Journal of Investment Strategies

Welcome to the September issue of The Journal of Investment Strategies. In this issue, we have three research papers covering a wide range of themes.

The first paper, “Why are investors’ mutual fund market allocations far from optimal?” by Ricardo Laborda and Ramiro Losada analyses the optimal portfolio of funds that investors may take under complete information and the actual structure of the mutual fund market differ.

“Systematic testing of systematic trading strategies” by Kovlin Perumal and Emlyn Flint is the second paper. This paper reviews the various statistical methodologies that are in place to test multiple systematic trading strategies and implements these methodologies under simulation with known artificial trading rules in order to critically compare and evaluate them.

The final paper by Josef Zorn, “Value-ranked equity portfolios via entropy pooling”, demonstrates how to directly incorporate common value-investing idea into the portfolio optimization process.

We hope that you enjoy reading this issue of The Journal of Investment Strategies.