangling Cross-Sectionally for Explaining Stock Returns	2
New Perspective on Investment Models	2
Is Incorporating ESG Considerations Costly?	2
Momentum Information Propagation through Global Supply Chain Networks	2
Recent Trends and Perspectives on the Korean Asset Management Industry	2
Carbon-Tax-Adjusted Value	2
The Interconnectedness between Green Finance Indexes and Other Important Financial Variables	2
International Diversification—Still Not Crazy after All These Years	2
Method in the Madness: Bubbles, Trading, and Incentives	2
Editor’s Introduction for 2021 Special Issue on Factor Investing	2
Public and Private Equity Returns: Different or Same?	2
Momentum and Downside Risk in Emerging Markets	2
Don’t Give Up the Ship: The Future of the Endowment Model	2
Asleep at the Wheel? The Risk of Sudden Price Adjustments for Climate Risk	2
Portfolio Construction Matters	2
Corporate Bonds and Climate Change Risk	2
Who Gains from Place-Based Tax Incentives? Exploring Apartment Sales Prices in Qualified Opportunity Zones	2
Performance Evaluation, Factor Models, and Portfolio Strategies: Evidence from Chinese Mutual Funds	2
Volatility-Dependent Skewness Preference	2
Dual Momentum: Testing the Dual Momentum Strategy and Implications for Lifetime Allocations	2
A Novel Approach to Risk Parity: Diversification across Risk Factors and Market Regimes	2
Type I and Type II Errors of the Sharpe Ratio under Multiple Testing	2
Editors’ Introduction to the Special Issue on Investment Models	2
Using a Mean-Changing Stochastic Processes Exit–Entry Model for Stock Market Long–Short Prediction	2
Calculating Outperformance in Dollars: Introducing the Excess Value Method	2
Managing Portfolio Volatility	2
The Quant Cycle	2
Carbon Risk Factor Framework	2
PERSPECTIVES: The New Normal 2.0	2
Tax-Smart Portfolio Valuation and Performance Measurement	1
Expected Stock Returns When Interest Rates Are Low	1
Climate Change and Asset Allocation: A Distinction That Makes a Difference	1
Active versus Passive: Old Wine in New Wine Skins	1
Forecasting Long-Horizon Volatility for Strategic Asset Allocation	1
Trending Fast and Slow	1
Alternative Risk Premium Fund Analysis	1
A Tale of Two Tails: Mortality, Size, Volatility, and EPU	1
Fact, Fiction, and Factor Investing	1
Operating Leverage and Inflation	1
Using a Life Cycle Model to Design a Target Date Glidepath	1
Expected Surplus Growth Compared with Mean–Variance Optimization	1
New Insights into Private Equity: Empirical Evidence from More Than 500 Buyouts	1
How Valuable Are Target Price Forecasts to Factor Investing?	1
Gains from Markowitz Optimization: Evidence from Reoptimization of Mutual Fund Holdings	1
Why Are High Exposures to Factor Betas Unlikely to Deliver Anticipated Returns?	1
Forecasting Stock Market Volatility	1
Net-Zero Investing for Multi-Asset Portfolios Seeking to Satisfy Paris-Aligned Benchmark Requirements with Climate Alpha Signals	1
Are Long-Duration Treasuries the Best Hedge for Equities?	1
Implementing Value and Momentum Strategies in Credit Portfolios	1
Information Ratio = Selection × Breadth + Sizing	1
Small-Cap Allocations: Timing the Entry	1
Novel Risks: A Research and Policy Overview	1
Climate Solutions Investments	1
Changes in Ownership Breadth and Capital Market Anomalies	1
Where Are the Factors in Factor Investing?	1
Analyzing Markets with a Large Public Company: The Case of South Korea	1
ESG, Fundamentals, and Stock Returns	1
Portfolio Protection? It’s a Long (Term) Story…	1
The Devil Is in the Details: The Risks Often Ignored in Low-Volatility Investing	1
An Infrastructure Investment Primer: From Valuation to Allocation and Manager Selection	1
Valuing a Lost Opportunity: An Alternative Perspective on the Illiquidity Discount	1
The AI Revolution: From Linear Regression to ChatGPT and beyond and How It All Connects to Finance	1
Factor Investing Using Capital Market Assumptions	1
Cost, Performance, and Benchmark Bias of Public Pension Funds in the United States: An Unflattering Portrait	1

What Matters More for Emerging Markets Investors: Economic Growth or EPS Growth?	1
Editors’ Introduction to the Special Issue on Novel Risks and Sources of Volatility: Identification and Measurement Challenges for Portfolio Management	1
Factor Construction Zoo: Are Factor Exposures Created Equal?	1
A Tour of the Factor Funhouse	1
How Have ETFs Changed Market Macro Efficiency and Risk Structure?	1
Toward Tax-Efficient Low-Volatility Investing	1
Finding Value Using Momentum	1
Volatility Estimated Based on the Holding-Period Return versus the Logarithmic Return: Their Difference Can Make a Difference	1
Equity Market Structure and the Persistence of Unsolved Problems: A Microstructure Perspective	1
The Return of the Call Auction	1
Waiting for the Next Factor Wave: Daily Rebalancing around Market Cycle Transitions	1
A Holistic Approach to Creating High Income Portfolios That Are Risk–Return Efficient and Tax Aware	1
