User profiles for T. M. Idzorek

Thomas Idzorek

Morningstar
Verified email at morningstar.com
Cited by 1434

The impact of skewness and fat tails on the asset allocation decision

JX Xiong, TM Idzorek - Financial Analysts Journal, 2011 - Taylor & Francis
The authors modeled the non-normal returns of multiple asset classes by using a multivariate
truncated Lévy flight distribution and incorporating non-normal returns into the mean-…

The equal importance of asset allocation and active management

JX Xiong, RG Ibbotson, TM Idzorek… - Financial Analysts …, 2010 - Taylor & Francis
Idzorek, CFA, is chief investment officer and director of research, and Peng Chen, CFA, is
president at Ibbotson Associates, a Morningstar company, Chicago. Roger G. Ibbotson is …

Factor-based asset allocation vs. asset-class-based asset allocation

TM Idzorek, M Kowara - Financial Analysts Journal, 2013 - Taylor & Francis
This article addresses the issue of the alleged superiority of risk-factor-based asset allocations
over the more traditional asset-class-based asset allocation. The authors used both an …

The style drift score

TM Idzorek, F Bertsch - The Journal of Portfolio Management, 2004 - pm-research.com
= 1. In other words, the values of the individual coefficients, or exposures, to the K asset
classes are equal to or greater than 0 and collectively sum to 1. A common misconception …

Dimensions of popularity

RG Ibbotson, TM Idzorek - The Journal of Portfolio …, 2014 - jpm.pm-research.com
Popularity is a broad concept that can help explain valuation and the permanent market
premiums (for example, the equity risk premium, size, value, liquidity, and so on). Liquidity is …

The liquidity style of mutual funds

TM Idzorek, JX Xiong, RG Ibbotson - Financial Analysts Journal, 2012 - Taylor & Francis
Idzorek, CFA, is president and global chief investment officer and James X. Xiong, CFA,
is senior research consultant at Morningstar Investment Management, Chicago. Roger G. …

[BOOK][B] Popularity: A bridge between classical and behavioral finance

RG Ibbotson, TM Idzorek, PD Kaplan, JX Xiong - 2018 - books.google.com
… The connection between the more recent popularity framework and the new equilibrium
framework from 1984 was made in an unpublished manuscript started by Tom Idzorek that has …

Volatility versus tail risk: which one is compensated in equity funds?

JX Xiong, TM Idzorek… - Journal of Portfolio …, 2014 - search.proquest.com
Research that has led to the low-volatility anomaly in cross-sectional stocks from a similar
universe indicates that volatility is not compensated with a volatility premium. The authors find …

Global commercial real estate

TM Idzorek, M Barad, SL Meier - Journal of Portfolio …, 2007 - search.proquest.com
This article explores the role of global commercial real estate in a strategic asset allocation.
Global REIT and listed real estate stock indices are used to proxy the broader direct and …

The economic value of forecasting left-tail risk

JX Xiong, TM Idzorek… - Journal of Portfolio …, 2016 - search.proquest.com
The authors show that it is possible to reduce tail risk without giving up much return. The key
is to forecast forward-looking skewness, which will facilitate the identification of a sweet spot …