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Literature

1184 studies, books and laws the articles and the methodology draw on, each with its reference, a sentence on its content and the pages that cite it.

A

Aaron (1966) · The Social Insurance Paradox

Aaron, Henry. Canadian Journal of Economics and Political Science 32 (3), pp. 371–374. doi:10.2307/139995

A pay-as-you-go system can make every generation better off as long as the sum of population growth and real wage growth exceeds the interest rate (the Aaron condition).

Cited in: Germany's new equity pension (Aktienrente): Frühstart-Rente, Generationenkapital, Altersvorsorgedepot · Glossary: Pay-as-you-go system

Berkshire Hathaway (2026) · Berkshire Hathaway Inc.: Letter to Shareholders 2025 (Aktionärsbrief vom 28.02.2026)

Abel, Gregory E.. Berkshire Hathaway Inc., Omaha; abgerufen am 25.10.2026. Source

Greg Abel's first shareholder letter as chief executive, with Warren Buffett remaining Chairman; includes the table of Berkshire's per-share performance against the S&P 500 with dividends since 1965.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Acerbi and Tasche (2002) · On the coherence of expected shortfall

Acerbi, Carlo; Tasche, Dirk. Journal of Banking & Finance 26 (7), pp. 1487–1503. doi:10.1016/s0378-4266(02)00283-2

Shows that expected shortfall is coherent and defines it rigorously for discrete distributions as well.

Cited in: Value at risk and conditional VaR: how much you could lose in a bad case · Glossary: Coherent risk measure

Acharya and Pedersen (2005) · Asset pricing with liquidity risk

Acharya, Viral V.; Pedersen, Lasse Heje. Journal of Financial Economics 77 (2), pp. 375–410. doi:10.1016/j.jfineco.2004.06.007

A liquidity-adjusted CAPM: expected return depends on expected illiquidity and on three additional covariances between the return, the asset's own illiquidity, the market return and market illiquidity.

Cited in: Liquiditätsrisiko: Marktliquidität messen, Liquiditätsprämien und die Werkzeuge offener Fonds

Acharya et al. (2007) · Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries

Acharya, Viral V.; Bharath, Sreedhar T.; Srinivasan, Anand. Journal of Financial Economics 85 (3), pp. 787–821. doi:10.1016/j.jfineco.2006.05.011

Creditors of defaulted US firms (1982–1999) recover considerably less when the whole industry is in distress, and this fire-sale effect is stronger for specific assets.

Cited in: Distressed debt: strategies, insolvency law, recovery rates and returns when investing in crises · Private Debt in der Praxis: Direct Lending, Unitranche, Mezzanine, Kreditstruktur und Fondsvehikel

Adland et al. (2017) · Are AIS-based trade volume estimates reliable? The case of crude oil exports

Adland, Roar; Jia, Haiying; Strandenes, Siri P.. Maritime Policy & Management 44 (5), pp. 657–665. doi:10.1080/03088839.2017.1309470

Compares crude oil exports estimated from AIS with customs data: good agreement in aggregate, but marked deviations by country and period because of pipelines and transshipments.

Cited in: Ship tracking data and satellite images: what they reveal about commodities

Agarwal et al. (2013) · Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide

Agarwal, Vikas; Jiang, Wei; Tang, Yuehua; Yang, Baozhong. The Journal of Finance 68 (2), pp. 739–783. doi:10.1111/jofi.12012

Holdings disclosed confidentially and only later in amendments to Form 13F, mainly by hedge funds, outperform for up to twelve months; the motives are private information and price impact.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Aggarwal and Wu (2006) · Stock Market Manipulations

Aggarwal, Rajesh K.; Wu, Guojun. The Journal of Business 79 (4), pp. 1915–1953. doi:10.1086/503652

Theory and evidence from US Securities and Exchange Commission cases: manipulators are usually well-informed parties, and prices rise during the manipulation and fall afterwards.

Cited in: Pump and dump and penny stocks: how the scam works · Glossary: Pump and dump

Akaike (1974) · A new look at the statistical model identification

Akaike, H.. IEEE Transactions on Automatic Control 19 (6), pp. 716–723. doi:10.1109/tac.1974.1100705

Introduces the information criterion AIC = −2 log(maximum likelihood) + 2 × number of parameters: among competing models, the one with the smallest AIC wins.

Cited in: Regime-Modelle: Hidden Markov, Markov-Switching und Co. · Regime methodology: how the hidden Markov model works · Glossary: Information criterion

Aliber and Kindleberger (2015) · Manias, Panics and Crashes: A History of Financial Crises

Aliber, Robert Z.; Kindleberger, Charles P.. Palgrave Macmillan, 7th edition.

Charles Kindleberger's classic on manias, panics and financial crises, continued by Robert Aliber.

Cited in: Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht

Allan et al. (2023) · Model-free portfolio theory: A rough path approach

Allan, Andrew L.; Cuchiero, Christa; Liu, Chong; Prömel, David J.. Mathematical Finance 33 (3), pp. 709–765. doi:10.1111/mafi.12376

Model-free stochastic portfolio theory using rough paths: a pathwise formula for relative wealth, and a generalisation of Cover's universal portfolio that grows asymptotically as fast as the best portfolio of its class chosen in hindsight.

Cited in: Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Glossary: Path signature

Almgren and Chriss (2001) · Optimal execution of portfolio transactions

Almgren, Robert; Chriss, Neil. The Journal of Risk 3 (2), pp. 5–39. doi:10.21314/JOR.2001.041

Optimal slicing of a large order over time as a trade-off between market impact and price risk: an efficient frontier of execution strategies and liquidity-adjusted value at risk.

Cited in: Liquiditätsrisiko: Marktliquidität messen, Liquiditätsprämien und die Werkzeuge offener Fonds · Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC

AIMA (2025) · Presenting the 2025 Edition of AIMA's Illustrative Questionnaire for the Due Diligence of Investment Managers

Alternative Investment Management Association. AIMA, 12.3.2025; abgerufen am 25.10.2026. Source

A modular model questionnaire for the due diligence of investment managers, revised in areas including performance, liquidity, money laundering and costs, with a new module for private markets.

Cited in: RFP and mandate awards: how institutional investors select asset managers · Glossary: Due diligence questionnaire

Altman and Kishore (1996) · Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds

Altman, Edward I.; Kishore, Vellore M.. Financial Analysts Journal 52 (6), pp. 57–64. doi:10.2469/faj.v52.n6.2040

Recovery rates on defaulted bonds by industry and seniority: highest for utilities (70%); the original rating no longer matters once seniority is taken into account.

Cited in: Distressed debt: strategies, insolvency law, recovery rates and returns when investing in crises

Altman and Jha (2003) · Market Size and Investment Performance of Defaulted Bonds and Bank Loans: 1987–2002

Altman, Edward I.; Jha, Shubin. NYU Stern, Salomon Center, Februar 2003; abgerufen am 25.10.2026. Source

Size and returns of the market for defaulted and distressed bonds and loans; “distressed” here means a yield of more than 1,000 basis points over ten-year US Treasuries.

Cited in: Distressed debt: strategies, insolvency law, recovery rates and returns when investing in crises

Altman et al. (2019) · Corporate Financial Distress, Restructuring, and Bankruptcy: Analyze Leveraged Finance, Distressed Debt, and Bankruptcy

Altman, Edward I.; Hotchkiss, Edith; Wang, Wei. Wiley.

Textbook on corporate distress: default prediction, Chapter 11 and out-of-court restructuring, recovery rates and investing in distressed debt.

Cited in: Distressed debt: strategies, insolvency law, recovery rates and returns when investing in crises

Ambrose et al. (2008) · Forced Selling of Fallen Angels

Ambrose, Brent W.; Cai, Nianyun (Kelly); Helwege, Jean. The Journal of Fixed Income 18 (1), pp. 72–85. doi:10.3905/jfi.2008.708844

Insurers sell bonds downgraded to high-yield status (fallen angels) much more than comparable bonds around the downgrade, but do not fully liquidate their holdings.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities · Distressed debt: strategies, insolvency law, recovery rates and returns when investing in crises

Amenc et al. (2004) · Revisiting Core-Satellite Investing

Amenc, Noël; Malaise, Philippe; Martellini, Lionel. The Journal of Portfolio Management 31 (1), pp. 64–75. doi:10.3905/jpm.2004.443322

Dynamic allocation between a passive core and active satellites along the lines of portfolio insurance (CPPI), so that the tracking error stays below a threshold.

Cited in: Core-satellite with a broad core and targeted satellites: costs, tracking error and rules

Amihud and Mendelson (1986) · Asset pricing and the bid-ask spread

Amihud, Yakov; Mendelson, Haim. Journal of Financial Economics 17 (2), pp. 223–249. doi:10.1016/0304-405X(86)90065-6

Investors with different holding periods trade securities with different spreads; expected return rises with the spread, but at a decreasing rate (concave).

Cited in: Liquiditätsrisiko: Marktliquidität messen, Liquiditätsprämien und die Werkzeuge offener Fonds

Amihud (2002) · Illiquidity and stock returns: cross-section and time-series effects

Amihud, Yakov. Journal of Financial Markets 5 (1), pp. 31–56. doi:10.1016/S1386-4181(01)00024-6

An illiquidity measure based on the average daily ratio of absolute return to dollar volume; expected market illiquidity raises the expected excess return, while unexpected illiquidity lowers contemporaneous returns, especially for small stocks.

Cited in: Liquiditätsrisiko: Marktliquidität messen, Liquiditätsprämien und die Werkzeuge offener Fonds · Glossary: Amihud measure

Anarkulova et al. (2025) · The safe withdrawal rate: evidence from a broad sample of developed markets

Anarkulova, Aizhan; Cederburg, Scott; O'Doherty, Michael S.; Sias, Richard. Journal of Pension Economics and Finance 24 (3), pp. 464–500. doi:10.1017/s1474747225000010

Using asset class returns from 38 developed countries: a 65-year-old couple willing to accept a 5% probability of ruin can withdraw only 2.31% a year, well below the 4% rule.