Downside Risk-Parity Portfolio	1
The P/E Ratio, the Business Cycle, and Timing the Stock Market	1
More Powerful Tests for Anomalies in the China A-Share Market	1
Long-Term Investing and the Frequency of Investment Decisions	1
Diversifying Diversification: Downside Risk Management with Portfolios of Insurance Securities	1
Portfolio Factory	1
The Performance Life Cycle of Hedge Funds: Can Investors Achieve Lasting Performance?	1
The Global Market Portfolio	1
The Hierarchy of Empirical Evidence in Finance	1
On Factor Purity in Investment Portfolios	1
A New Predictability Pattern in the US Stock Market Returns	1
Value and Interest Rates: Are Rates to Blame for Value’s Torments?	1
Optimal Beats Naive Diversification: Asset Allocation Using High-Frequency Data	1
Social Networks, Trading, and Liquidity	1
Perspectives: The Interplay between Regulation, Competition, and Technology and the Transformation of Our Equity Markets	1
Tail Risk Hedging Performance: Measuring What Counts	1
Developing Practical Investment Resilience	1
The Covariance Structure between Liquid and Illiquid Assets	1
Euro Stoxx 50 Dividends—Reconciling Analyst Estimates and Dividend Future Prices	1
Putting Credit Factor Investing into Practice	1
Factor Investing: The Best Is Yet to Come	1
How Can Machine Learning Advance Quantitative Asset Management?	1
Measuring and Managing the Opportunity Cost of Downside Risk Protection	1
Diversification—A Free Starbucks Cup of Coffee?	1
The Better-of-Two Strategy for Active versus Passive Management: The Option Value of Active through Time	1
Navigating Insolvency Risks in Emerging Markets	1
Fund Concentration: A Magnifier of Manager Skill	1
Optimal Allocation to Time-Series and Cross-Sectional Momentum	1
Firm-Level Cybersecurity Risk and Idiosyncratic Volatility	1
Monte Carlo Simulation in Financial Modeling	1
The Central Paradox of Active Management: Maximizing the Information Ratio Is Counterproductive	1
Drawdown Measures: Are They All the Same?	1
Understanding the Stable Components of Seasonality in the Size Effect	1
American Exceptionalism: The Long-Term Evidence	1
Modernizing Volatility-Managed Strategies	1
The Profitability of Technical Analysis during Financial Bubbles	1
Bridging the Gap between Strategic Allocation and Investment Risk	1
Investing in International Equities: Lessons from a Decade of Strong US Equity Markets	1
Maximizing Capital Efficiency in US Defined Benefit Pension Plan Immunizing Portfolio Construction Using Derivatives and a Power Law Relationship	0
How Much Information Is Required to Time the Market?	0
Overview of Investing in Private Corporate Debt	0
Crowding and Liquidity Shocks	0
Shared Experience in Top Management Team and Mutual Fund Performance	0
The Importance of Goals-Based (and Values-Based) Liability Indices: Applied to Impact and Green Investing	0
Introduction to Investing In Emerging Markets Special Issue	0
Back to the Roots: Three Reflections on Financial Analysis	0
Portfolio Tilts Using Views on Macroeconomic Regimes	0
A Framework for Attributing Changes in Portfolio Carbon Footprint	0
Improving the Accuracy of Tail Risk Forecasts	0
Personalized Inflation-Hedging Strategies	0
An Intuitive Guide to Relevance-Based Prediction	0
Foreign Revenue: A New World of Risk Exposures	0
Risk in Risk Aversion	0
Option-Enhanced Tax-Smart Portfolio Value	0
The Implications of Contemporary Research on COVID-19 for Volatility and Portfolio Management	0
Regret and Optimal Portfolio Allocations	0
The Death of Active Management Has Been Greatly Exaggerated	0
Compound Tail Risk	0
Comparing Geopolitical Risk Measures	0
How Transitory Is Inflation?	0
The Value of Smoothing	0
The Cost of Investment Hubris	0
Errors and Challenges Associated with Investing in EMU Government Bonds	0
Editor’s Introduction to the 2023 Special Issue on Performance Analysis	0
Group Investing	0
Value versus Values: What Is the Sign of the Climate Risk Premium?	0
Time-Varying Factor Allocation	0
Top-Down Portfolio Implications of Climate Change	0
Toward Regime-Aware Risk Forecasts	0
Inflation Risk Premium	0
Market Timing Skill and Trading Activity in Taiwan’s Retail-Dominated Futures Market	0
Emerging Market Bonds: Expected Returns and Currency Impact	0
A Practitioner Perspective on Trading and the Implementation of Investment Strategies	0
Do Scope 3 Carbon Emissions Impact Firms’ Cost of Debt?	0
Emerging Market Investing: A Multi-Asset, Granular, and Dynamic Portfolio Approach	0
Inflation-Induced Overearnings	0
webinar summary Private Equity: Risks and Opportunities	0
Reconciling Stock Selection and Factor Allocation	0
Investor Global Sentiment and Stock Returns Connectedness in Developed Markets	0
ESG Investing: Moderate-Income Rental Housing as a Viable Real Estate Asset Class	0
Robustness in Portfolio Optimization	0
What’s Priced? Estimating Market Mispricing of Macroeconomic News	0
Intangibles: The Missing Ingredient in Book Value	0