PMR | November Monthly Digest

Discover what everyone is reading: PMR's most-read content for November.

Featuring articles from?The Journal of Portfolio Management,?The Journal of Investing, and The Journal of Financial Data Science.?Find out?what our members are reading the most:

1. An Overview of Optimization Models for Portfolio Management - Jang Ho Kim, Yongjae Lee, Woo Chang Kim, Taehyeon Kang & Frank Fabozzi

2.?Combining Value, Profitability, and Momentum: The Details Matter - Ricky Cooper, Zixuan Jiao, PhD, CFA

3.?The Alpha Life Cycle: New Insight into Investment Alpha and How Portfolio Managers Can Sustain It?- Chris Woodcock, Alesi Rowland & Snezana Pejic, PhD

4. Building on Finance Theory to Forge the Future of Investment Practice - Bruce I. Jacobs, Kenneth N. Levy

5.?Regime-Aware Factor Allocation with Optimal Feature Selection - Thomas Bosancic, Yuqi Nie & John Mulvey

This month's most read Practical Application:

Our Practical Applications feature has been instrumental in helping investment professionals like you save valuable time, validate their ideas, and inform their investment strategies. Join the thousands of investment professionals worldwide who have unlocked the power of PMR's Practical Applications.

In this month's most read Practical Application,?The Death of the 4% Rule: New Market Conditions and Retiree Needs Require Rethinking Retirement Spending,?from the Spring 2024 issue of?The Journal of Retirement,?Karyl B. Leggio?of?Loyola University Maryland,?Donald Lien?of the?The University of Texas at San Antonio,?and?Ya Dai, Ph.D., CFA?of?Western Carolina University?find that annual retirement withdrawal strategies based on either 1) required minimum distributions (RMDs) plus interest and dividends or 2) 6% of remaining assets outperform the conventional 4% rule.

This Month’s Top Pick:

Building on Finance Theory to Forge the Future of Investment Practice

Bruce I. Jacobs, Kenneth N. Levy, The Journal of Portfolio Management, 50th Anniversary 2024

The authors argue that mainstream economic theories—including modern portfolio theory (MPT), the capital asset pricing model, and factor models—fail to adequately capture the complexities of real financial markets. They propose several refinements to build on MPT and factor models to make them better tools for investment professionals.

Featured: The Journal of Alternative Investments?Fall 2024, 27?( 2) 8 - 36

Existing PMR members are informing their investment strategies with our peer-reviewed, actionable research. Book a demo to get access to all of the?articles and learn how you can put these insights into action.