Cited in: FIRE (Financial Independence, Retire Early): Lean, Fat, Coast and Barista FIRE

Andersen and Bollerslev (1998) · Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

Andersen, Torben G.; Bollerslev, Tim. International Economic Review 39 (4), pp. 885–905. doi:10.2307/2527343

GARCH forecasts only seem weak because squared daily returns are a noisy measure; measured against actual volatility, they are accurate.

Cited in: Prognosemodelle für Renditen: ARIMA, GARCH, LSTM und Machine Learning

Andonov et al. (2021) · Institutional Investors and Infrastructure Investing

Andonov, Aleksandar; Kräussl, Roman; Rauh, Joshua. The Review of Financial Studies 34 (8), pp. 3880–3934. doi:10.1093/rfs/hhab048

Institutional investors' infrastructure funds generate cash flows that are as volatile and as cyclical as those of private equity; on a risk-adjusted basis they perform poorly, with public investors doing worse than private ones.

Cited in: Infrastructure investing: equity and debt, revenue models, valuation and research

Andrade et al. (2013) · “Sell in May and Go Away” Just Won’t Go Away

Andrade, Sandro C.; Chhaochharia, Vidhi; Fuerst, Michael E.. Financial Analysts Journal 69 (4), pp. 94–105. doi:10.2469/faj.v69.n4.4

Out-of-sample test: the sell-in-May effect persists and appears in many financial markets.

Cited in: Stock market seasonality: Sell in May, the January effect and how to test calendar effects

Ang and Bekaert (2002) · International Asset Allocation With Regime Shifts

Ang, Andrew; Bekaert, Geert. Review of Financial Studies 15 (4), pp. 1137–1187. doi:10.1093/rfs/15.4.1137

Portfolio choice with regime shifts in which correlations and volatilities rise in bad times; international diversification nevertheless remains valuable.

Cited in: Regime-Modelle: Hidden Markov, Markov-Switching und Co.

Ang and Chen (2002) · Asymmetric correlations of equity portfolios

Ang, Andrew; Chen, Joseph. Journal of Financial Economics 63 (3), pp. 443–494. doi:10.1016/s0304-405x(02)00068-5

Stocks are more highly correlated in downturns than in upturns (asymmetric correlation).

Cited in: Correlation and diversification: why mixing assets reduces risk · Szenarioanalyse und Sensitivitätsanalyse: Aktien-, Zins-, Kredit- und Währungsrisiko im Stresstest · Glossary: Asymmetric correlation

Ang et al. (2006) · The Cross-Section of Volatility and Expected Returns

Ang, Andrew; Hodrick, Robert J.; Xing, Yuhang; Zhang, Xiaoyan. The Journal of Finance 61 (1), pp. 259–299. doi:10.1111/j.1540-6261.2006.00836.x

Stocks with high idiosyncratic volatility earn abnormally low returns.

Cited in: Volatility: how much a portfolio fluctuates · Low-Volatility-Anomalie und Betting against Beta · Long/short and statistical arbitrage: methodology · Glossary: Low-volatility anomaly · Glossary: Idiosyncratic risk

Ang and Timmermann (2012) · Regime Changes and Financial Markets

Ang, Andrew; Timmermann, Allan. Annual Review of Financial Economics 4 (1), pp. 313–337. doi:10.1146/annurev-financial-110311-101808

A survey: regime-switching models capture abrupt, persistent changes in market behaviour and explain fat tails, skewness and time-varying correlations.

Cited in: Regime-Modelle: Hidden Markov, Markov-Switching und Co.

Ang (2014) · Asset Management: A Systematic Approach to Factor Investing

Ang, Andrew. Oxford University Press.

Textbook on factor investing: factors rather than asset classes as the core of asset allocation.

Cited in: Glossary: Smart beta · Glossary: Multi-factor

Ang et al. (2018) · Estimating Private Equity Returns from Limited Partner Cash Flows

Ang, Andrew; Chen, Bingxu; Goetzmann, William N.; Phalippou, Ludovic. The Journal of Finance 73 (4), pp. 1751–1783. doi:10.1111/jofi.12688

Extracts a time series of private equity returns from the cash flows to investors and decomposes it into publicly traded factors and a time-varying private equity premium.

Cited in: Private Markets messen: J-Kurve, Cashflows, Glättung und Public Proxy

Ankrim and Hensel (1994) · Multicurrency Performance Attribution

Ankrim, Ernest M.; Hensel, Chris R.. Financial Analysts Journal 50 (2), pp. 29–35. doi:10.2469/faj.v50.n2.29

Extends performance attribution to currencies and splits the currency contribution into the interest rate differential (forward premium) and the unexpected exchange rate movement.

Cited in: Multi-Asset-Attribution: Gewichtungsschemata, Top-down und Bottom-up, Währungen und Overlays · Performance-Attribution: Brinson-Zerlegung, Faktoren und Verkettung über die Zeit · Glossary: Currency effect

Antill et al. (2024) · Creditor-on-Creditor Violence and Secured Debt Dynamics

Antill, Samuel; Wang, Neng; Jiang, Zhaoli. National Bureau of Economic Research, Working Paper 32823. doi:10.3386/w32823

A model of restructurings in which a majority of secured creditors strips other creditors of their priority (uptier, drop-down): these can destroy value but raise total value ex ante.

Cited in: Distressed debt: strategies, insolvency law, recovery rates and returns when investing in crises · Glossary: Liability management exercise

Antón et al. (2021) · Best Ideas

Antón, Miguel; Cohen, Randolph B.; Polk, Christopher. London School of Economics, Arbeitspapier (Fassung April 2021; frühere Fassungen seit 2009); abgerufen am 25.10.2026. Source

The stocks in which active mutual fund and hedge fund managers place their biggest bets beat the market and the other holdings in their portfolios by about 2.8 to 4.5% per year; the other positions mostly show no significant excess return.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Antonacci (2014) · Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk

Antonacci, Gary. McGraw-Hill Education.

Dual momentum: relative strength across markets combined with an absolute trend filter as an exit into bonds.

Cited in: Tactical allocation: momentum, dual momentum and trend following · Tactical allocation methodology: how the eleven tactical models work

Antweiler and Frank (2004) · Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards

Antweiler, Werner; Frank, Murray Z.. The Journal of Finance 59 (3), pp. 1259–1294. doi:10.1111/j.1540-6261.2004.00662.x

Posts on stock message boards help to predict volatility; their effect on returns is statistically significant but economically small.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments

Aramonte and Avalos (2020) · The recent distress in corporate bond markets: cues from ETFs

Aramonte, Sirio; Avalos, Fernando. Bank for International Settlements, BIS Bulletin 6, 14.4.2020; abgerufen am 25.10.2026. Source

Corporate bond ETFs traded at significant discounts to their net asset values in March 2020, driven by volatility, reluctant dealers and reactions to monetary policy.

Cited in: Index providers and valuation points: why the same index is calculated differently · Liquiditätsrisiko: Marktliquidität messen, Liquiditätsprämien und die Werkzeuge offener Fonds · Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing

Ariel (1987) · A monthly effect in stock returns

Ariel, Robert A.. Journal of Financial Economics 18 (1), pp. 161–174. doi:10.1016/0304-405X(87)90066-3

US stocks earned almost all of their return in the first half of the trading month, starting with the last trading day of the previous month.

Cited in: Stock market seasonality: Sell in May, the January effect and how to test calendar effects · Glossary: Turn-of-the-month effect

Ariel (1990) · High Stock Returns before Holidays: Existence and Evidence on Possible Causes

Ariel, Robert A.. The Journal of Finance 45 (5), pp. 1611–1626. doi:10.1111/j.1540-6261.1990.tb03731.x

On the trading day before holidays, the mean return was nine to fourteen times as high as on other days; from 1963 to 1982, more than a third of the market return fell on these eight days a year.

Cited in: Stock market seasonality: Sell in May, the January effect and how to test calendar effects

Arnott et al. (2019) · A Backtesting Protocol in the Era of Machine Learning

Arnott, Rob; Harvey, Campbell R.; Markowitz, Harry. The Journal of Financial Data Science 1 (1), pp. 64–74. doi:10.3905/jfds.2019.1.064

A protocol for backtesting with machine learning, and for quantitative finance research in general, that takes account of scarce data and the feedback from earlier research.

Cited in: Probability of Backtest Overfitting: Hält die beste Variante, was der Backtest verspricht?

Arnott et al. (2005) · Fundamental Indexation

Arnott, Robert D.; Hsu, Jason; Moore, Philip. Financial Analysts Journal 61 (2), pp. 83–99. doi:10.2469/faj.v61.n2.2718

Indices weighted by sales, book value or dividends instead of market value proved more efficient in tests than capitalisation-weighted indices.

Cited in: MSCI World vs ACWI vs FTSE All-World: structure, concentration and combinations · Equal weight vs cap weight: weighting, rebalancing and factor tilts

Arnott et al. (2010) · Valuation-Indifferent Weighting for Bonds

Arnott, Robert D.; Hsu, Jason C.; Li, Feifei; Shepherd, Shane D.. The Journal of Portfolio Management 36 (3), pp. 117–130. doi:10.3905/jpm.2010.36.3.117

In historical tests, bond portfolios with weights that do not depend on market prices beat their market-value-weighted benchmarks for corporate, high-yield and emerging market bonds.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities

Arnott et al. (2021) · Reports of Value’s Death May Be Greatly Exaggerated

Arnott, Robert D.; Harvey, Campbell R.; Kalesnik, Vitali; Linnainmaa, Juhani T.. Financial Analysts Journal 77 (1), pp. 44–67. doi:10.1080/0015198X.2020.1842704

Explains the long weakness of value since 2007 by unrecognised intangible assets and the widening valuation gap between growth and value stocks.

