User profiles for T. M. Idzorek
Thomas IdzorekMorningstar 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-…
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 …
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 …
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 …
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 …
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. …
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 …
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 …
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 …
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 …
is to forecast forward-looking skewness, which will facilitate the identification of a sweet spot …