Cited in: Fundamental analysis: valuing a company like an investor

Arora et al. (2012) · Counterparty credit risk and the credit default swap market

Arora, Navneet; Gandhi, Priyank; Longstaff, Francis A.. Journal of Financial Economics 103 (2), pp. 280–293. doi:10.1016/j.jfineco.2011.10.001

Dealers' credit risk is priced in CDS prices, but the effect is vanishingly small, consistent with a market in which liabilities are collateralised.

Cited in: Counterparty and issuer risk: CVA, ETCs, certificates and swaps

Arrow et al. (2008) · The Promise of Prediction Markets

Arrow, Kenneth J.; Forsythe, Robert; Gorham, Michael; Hahn, Robert; Hanson, Robin; Ledyard, John O. et al.. Science 320 (5878), pp. 877–878. doi:10.1126/science.1157679

Call to free prediction markets as a research tool from unnecessary government restrictions.

Cited in: Prediction markets as bets on events: what they can and cannot do

Arslanalp et al. (2019) · Big Data on Vessel Traffic: Nowcasting Trade Flows in Real Time

Arslanalp, Serkan; Marini, Marco; Tumbarello, Patrizia. International Monetary Fund, IMF Working Paper 19/275. doi:10.5089/9781513521121.001

Uses Malta as an example to derive timely trade indicators from AIS port calls and checks them against official statistics.

Cited in: Ship tracking data and satellite images: what they reveal about commodities · Glossary: Nowcasting

Artzner et al. (1999) · Coherent Measures of Risk

Artzner, Philippe; Delbaen, Freddy; Eber, Jean‐Marc; Heath, David. Mathematical Finance 9 (3), pp. 203–228. doi:10.1111/1467-9965.00068

Axioms for coherent risk measures; value at risk violates subadditivity, expected shortfall does not.

Cited in: Value at risk and conditional VaR: how much you could lose in a bad case · Metrics methodology: how Portfolio Lab measures return and risk · Glossary: Coherent risk measure

Aruoba et al. (2009) · Real-Time Measurement of Business Conditions

Aruoba, S. Borağan; Diebold, Francis X.; Scotti, Chiara. Journal of Business & Economic Statistics 27 (4), pp. 417–427. doi:10.1198/jbes.2009.07205

Framework for measuring business conditions at high frequency and as close to real time as possible: a dynamic factor model for stock and flow variables of mixed frequencies with an exact filter.

Cited in: Economic pulse: how Portfolio Lab calculates early indicators

Askitas and Zimmermann (2013) · Nowcasting Business Cycles Using Toll Data

Askitas, Nikolaos; Zimmermann, Klaus F.. Journal of Forecasting 32 (4), pp. 299–306. doi:10.1002/for.1262

Presents a monthly index of truck mileage from German toll data that is barely revised, quickly available and, because of just-in-time deliveries, coincident with production, which makes it a good early indicator of industrial production.

Cited in: Economic pulse: how Portfolio Lab calculates early indicators · Glossary: Leading indicator · Glossary: Truck toll mileage index

Asness et al. (2001) · Do Hedge Funds Hedge?

Asness, Clifford S.; Krail, Robert J.; Liew, John M.. The Journal of Portfolio Management 28 (1), pp. 6–19. doi:10.3905/jpm.2001.319819

Stale or estimated prices make the market risk of hedge funds look too small; with lagged market returns in the regression, it is considerably larger.

Cited in: Private credit and public credit compared: returns, risks and what the research shows · Short selling, hedge funds and hedging: types and how they work

Asness et al. (2012) · Leverage Aversion and Risk Parity

Asness, Clifford S.; Frazzini, Andrea; Pedersen, Lasse H.. Financial Analysts Journal 68 (1), pp. 47–59. doi:10.2469/faj.v68.n1.1

Explains the success of risk parity by leverage aversion: because many investors do not borrow, low-risk assets are relatively underpriced.

Cited in: 60/40 portfolio: the classic mix of equities and bonds · All Weather portfolio: ready for every economic climate? · Leverage in a portfolio: return, risk, costs and margin calls · Gehebelte ETFs und Return Stacking: Pfadabhängigkeit, Kosten und Forschung · Low-Volatility-Anomalie und Betting against Beta · Risk Parity: gleiche Risikobeiträge statt gleicher Gewichte · Glossary: Leverage aversion

Asness et al. (2019) · Quality minus junk

Asness, Clifford S.; Frazzini, Andrea; Pedersen, Lasse Heje. Review of Accounting Studies 24 (1), pp. 34–112. doi:10.1007/s11142-018-9470-2

Quality minus junk: profitable, growing, safe companies earn higher risk-adjusted returns.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Factor investing: understanding the Fama-French factors · Fundamental analysis: valuing a company like an investor · Glossary: Quality minus junk

Aswani et al. (2024) · Are Carbon Emissions Associated with Stock Returns?

Aswani, Jitendra; Raghunandan, Aneesh; Rajgopal, Shiva. Review of Finance 28 (1), pp. 75–106. doi:10.1093/rof/rfad013

The link between emissions and returns disappears when emissions reported by the companies are used instead of estimated ones, or when emissions intensity is used.

Cited in: ESG ETFs: SFDR, ratings, returns and the limits of sustainable funds · ESG methodology: sustainability in the look-through

Attié and Roache (2009) · Inflation Hedging for Long-Term Investors

Attié, Alexander P.; Roache, Shaun K.. International Monetary Fund, IMF Working Paper 09/90. doi:10.5089/9781451872378.001

Uses a vector error correction model to test how well traditional asset classes hedge inflation over different horizons within a diversified portfolio.

Cited in: Liquid real assets: inflation protection with tradable real assets in a portfolio

Augustin et al. (2019) · Informed Options Trading Prior to Takeover Announcements: Insider Trading?

Augustin, Patrick; Brenner, Menachem; Subrahmanyam, Marti G.. Management Science 65 (12), pp. 5697–5720. doi:10.1287/mnsc.2018.3122

Before 1,859 US takeovers from 1996 to 2012, about 25% showed unusual options volume in the target company, mainly in short-dated out-of-the-money calls; the SEC pursued only about 8% of the cases.

Cited in: Insider trading: what is prohibited, what is allowed and what directors' dealings reveal

Augustin et al. (2021) · Volmageddon and the Failure of Short Volatility Products

Augustin, Patrick; Cheng, Ing-Haw; Van den Bergen, Ludovic. Financial Analysts Journal 77 (3), pp. 35–51. doi:10.1080/0015198x.2021.1913040

A case study of the short volatility products on 5 February 2018: buying VIX futures to hedge and to maintain leverage pushed futures prices further up in a concentrated market.

Cited in: Tail Hedging: Was Put-Absicherung kostet, wann sie zahlt und was Short-Vol-Strategien lehren · Glossary: Volmageddon

Avalos et al. (2025) · The global drivers of private credit

Avalos, Fernando; Doerr, Sebastian; Pinter, Gabor. BIS Quarterly Review (März 2025). Source

Bank for International Settlements: private credit grows when policy rates are low and banks are weak; mostly closed-end funds with terms of five to eight years, and BDCs with increased leverage and high industry concentration.

Cited in: Private Debt in der Praxis: Direct Lending, Unitranche, Mezzanine, Kreditstruktur und Fondsvehikel · Glossary: Business development company (BDC)

Avellaneda and Stoikov (2008) · High-frequency trading in a limit order book

Avellaneda, Marco; Stoikov, Sasha. Quantitative Finance 8 (3), pp. 217–224. doi:10.1080/14697680701381228

Optimal bid and ask quotes for a market maker with inventory risk: the indifference price is shifted by inventory times risk aversion times variance, and the spread reflects risk and execution probability.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing

Avellaneda and Zhang (2010) · Path-Dependence of Leveraged ETF Returns

Avellaneda, Marco; Zhang, Stanley. SIAM Journal on Financial Mathematics 1 (1), pp. 586–603. doi:10.1137/090760805

An exact formula for the return of leveraged ETFs in terms of the index return and realised variance, tested empirically on 56 leveraged funds.

Cited in: Leverage in a portfolio: return, risk, costs and margin calls · Gehebelte ETFs und Return Stacking: Pfadabhängigkeit, Kosten und Forschung · Backtest methodology: data, process, rebalancing and costs · Methodology of the free calculators: Vorabpauschale, savings plan, withdrawal and leveraged ETF · Glossary: Leveraged ETF · Glossary: Daily leverage reset · Glossary: Path dependence · Glossary: Volatility decay

Avellaneda and Lee (2010) · Statistical arbitrage in the US equities market

Avellaneda, Marco; Lee, Jeong-Hyun. Quantitative Finance 10 (7), pp. 761–782. doi:10.1080/14697680903124632

Statistical arbitrage using residuals against sector ETFs or principal components: residuals modelled as an Ornstein-Uhlenbeck process, trading based on the s-score, market-neutral.

Cited in: Pairs-Trading und statistische Arbitrage: Idee, Methoden, Forschung · Long/short and statistical arbitrage: methodology · Glossary: Statistical arbitrage · Glossary: Ornstein-Uhlenbeck process · Glossary: s-score

Axelson et al. (2013) · Borrow Cheap, Buy High? The Determinants of Leverage and Pricing in Buyouts

Axelson, Ulf; Jenkinson, Tim; Strömberg, Per; Weisbach, Michael S.. The Journal of Finance 68 (6), pp. 2223–2267. doi:10.1111/jofi.12082

Buyout leverage depends hardly at all on firm characteristics and mainly on credit conditions; more leverage goes with higher purchase prices and lower fund returns.

Cited in: Buyout funds and management buyouts: how LBOs, MBOs and MBIs work · Glossary: Leveraged buyout

Ayres and Nalebuff (2008) · Life-cycle Investing and Leverage: Buying Stock on Margin Can Reduce Retirement Risk

Ayres, Ian; Nalebuff, Barry. National Bureau of Economic Research, Working Paper 14094. doi:10.3386/w14094

By using leverage when young and more cautious investments later, savers spread their equity risk more evenly over their working lives (diversification across time).

Cited in: Leverage in a portfolio: return, risk, costs and margin calls · Glossary: Diversification across time

Ayres and Nalebuff (2010) · Lifecycle Investing: A New, Safe, and Audacious Way to Improve the Performance of Your Retirement Portfolio

Ayres, Ian; Nalebuff, Barry. Basic Books.

Book version of the proposal to invest in equities with leverage when young and to reduce the leverage with age.

Cited in: Leverage in a portfolio: return, risk, costs and margin calls · Glossary: Diversification across time

B

Bacon (2019) · Performance Attribution: History and Progress

Bacon, Carl R.. CFA Institute Research Foundation, Literature Review; abgerufen am 25.10.2026. Source

Survey of attribution from Brinson to the present: multi-level models, top-down and bottom-up, currencies following Karnosky and Singer, bonds, linking, arithmetic versus geometric, and derivatives with notional holdings.

Cited in: Multi-Asset-Attribution: Gewichtungsschemata, Top-down und Bottom-up, Währungen und Overlays · Glossary: Multi-level attribution · Glossary: Geometric attribution

Badrinath and Lewellen (1991) · Evidence on Tax-Motivated Securities Trading Behavior

Badrinath, S. G.; Lewellen, Wilbur G.. The Journal of Finance 46 (1), pp. 369. doi:10.2307/2328699

Over 80,000 stock trades by 3,000 private investors show a clear clustering of loss sales towards the end of the year.

Cited in: Saving tax on your portfolio: loss offsetting, exemption order, Günstigerprüfung and tax-loss harvesting

Baele et al. (2010) · The Determinants of Stock and Bond Return Comovements

Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen. The Review of Financial Studies 23 (6), pp. 2374–2428. doi:10.1093/rfs/hhq014

A dynamic factor model with regime switching: macroeconomic fundamentals barely explain the correlation between stocks and bonds, while liquidity measures and other factors play a larger role; the model fits the covariances worst.

Cited in: Stock-bond correlation: regimes, drivers and what it means for 60/40, risk parity and hedging

Bai and Collin-Dufresne (2019) · The CDS-bond basis

Bai, Jennie; Collin-Dufresne, Pierre. Financial Management 48 (2), pp. 417–439. doi:10.1111/fima.12252

The CDS-bond basis deviates further from zero where liquidity, funding costs, counterparty risk and collateral quality make arbitrage harder.

Cited in: Basis trades: positive and negative basis in bonds, CDS and futures · Glossary: CDS-bond basis

Bai and Perron (1998) · Estimating and Testing Linear Models with Multiple Structural Changes

Bai, Jushan; Perron, Pierre. Econometrica 66 (1). doi:10.2307/2998540

Theory for estimating and testing multiple structural breaks in regressions, including tests for the number of break points.

Cited in: Regime-Modelle: Hidden Markov, Markov-Switching und Co. · Glossary: Structural break

Bai et al. (2015) · The Impact of Leveraged and Inverse ETFs on Underlying Real Estate Returns

Bai, Qing; Bond, Shaun A.; Hatch, Brian. Real Estate Economics 43 (1), pp. 37–66. doi:10.1111/1540-6229.12061

Six leveraged and inverse real estate ETFs influenced the end-of-day prices of 63 real estate stocks, increased their volatility and amplified price momentum.

Cited in: Gehebelte ETFs und Return Stacking: Pfadabhängigkeit, Kosten und Forschung

Bailey and López de Prado (2012) · The Sharpe ratio efficient frontier

Bailey, David H.; López de Prado, Marcos. The Journal of Risk 15 (2), pp. 3–44. doi:10.21314/JOR.2012.255

Introduces the probabilistic Sharpe ratio and the minimum track record length: how likely is it that an estimated Sharpe ratio exceeds a threshold when returns are not normally distributed?

Cited in: Deflated Sharpe ratio: how much skill is in a Sharpe ratio? · Overfitting check and diversification return: the calculations in Backtest and Tactical · Glossary: Probabilistic Sharpe ratio · Glossary: Minimum track record length · Glossary: Standard error of the Sharpe ratio

Bailey et al. (2014) · Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance

Bailey, David H.; Borwein, Jonathan M.; López de Prado, Marcos; Zhu, Qiji Jim. Notices of the American Mathematical Society 61 (5), pp. 458–471. doi:10.1090/noti1105

Shows how quickly a high backtest Sharpe ratio emerges when many variants are tested, and derives a minimum backtest length.

Cited in: Deflated Sharpe ratio: how much skill is in a Sharpe ratio? · Probability of Backtest Overfitting: Hält die beste Variante, was der Backtest verspricht? · Overfitting check and diversification return: the calculations in Backtest and Tactical

Bailey and López de Prado (2014) · The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting, and Non-Normality

Bailey, David H.; López de Prado, Marcos. The Journal of Portfolio Management 40 (5), pp. 94–107. doi:10.3905/jpm.2014.40.5.094

The deflated Sharpe ratio corrects a Sharpe ratio for the number of strategies tried and for skewness and kurtosis.

Cited in: How to backtest an ETF portfolio: a guide to portfolio backtesting · Sharpe ratio: return per unit of risk · Backtest overfitting: when the past looks too good · Deflated Sharpe ratio: how much skill is in a Sharpe ratio? · Probability of Backtest Overfitting: Hält die beste Variante, was der Backtest verspricht? · Overfitting check and diversification return: the calculations in Backtest and Tactical · Glossary: Expected maximum Sharpe ratio · Glossary: Effective number of trials · Glossary: Multiple testing · Glossary: Selection bias · Glossary: Deflated Sharpe ratio

Bailey and López de Prado (2021) · How “Backtest Overfitting” in Finance Leads to False Discoveries

Bailey, David H.; López de Prado, Marcos. Significance 18 (6), pp. 22–25. doi:10.1111/1740-9713.01588

Written for a general audience: why strategies optimised on historical data are often statistical mirages and perform poorly in practice.

Cited in: Probability of Backtest Overfitting: Hält die beste Variante, was der Backtest verspricht?

Bailey (1992) · Are Manager Universes Acceptable Performance Benchmarks?

Bailey, Jeffery V.. The Journal of Portfolio Management 18 (3), pp. 9–13. doi:10.3905/jpm.1992.9

Lists the properties of a valid benchmark (unambiguous, investable, measurable, appropriate, reflective of current investment opinions, specified in advance) and shows that peer groups of other managers do not meet them.

Cited in: Portfolio reporting: how to report return, risk, attribution and costs properly

Bailey (1992) · Evaluating Benchmark Quality

Bailey, Jeffery V.. Financial Analysts Journal 48 (3), pp. 33–39. doi:10.2469/faj.v48.n3.33

Tests of benchmark quality: coverage, turnover, predominantly positive active weights, tracking error, correlations of market-adjusted returns and similar style characteristics.

Cited in: Portfolio reporting: how to report return, risk, attribution and costs properly

Bailey et al. (1963) · A Regression Method for Real Estate Price Index Construction

Bailey, Martin J.; Muth, Richard F.; Nourse, Hugh O.. Journal of the American Statistical Association 58 (304), pp. 933–942. doi:10.1080/01621459.1963.10480679

Establishes the repeat-sales index: prices of the same property at different times, combined in a regression, sidestep quality differences and yield standard errors for the index.

Cited in: Collectibles as an investment: what art, wine, watches and classic cars really return · Real estate as an investment: rental flat, REITs, open-ended funds and private real estate · Glossary: Repeat-sales index

Bajgrowicz and Scaillet (2012) · Technical trading revisited: False discoveries, persistence tests, and transaction costs

Bajgrowicz, Pierre; Scaillet, Olivier. Journal of Financial Economics 106 (3), pp. 473–491. doi:10.1016/j.jfineco.2012.06.001

Technical rules on the Dow Jones in 1897–2011 assessed with the false discovery rate: even low trading costs eliminate the in-sample excess return.

Cited in: Technical analysis, chart patterns and candlesticks from a quant perspective

Baker and Wurgler (2004) · A Catering Theory of Dividends

Baker, Malcolm; Wurgler, Jeffrey. The Journal of Finance 59 (3), pp. 1125–1165. doi:10.1111/j.1540-6261.2004.00658.x

Companies start paying dividends when investors value dividend payers at a premium, so they are catering to demand.

Cited in: Dividend strategies and dividend ETFs under scrutiny: irrelevance, taxes, factors

Baker and Wurgler (2006) · Investor Sentiment and the Cross-Section of Stock Returns

Baker, Malcolm; Wurgler, Jeffrey. The Journal of Finance 61 (4), pp. 1645–1680. doi:10.1111/j.1540-6261.2006.00885.x

When sentiment is low, small, young, volatile and hard-to-value stocks subsequently earn higher returns; when it is high, they earn lower returns.

Cited in: Sentiment: methodology for the fear and greed index, put/call ratio and COT

Baker et al. (2011) · Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly

Baker, Malcolm; Bradley, Brendan; Wurgler, Jeffrey. Financial Analysts Journal 67 (1), pp. 40–54. doi:10.2469/faj.v67.n1.4

Explains the low-volatility anomaly by benchmark mandates for fund managers and investors' preference for lotteries.

Cited in: Low-Volatility-Anomalie und Betting against Beta · Glossary: Low-volatility anomaly

Bakshi and Kapadia (2003) · Delta-Hedged Gains and the Negative Market Volatility Risk Premium

Bakshi, Gurdip; Kapadia, Nikunj. Review of Financial Studies 16 (2), pp. 527–566. doi:10.1093/rfs/hhg002

Delta-hedged long positions in index options perform worse than zero on average, which is evidence of a negative volatility risk premium.

Cited in: Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Optionsbewertung: wie faire Optionspreise entstehen · Tail Hedging: Was Put-Absicherung kostet, wann sie zahlt und was Short-Vol-Strategien lehren

Bakshi et al. (2011) · The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity

Bakshi, Gurdip; Panayotov, George; Skoulakis, Georgios. SSRN. doi:10.2139/ssrn.1787757

Growth in a dry bulk freight rate index predicts stock and commodity returns and global economic activity, both in and out of sample.

Cited in: Ship tracking data and satellite images: what they reveal about commodities · Glossary: Freight rate index

Bali et al. (2011) · Maxing out: Stocks as lotteries and the cross-section of expected returns

Bali, Turan G.; Cakici, Nusret; Whitelaw, Robert F.. Journal of Financial Economics 99 (2), pp. 427–446. doi:10.1016/j.jfineco.2010.08.014

Stocks with the highest daily return in the previous month (MAX) subsequently earn lower returns: investors overpay for lottery-like chances of large gains.

Cited in: Stock picking: why individual stocks are so hard to get right · Glossary: Lottery stock

Ball and Brown (1968) · An Empirical Evaluation of Accounting Income Numbers

Ball, Ray; Brown, Philip. Journal of Accounting Research 6 (2), pp. 159–178. doi:10.2307/2490232

Classic study of the price reaction to annual earnings: much of the information is already in the price before the announcement.

Cited in: Event-Studien: Wie man Kursreaktionen auf Ereignisse misst und testet

Baltas and Kosowski (2020) · Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations

Baltas, Nick; Kosowski, Robert. Wiley; in: Satchell, Stephen; Grant, Andrew (Hrsg.), Market Momentum: Theory and Practice. doi:10.1002/9781119599364.ch3

How volatility estimators and signals drive the turnover of trend strategies and why higher correlations between markets after the financial crisis depressed results; with a cost model for rolling and rebalancing.

Cited in: CTAs and managed futures: industry, position sizing, costs and crisis protection

Banca d'Italia (2026) · The European Parliament decided to open negotiations on the Digital Euro Regulation (9. Juli 2026)

Banca d'Italia. Banca d'Italia; abgerufen am 25.10.2026. Source

The European Parliament adopted its negotiating mandate on the digital euro by 416 votes to 169 with 22 abstentions; the aim is to conclude the legislative process by the end of 2026.

Cited in: Digital assets: tokenisation, stablecoins, crypto securities and the digital euro

BIS (2018) · The equity market turbulence of 5 February – the role of exchange-traded volatility products (Kasten im BIS Quarterly Review, März 2018, S. 4–6)

Bank für Internationalen Zahlungsausgleich. Bank für Internationalen Zahlungsausgleich, 11.3.2018 (Grafik korrigiert am 21.3.2018); abgerufen am 26.10.2026. Source

On 5 February 2018 the S&P 500 fell by 4.2% and the VIX rose by 20 points; leveraged and inverse VIX products had to buy VIX futures shortly before 16:15, and the inverse product XIV lost 84% and was terminated.

Cited in: Tail Hedging: Was Put-Absicherung kostet, wann sie zahlt und was Short-Vol-Strategien lehren · Glossary: Volmageddon

BIS (2025) · Next-generation monetary and financial system takes shape, based on a tokenised unified ledger: BIS (Pressemitteilung zum Annual Economic Report 2025, Kapitel III, 24. Juni 2025)

Bank für Internationalen Zahlungsausgleich. Bank für Internationalen Zahlungsausgleich; abgerufen am 25.10.2026. Source

Tokenisation on a unified ledger with central bank reserves, bank deposits and government bonds; stablecoins fail the tests of singleness, elasticity and integrity.

Cited in: Digital assets: tokenisation, stablecoins, crypto securities and the digital euro · Glossary: Tokenisation

BIS (2026) · Annual Economic Report 2026, Kapitel III: Anchoring trust in money: innovation beyond stablecoins

Bank für Internationalen Zahlungsausgleich. Bank für Internationalen Zahlungsausgleich; abgerufen am 25.10.2026. Source

The market value of stablecoins was about US$320 billion at the end of May 2026, with 99.4% of fiat-backed stablecoins pegged to the dollar; redemption at par across issuers and blockchains is not assured in all circumstances.

Cited in: Digital assets: tokenisation, stablecoins, crypto securities and the digital euro · Glossary: Stablecoin

Bank of England (2023) · Bank staff paper: LDI minimum resilience – recommendation and explainer

Bank of England. Bank of England, Financial Policy Committee, 29.3.2023; abgerufen am 25.10.2026. Source

Recommendation to the UK pensions regulator: LDI funds and mandates should be able to withstand a yield rise of at least about 250 basis points without forced sales.

Cited in: Liability Driven Investing und Cashflow Driven Investing: Verbindlichkeiten mit Anleihen decken · Overlay-Management mit Futures: Beta-, Duration- und Währungs-Overlay, Kontraktzahlen und Liquiditätsbedarf

Bank of England, APF (2023) · Asset Purchase Facility Quarterly Report – 2022 Q4

Bank of England. Bank of England; abgerufen am 25.10.2026. Source

The size and unwinding of the temporary gilt purchases made to safeguard financial stability in autumn 2022.

Cited in: Liability Driven Investing und Cashflow Driven Investing: Verbindlichkeiten mit Anleihen decken

Banz (1981) · The relationship between return and market value of common stocks

Banz, Rolf W.. Journal of Financial Economics 9 (1), pp. 3–18. doi:10.1016/0304-405x(81)90018-0

Discovers the size effect: small companies earned higher returns than the CAPM would predict.

Cited in: Equal weight vs cap weight: weighting, rebalancing and factor tilts · Factor investing: understanding the Fama-French factors · Glossary: SMB · Glossary: Size premium

Bao et al. (2011) · The Illiquidity of Corporate Bonds

Bao, Jack; Pan, Jun; Wang, Jiang. The Journal of Finance 66 (3), pp. 911–946. doi:10.1111/j.1540-6261.2011.01655.x

The illiquidity of US corporate bonds in 2003–2009 is substantial, greater than bid-ask spreads can explain, and accounts for a large part of the time variation in the yield spreads of highly rated bonds.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing

Barber and Lyon (1997) · Detecting long-run abnormal stock returns: The empirical power and specification of test statistics

Barber, Brad M.; Lyon, John D.. Journal of Financial Economics 43 (3), pp. 341–372. doi:10.1016/S0304-405X(96)00890-2

Over one to five years, tests against a market index are misspecified; matching firms of the same size and book-to-market ratio largely fix this.

Cited in: Event-Studien: Wie man Kursreaktionen auf Ereignisse misst und testet · Glossary: Buy-and-hold abnormal return

Barber and Odean (2008) · All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors

Barber, Brad M.; Odean, Terrance. The Review of Financial Studies 21 (2), pp. 785–818. doi:10.1093/rfs/hhm079

Individual investors mainly buy attention-grabbing stocks: stocks in the news, with unusually high trading volume or with extreme daily returns.

Cited in: Core-satellite with a broad core and targeted satellites: costs, tracking error and rules · Thematic ETFs and hype: what studies, costs and overlaps reveal

Barden et al. (2024) · Fewer tankers transit the Red Sea in 2024

Barden, Justine; Dunn, Candace; Merolli, Paul. U.S. Energy Information Administration, Today in Energy, 11.10.2024. Source

After the attacks in the Red Sea, oil flows through the Bab el-Mandeb fell by more than half, while more tankers sailed around the Cape of Good Hope.

Cited in: Ship tracking data and satellite images: what they reveal about commodities

Barkhagen et al. (2023) · Optimising portfolio diversification and dimensionality

Barkhagen, M.; García, S.; Gondzio, J.; Kalcsics, J.; Kroeske, J.; Sabanis, S. et al.. Journal of Global Optimization 85 (1), pp. 185–234. doi:10.1007/s10898-022-01202-7

Portfolio dimensionality: links diversification to the non-normality of portfolio returns through ratios of homogeneous risk measures (independent of leverage); maximising it is non-convex and is solved with two global optimisation methods.

Cited in: Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Glossary: Portfolio dimensionality

Barroso and Santa-Clara (2015) · Momentum has its moments

Barroso, Pedro; Santa-Clara, Pedro. Journal of Financial Economics 116 (1), pp. 111–120. doi:10.1016/j.jfineco.2014.11.010

Momentum had the highest Sharpe ratio of the classic factors but the worst crashes; its risk varies strongly and is predictable, and managing it accordingly nearly eliminates the crashes and almost doubles the Sharpe ratio.

Cited in: Momentum-Crashes: warum Momentum selten, aber heftig einbricht und was Volatilitätssteuerung und Crowding-Maße zeigen

Barth and Kahn (2021) · Hedge Funds and the Treasury Cash-Futures Disconnect

Barth, Daniel; Kahn, R. Jay. Office of Financial Research, U.S. Department of the Treasury, Working Paper 21-01. doi:10.67236/faxi2748

The rise and unwinding of hedge funds' Treasury basis trade after 2016 and in March 2020, more a consequence than the main cause of the market stress.

Cited in: Basis trades: positive and negative basis in bonds, CDS and futures

Barth et al. (2023) · Recent Developments in Hedge Funds' Treasury Futures and Repo Positions: is the Basis Trade „Back“?

Barth, Daniel; Kahn, R. Jay; Mann, Robert. Board of Governors of the Federal Reserve System, FEDS Notes vom 30. August 2023. doi:10.17016/2380-7172.3355

Analysis of futures and repo data: the basis trade is probably back, at least in part.

Cited in: Basis trades: positive and negative basis in bonds, CDS and futures

Bartram et al. (2008) · Does adverse selection affect bid–ask spreads for options?

Bartram, Söhnke M.; Fehle, Frank; Shrider, David G.. Journal of Futures Markets 28 (5), pp. 417–437. doi:10.1002/fut.20316

Bank-issued warrants on the EUWAX had narrower bid-ask spreads than comparable Eurex options; adverse selection accounts for at least half of the spread on Eurex.

Cited in: Warrants, turbos and certificates: what they are and what you pay on top · Glossary: Warrant

Basel Committee on Banking Supervision (2009) · Principles for sound stress testing practices and supervision

Basel Committee on Banking Supervision. Bank für Internationalen Zahlungsausgleich, Mai 2009 (2018 ersetzt); abgerufen am 25.10.2026. Source

Principles for banks' stress testing and its review by supervisors, in response to the weaknesses in stress testing that the financial crisis had exposed.

Cited in: Szenarioanalyse und Sensitivitätsanalyse: Aktien-, Zins-, Kredit- und Währungsrisiko im Stresstest

Basel Committee on Banking Supervision (2018) · Stress testing principles

Basel Committee on Banking Supervision. Bank für Internationalen Zahlungsausgleich, 17.10.2018; abgerufen am 25.10.2026. Source

Nine principles on the objectives, governance, data, models and review of stress tests; scenarios should be severe but plausible, and reverse stress tests look for scenarios that could cause a bank to fail.

Cited in: Historical stress testing: how to apply past crises to your portfolio today · Szenarioanalyse und Sensitivitätsanalyse: Aktien-, Zins-, Kredit- und Währungsrisiko im Stresstest · Scenario methodology: how Portfolio Lab runs stress tests · Glossary: Stress test · Glossary: Reverse stress test · Glossary: Historical scenario · Glossary: Hypothetical scenario

Basel Committee (2011) · Capital treatment for bilateral counterparty credit risk finalised by the Basel Committee (Pressemitteilung)

Basler Ausschuss für Bankenaufsicht. Bank für Internationalen Zahlungsausgleich, Basel, 1.6.2011; abgerufen am 25.10.2026. Source

Finalisation of the Basel III rules on counterparty risk, with a capital charge for CVA risk; during the financial crisis, about two thirds of counterparty credit risk losses came from CVA changes.

Cited in: Counterparty and issuer risk: CVA, ETCs, certificates and swaps · Glossary: Credit valuation adjustment

Basel Committee (2020) · Basel Committee publishes final revisions to the credit valuation adjustment risk framework (Pressemitteilung)

Basler Ausschuss für Bankenaufsicht. Bank für Internationalen Zahlungsausgleich, Basel, 8.7.2020; abgerufen am 25.10.2026. Source

Final revisions to the Basel III CVA framework: risk weights, cleared client transactions, the standardised and basic approaches, aligned with the market risk framework.

Cited in: Counterparty and issuer risk: CVA, ETCs, certificates and swaps

BCBS, CPMI and IOSCO (2022) · BCBS-CPMI-IOSCO finalise analysis of margining practices during the March 2020 market turmoil (Pressemitteilung zum Bericht „Review of margining practices“)

Basler Ausschuss für Bankenaufsicht; Ausschuss für Zahlungsverkehr und Marktinfrastrukturen; International Organization of Securities Commissions. Bank für Internationalen Zahlungsausgleich, 29.9.2022; abgerufen am 26.10.2026. Source

In March 2020, central counterparties' variation margin calls peaked at US$140 billion on 9 March, and initial margin in central clearing rose by about US$300 billion over the month.

Cited in: Overlay-Management mit Futures: Beta-, Duration- und Währungs-Overlay, Kontraktzahlen und Liquiditätsbedarf · Glossary: Variation margin

Basel Committee (2024) · Basel Committee publishes final disclosure framework for banks' cryptoasset exposures and targeted amendments to its cryptoasset standard (Pressemitteilung, 17. Juli 2024)

Basler Ausschuss für Bankenaufsicht. Bank für Internationalen Zahlungsausgleich; abgerufen am 25.10.2026. Source

A disclosure framework and targeted amendments to the December 2022 cryptoasset standard, mainly on the criteria for Group 1b stablecoins; both apply from 1 January 2026.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

Basel Framework, SCO60 (2024) · The Basel Framework, SCO60: Cryptoasset exposures (Fassung in Kraft ab 1. Januar 2026, zuletzt geändert am 27. November 2024)

Basler Ausschuss für Bankenaufsicht. Bank für Internationalen Zahlungsausgleich; abgerufen am 25.10.2026. Source

Banks' crypto exposures in Groups 1a, 1b, 2a and 2b; a risk weight of 1,250% for Group 2b, and total Group 2 exposures generally up to 1%, and at most 2%, of Tier 1 capital.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

Basel Committee (2026) · Basel Committee meets to advance supervisory and regulatory initiatives and discuss risks and vulnerabilities to the global banking system (Pressemitteilung, 1. Oktober 2026)

Basler Ausschuss für Bankenaufsicht. Bank für Internationalen Zahlungsausgleich; abgerufen am 25.10.2026. Source

The Committee is conducting a targeted review of specific elements of its standard for banks' crypto exposures and intends to provide an update by the end of 2026.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

Baule et al. (2008) · Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates

Baule, Rainer; Entrop, Oliver; Wilkens, Marco. Journal of Futures Markets 28 (4), pp. 376–397. doi:10.1002/fut.20309

Discount certificates in the secondary market: with a model that combines market and credit risk, total margins are rather low, and the component for the bank's credit risk makes up a substantial part of them.

Cited in: Warrants, turbos and certificates: what they are and what you pay on top · Glossary: Discount certificate · Glossary: Issuer margin

Baule and Blonski (2015) · The Demand for Warrants and Issuer Pricing Strategies

Baule, Rainer; Blonski, Philip. Journal of Futures Markets 35 (12), pp. 1195–1219. doi:10.1002/fut.21703

Retail investors tend to buy the warrant with the lowest margin among similar ones but do not respond to the general margin level; issuers vary the margin with moneyness.

Cited in: Warrants, turbos and certificates: what they are and what you pay on top · Glossary: Warrant

Baum et al. (1970) · A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains

Baum, Leonard E.; Petrie, Ted; Soules, George; Weiss, Norman. The Annals of Mathematical Statistics 41 (1), pp. 164–171. doi:10.1214/aoms/1177697196

An iterative method for estimating hidden Markov chains, known today as the Baum-Welch algorithm.

Cited in: Regime-Modelle: Hidden Markov, Markov-Switching und Co. · Regime methodology: how the hidden Markov model works · Glossary: Hidden Markov model · Glossary: Baum-Welch algorithm

Baur and Lucey (2010) · Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold

Baur, Dirk G.; Lucey, Brian M.. Financial Review 45 (2), pp. 217–229. doi:10.1111/j.1540-6288.2010.00244.x

On average, gold is a hedge against equities and a safe haven in extreme downturns, but only in the short term.

Cited in: All Weather portfolio: ready for every economic climate? · Gold in a portfolio: safe haven, inflation hedge or just shiny? · Glossary: Safe haven · Glossary: Gold

Baur and McDermott (2010) · Is gold a safe haven? International evidence

Baur, Dirk G.; McDermott, Thomas K.. Journal of Banking & Finance 34 (8), pp. 1886–1898. doi:10.1016/j.jbankfin.2009.12.008

Tests gold as a safe haven for the stock markets of many countries, including in individual crises.

Cited in: Gold in a portfolio: safe haven, inflation hedge or just shiny?

Baxter and Jermann (1997) · The International Diversification Puzzle Is Worse Than You Think

Baxter, Marianne; Jermann, Urban J.. American Economic Review 87 (1), pp. 170–180. Source

Returns on human and physical capital are closely linked in four industrial countries; hedging human capital would require a short position in domestic assets.

Cited in: Your whole wealth: total wealth from portfolio, home, human capital and car

Beasley et al. (2003) · An evolutionary heuristic for the index tracking problem

Beasley, J. E.; Meade, N.; Chang, T.-J.. European Journal of Operational Research 148 (3), pp. 621–643. doi:10.1016/s0377-2217(02)00425-3

Heuristic for selecting a limited number of securities that track an index as closely as possible.

Cited in: Index-Replikation: vollständige Replikation, optimiertes Sampling und Swap

Beber and Pagano (2013) · Short-Selling Bans Around the World: Evidence from the 2007–09 Crisis

Beber, Alessandro; Pagano, Marco. The Journal of Finance 68 (1), pp. 343–381. doi:10.1111/j.1540-6261.2012.01802.x

Short-selling bans in the financial crisis harmed liquidity, slowed price discovery and did not support prices, except possibly for US financial stocks.

Cited in: Short selling, hedge funds and hedging: types and how they work

Becker et al. (2015) · Markowitz versus Michaud: portfolio optimization strategies reconsidered

Becker, Franziska; Gürtler, Marc; Hibbeln, Martin. The European Journal of Finance 21 (4), pp. 269–291. doi:10.1080/1351847X.2013.830138

Large simulation study: on average, classical optimisation beats resampling, and the choice of estimators and weight constraints matters more.

Cited in: Resampling-Optimierung nach Michaud: stabilere Portfoliogewichte durch Simulation · Optimisation methodology: estimation, objectives, Black-Litterman, resampling and walk-forward

Ben Dor and Xu (2011) · Fallen Angels: Characteristics, Performance, and Implications for Investors

Ben Dor, Arik; Xu, Zhe. The Journal of Fixed Income 20 (4), pp. 33–58. doi:10.3905/jfi.2011.20.4.033

After the downgrade, fallen angels initially perform worse than comparable high-yield bonds and then recover over up to two years, the more strongly the deeper the fall.

Cited in: Distressed debt: strategies, insolvency law, recovery rates and returns when investing in crises · Glossary: Fallen angel

Ben-David et al. (2017) · Exchange-Traded Funds

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih. Annual Review of Financial Economics 9 (1), pp. 169–189. doi:10.1146/annurev-financial-110716-032538

An overview of ETFs: structure, arbitrage, liquidity and their effect on markets.

Cited in: ETF basics: costs, replication and use of income · Thematic ETFs and hype: what studies, costs and overlaps reveal · Index providers and valuation points: why the same index is calculated differently · Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC · Glossary: ETF · Glossary: Creation and redemption

Ben-David et al. (2018) · Do ETFs Increase Volatility?

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih. The Journal of Finance 73 (6), pp. 2471–2535. doi:10.1111/jofi.12727

ETFs pass liquidity shocks on to the stocks they hold and increase the volatility of those stocks.

Cited in: ETF basics: costs, replication and use of income

Ben-David et al. (2023) · Competition for Attention in the ETF Space

Ben-David, Itzhak; Franzoni, Francesco; Kim, Byungwook; Moussawi, Rabih. The Review of Financial Studies 36 (3), pp. 987–1042. doi:10.1093/rfs/hhac048

Specialised ETFs on attention-grabbing themes lose about 30% on a risk-adjusted basis in their first five years, mainly because their stocks are overvalued at launch.

Cited in: Thematic ETFs and hype: what studies, costs and overlaps reveal · Glossary: Thematic ETF

Benartzi and Thaler (1995) · Myopic Loss Aversion and the Equity Premium Puzzle

Benartzi, S.; Thaler, R. H.. The Quarterly Journal of Economics 110 (1), pp. 73–92. doi:10.2307/2118511

Myopic loss aversion: investors who check their portfolio too often perceive equities as too risky.

Cited in: Cost averaging: what the average-cost effect really delivers · Savings plan or lump sum: invest a large amount at once or in instalments? · Equity risk premium: how much more equities return and why it is a puzzle · Glossary: Equity premium puzzle · Glossary: Myopic loss aversion

Benartzi (2001) · Excessive Extrapolation and the Allocation of 401(k) Accounts to Company Stock

Benartzi, Shlomo. The Journal of Finance 56 (5), pp. 1747–1764. doi:10.1111/0022-1082.00388

About a third of the assets of large US company retirement plans is invested in the employer's own stock, the more so the better the stock has performed before.

Cited in: Your whole wealth: total wealth from portfolio, home, human capital and car · Glossary: Employer stock

Benartzi et al. (2011) · Annuitization Puzzles

Benartzi, Shlomo; Previtero, Alessandro; Thaler, Richard H.. Journal of Economic Perspectives 25 (4), pp. 143–164. doi:10.1257/jep.25.4.143

Although life annuities protect against the risk of outliving one's wealth, few retirees annuitise a large share of it; behavioural and institutional factors explain why.

Cited in: Retirement saving in Germany compared: company pension, Rürup, Altersvorsorgedepot and ETF pension insurance versus an ETF savings plan

Beneish and Whaley (1996) · An Anatomy of the “S&P Game”: The Effects of Changing the Rules

Beneish, Messod D.; Whaley, Robert E.. The Journal of Finance 51 (5), pp. 1909–1930. doi:10.1111/j.1540-6261.1996.tb05231.x

Since S&P began announcing changes five days in advance, added stocks have risen more than average between the announcement and the effective date; part of the gain reverses afterwards.

Cited in: Smart Indexing: Mehrwert für Indexfonds rund um Corporate Actions und Indexänderungen

Bengen (1994) · Determining Withdrawal Rates Using Historical Data

Bengen, William P.. Journal of Financial Planning. Source

Uses US data since 1926 to test which inflation-adjusted initial withdrawal would have survived every historical period; the origin of the 4% rule, with a recommended equity share of 50 to 75%.

Cited in: Safe withdrawal rate: how good is the 4% rule? · FIRE (Financial Independence, Retire Early): Lean, Fat, Coast and Barista FIRE · Financial goals methodology: how Portfolio Lab simulates a life plan · Methodology of the free calculators: Vorabpauschale, savings plan, withdrawal and leveraged ETF · Glossary: FIRE number

Benzoni et al. (2007) · Portfolio Choice over the Life-Cycle when the Stock and Labor Markets Are Cointegrated

Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S.. The Journal of Finance 62 (5), pp. 2123–2167. doi:10.1111/j.1540-6261.2007.01271.x

If wages and dividends move together over the long run, human capital is equity-like for the young and bond-like for older people, and the optimal equity share follows a hump shape.

Cited in: Your whole wealth: total wealth from portfolio, home, human capital and car · Glossary: Life-cycle model

Beracha and Johnson (2012) · Lessons from Over 30 Years of Buy versus Rent Decisions: Is the American Dream Always Wise?

Beracha, Eli; Johnson, Ken H.. Real Estate Economics 40 (2), pp. 217–247. doi:10.1111/j.1540-6229.2011.00321.x

With a holding period equal to the average length of residence in the US, renting was the better investment strategy for most of the period studied.

Cited in: Rent or buy: user cost, purchase costs in 2026 and a 20-year wealth comparison

Berg et al. (2022) · Aggregate Confusion: The Divergence of ESG Ratings

Berg, Florian; Kölbel, Julian F.; Rigobon, Roberto. Review of Finance 26 (6), pp. 1315–1344. doi:10.1093/rof/rfac033

Compares the ESG ratings of six agencies and decomposes their divergence: 56% stems from different measurement, 38% from the scope of categories and 6% from weighting.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · ESG ETFs: SFDR, ratings, returns and the limits of sustainable funds · ESG methodology: sustainability in the look-through · Glossary: ESG rating

Berg et al. (2008) · Prediction market accuracy in the long run

Berg, Joyce E.; Nelson, Forrest D.; Rietz, Thomas A.. International Journal of Forecasting 24 (2), pp. 285–300. doi:10.1016/j.ijforecast.2008.03.007

Iowa Electronic Markets versus 964 polls in the US presidential elections from 1988 to 2004: the market was closer to the result 74% of the time and, for forecasts more than 100 days ahead, significantly better in every election (abstract checked on the Iowa Electronic Markets website).

Cited in: Prediction markets as bets on events: what they can and cannot do · Glossary: Prediction market

Berk and Green (2004) · Mutual Fund Flows and Performance in Rational Markets

Berk, Jonathan B.; Green, Richard C.. Journal of Political Economy 112 (6), pp. 1269–1295. doi:10.1086/424739

Competition for capital and decreasing returns to scale explain why active funds do not outperform on average and why success does not persist, even though most managers have skill.

Cited in: Active ETFs: how they work and what they deliver

Berkin and Ye (2003) · Tax Management, Loss Harvesting, and HIFO Accounting

Berkin, Andrew L.; Ye, Jia. Financial Analysts Journal 59 (4), pp. 91–102. doi:10.2469/faj.v59.n4.2548

Monte Carlo study: ongoing contributions, high single-stock risk and low returns make loss harvesting more valuable, while withdrawals reduce the benefit; tax-efficient management beats a simple index fund after taxes.

Cited in: Saving tax on your portfolio: loss offsetting, exemption order, Günstigerprüfung and tax-loss harvesting

Berkowitz (2000) · A coherent framework for stress testing

Berkowitz, Jeremy. The Journal of Risk 2 (2), pp. 5–15. doi:10.21314/jor.2000.021

Criticises stress tests run outside the risk model because their scenarios have no probability, and proposes building them into the risk model with probabilities; previously published as a Federal Reserve working paper in 1999.

Cited in: Historical stress testing: how to apply past crises to your portfolio today · Szenarioanalyse und Sensitivitätsanalyse: Aktien-, Zins-, Kredit- und Währungsrisiko im Stresstest · Scenario methodology: how Portfolio Lab runs stress tests

Berkowitz et al. (1988) · The Total Cost of Transactions on the NYSE

Berkowitz, Stephen A.; Logue, Dennis E.; Noser, Eugene A.. The Journal of Finance 43 (1), pp. 97–112. doi:10.1111/j.1540-6261.1988.tb02591.x

Introduces the day's volume-weighted average price (VWAP) as a benchmark for execution costs; across more than 14,000 orders, commission and market impact together cost 23 basis points on average.

Cited in: Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC · Glossary: VWAP

Bernardo and Ledoit (2000) · Gain, Loss, and Asset Pricing

Bernardo, Antonio E.; Ledoit, Olivier. Journal of Political Economy 108 (1), pp. 144–172. doi:10.1086/262114

Measures the attractiveness of an investment by the ratio of expected gain to expected loss (gain-loss ratio) and derives price bounds from it.

Cited in: Risk metrics beyond the Sharpe ratio: Treynor, Calmar, Omega, Ulcer Index and more

Bernhardt and Eckblad (2013) · Stock Market Crash of 1987

Bernhardt, Donald; Eckblad, Marshall. Federal Reserve History, Stand 22.11.2013. Source

Overview of Black Monday on 19 October 1987, its causes including portfolio insurance, and the Fed's response.

Cited in: CPPI: portfolio insurance with cushion, floor and multiplier

Bernstein (2000) · The Intelligent Asset Allocator

Bernstein, William J.. McGraw-Hill.

An introduction to asset allocation using historical returns, correlations and rebalancing.

Cited in: Rebalancing: getting your portfolio back on course

Bertrand and Prigent (2002) · Portfolio Insurance Strategies: OBPI versus CPPI

Bertrand, Philippe; Prigent, Jean-Luc. SSRN. doi:10.2139/ssrn.299688

Compares option-based portfolio insurance (OBPI) and CPPI by payoff profile and behaviour over time.

Cited in: CPPI: portfolio insurance with cushion, floor and multiplier · Glossary: OBPI

Bessembinder (1992) · Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets

Bessembinder, Hendrik. Review of Financial Studies 5 (4), pp. 637–667. doi:10.1093/rfs/5.4.637

Returns on currency and agricultural futures are related to hedgers' net positions, so hedging pressure is part of the risk premium.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities · Sentiment: methodology for the fear and greed index, put/call ratio and COT

Bessembinder et al. (2020) · A Survey of the Microstructure of Fixed-Income Markets

Bessembinder, Hendrik; Spatt, Chester; Venkataraman, Kumar. Journal of Financial and Quantitative Analysis 55 (1), pp. 1–45. doi:10.1017/S0022109019000231

A survey of trading rules and costs in bond markets (government, corporate and municipal bonds, securitised products) compared with equities: OTC trading with search costs, dealer networks, limited transparency.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing

Bessembinder et al. (2023) · Long-Term Shareholder Returns: Evidence from 64,000 Global Stocks

Bessembinder, Hendrik; Chen, Te-Feng; Choi, Goeun; Wei, K. C. John. Financial Analysts Journal 79 (3), pp. 33–63. doi:10.1080/0015198X.2023.2188870

Globally too, most stocks returned less than one-month US Treasury bills from 1990 to 2020, and a small fraction of companies created all of the wealth.

Cited in: Stock picking: why individual stocks are so hard to get right

Best and Grauer (1991) · On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results

Best, Michael J.; Grauer, Robert R.. Review of Financial Studies 4 (2), pp. 315–342. doi:10.1093/rfs/4.2.315

Shows how much optimal weights shift even with small changes in expected returns.

Cited in: Efficient frontier: Markowitz portfolio optimisation · Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Kovarianzschätzung: Warum Optimierer Shrinkage brauchen · Resampling-Optimierung nach Michaud: stabilere Portfoliogewichte durch Simulation · Optimisation methodology: estimation, objectives, Black-Litterman, resampling and walk-forward

Betzer and Theissen (2009) · Insider Trading and Corporate Governance: The Case of Germany

Betzer, André; Theissen, Erik. European Financial Management 15 (2), pp. 402–429. doi:10.1111/j.1468-036x.2007.00422.x

German insider trades are associated with significant abnormal returns, more so ahead of earnings announcements; ownership structure and accounting matter, the insider's position does not.

Cited in: Insider trading: what is prohibited, what is allowed and what directors' dealings reveal

Bhardwaj et al. (2014) · Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors

Bhardwaj, Geetesh; Gorton, Gary B.; Rouwenhorst, K. Geert. Review of Financial Studies 27 (11), pp. 3099–3132. doi:10.1093/rfs/hhu040

CTAs from 1994 to 2012: no significant excess return over US money market instruments after fees, against 6.1% before fees, most of which the managers kept; no alpha relative to simple futures strategies.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities · CTAs and managed futures: industry, position sizing, costs and crisis protection · Glossary: Performance fee

Bhardwaj et al. (2015) · Facts and Fantasies about Commodity Futures Ten Years Later

Bhardwaj, Geetesh; Gorton, Gary; Rouwenhorst, Geert. National Bureau of Economic Research, NBER Working Paper 21243. doi:10.3386/w21243

Re-examines the findings of Gorton and Rouwenhorst (2006) out of sample ten years later; they essentially hold.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities

Bhattacharya and Daouk (2002) · The World Price of Insider Trading

Bhattacharya, Utpal; Daouk, Hazem. The Journal of Finance 57 (1), pp. 75–108. doi:10.1111/1540-6261.00416

Of 103 countries with a stock market, 87 had insider trading laws but only 38 enforced them; the cost of equity fell only after the first prosecution.

Cited in: Insider trading: what is prohibited, what is allowed and what directors' dealings reveal

Black (1972) · Capital Market Equilibrium with Restricted Borrowing

Black, Fischer. The Journal of Business 45 (3). doi:10.1086/295472

Presents the CAPM without risk-free borrowing (the zero-beta CAPM) and explains why the security market line can be flatter.

Cited in: Beta and alpha: how closely a fund moves with the market · CAPM: the capital asset pricing model and the security market line · Leverage in a portfolio: return, risk, costs and margin calls · Low-Volatility-Anomalie und Betting against Beta · Glossary: Security market line · Glossary: Zero-beta CAPM

Black and Scholes (1973) · The Pricing of Options and Corporate Liabilities

Black, Fischer; Scholes, Myron. Journal of Political Economy 81 (3), pp. 637–654. doi:10.1086/260062

The Black-Scholes formula for option prices; the basis of implied volatility.

Cited in: VIX: how to read the stock market's fear gauge · Optionsbewertung: wie faire Optionspreise entstehen · Glossary: Option · Glossary: Black-Scholes model · Glossary: Implied volatility

Black (1976) · The pricing of commodity contracts

Black, Fischer. Journal of Financial Economics 3 (1-2), pp. 167–179. doi:10.1016/0304-405X(76)90024-6

Valuation of forward and futures contracts and of options on them (the Black-76 model).

Cited in: Optionsbewertung: wie faire Optionspreise entstehen · Option pricer: how Portfolio Lab values options · Glossary: Black-76 model

Black and Jones (1987) · Simplifying portfolio insurance

Black, Fischer; Jones, Robert W.. The Journal of Portfolio Management 14 (1), pp. 48–51. doi:10.3905/jpm.1987.409131

Introduces the CPPI rule: an equity exposure equal to a fixed multiple of the cushion above a floor.

Cited in: CPPI: portfolio insurance with cushion, floor and multiplier · CPPI backtest: methodology · Glossary: CPPI

Black and Perold (1992) · Theory of constant proportion portfolio insurance

Black, Fischer; Perold, André F.. Journal of Economic Dynamics and Control 16 (3-4), pp. 403–426. doi:10.1016/0165-1889(92)90043-E

Mathematical theory of CPPI: how the strategy's value and cushion evolve and what properties it has.

Cited in: CPPI: portfolio insurance with cushion, floor and multiplier · CPPI backtest: methodology · Glossary: CPPI

Black and Litterman (1992) · Global Portfolio Optimization

Black, Fischer; Litterman, Robert. Financial Analysts Journal 48 (5), pp. 28–43. doi:10.2469/faj.v48.n5.28

The Black-Litterman model: market equilibrium as the starting point, with the investor's own views blended in by Bayesian methods according to the confidence placed in them.

Cited in: Black-Litterman: incorporating your own views cleanly · Resampling-Optimierung nach Michaud: stabilere Portfoliogewichte durch Simulation · Optimisation methodology: estimation, objectives, Black-Litterman, resampling and walk-forward · Glossary: Bayesian statistics

Blake et al. (1993) · The Performance of Bond Mutual Funds

Blake, Christopher R.; Elton, Edwin J.; Gruber, Martin J.. The Journal of Business 66 (3). doi:10.1086/296609

US bond funds lag appropriate indices after costs; one percentage point more in costs reduces returns by about one percentage point, and past results do not predict future ones.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities

Blanc-Brude and Hasan (2016) · A Structural Model of Credit Risk for Illiquid Debt

Blanc-Brude, Frédéric; Hasan, Majid. The Journal of Fixed Income 26 (1), pp. 6–19. doi:10.3905/jfi.2016.26.1.006

Structural credit risk model for illiquid debt without a price history: the path of the debt service coverage ratio, the repayment schedule and the covenants are enough to estimate the default risk of project finance.

Cited in: Infrastructure investing: equity and debt, revenue models, valuation and research · Glossary: Project finance · Glossary: Debt service coverage ratio (DSCR)

Blanc-Brude et al. (2017) · Searching for a listed infrastructure asset class using mean–variance spanning

Blanc-Brude, Frédéric; Whittaker, Timothy; Wilde, Simon. Financial Markets and Portfolio Management 31 (2), pp. 137–179. doi:10.1007/s11408-017-0286-z

Defined by sector, listed infrastructure stocks do not form a separate asset class and do not improve existing portfolios; a definition based on business model reveals a different profile.

Cited in: Infrastructure investing: equity and debt, revenue models, valuation and research

Blanc-Brude et al. (2018) · Calibrating Credit Risk Dynamics in Private Infrastructure Debt

Blanc-Brude, Frédéric; Hasan, Majid; Whittaker, Timothy. The Journal of Fixed Income 27 (4), pp. 54–71. doi:10.3905/jfi.2018.27.4.054

Calibrates the dynamics of the debt service coverage ratio with Bayesian methods on cash flows from 267 European infrastructure projects over 17 years; rating agency models give a biased estimate of the credit risk of private debt.

Cited in: Infrastructure investing: equity and debt, revenue models, valuation and research · Glossary: Debt service coverage ratio (DSCR)

Blanchard and Watson (1982) · Bubbles, Rational Expectations and Financial Markets

Blanchard, Olivier J.; Watson, Mark W.. National Bureau of Economic Research, Working Paper 945. doi:10.3386/w0945

Rational bubbles: bubbles, runaway prices and crashes can be consistent with rational behaviour, but they are hard to detect statistically.

Cited in: Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht · Glossary: Rational bubble

Blitz et al. (2012) · The Performance of European Index Funds and Exchange-Traded Funds

Blitz, David; Huij, Joop; Swinkels, Laurens. European Financial Management 18 (4), pp. 649–662. doi:10.1111/j.1468-036x.2010.00550.x

European index funds and ETFs lag their indices by 50 to 150 basis points a year; withholding tax on dividends explains this at least as well as costs do.

Cited in: Index providers and valuation points: why the same index is calculated differently

Block et al. (2024) · A Survey of Private Debt Funds

Block, Joern; Jang, Young Soo; Kaplan, Steven N.; Schulze, Anna. The Review of Corporate Finance Studies 13 (2), pp. 335–383. doi:10.1093/rcfs/cfae001

A survey of private debt funds in the US and Europe: how they select loans, negotiate covenants, use leverage and work with private equity sponsors.

Cited in: Private credit and public credit compared: returns, risks and what the research shows · Private Debt in der Praxis: Direct Lending, Unitranche, Mezzanine, Kreditstruktur und Fondsvehikel · Glossary: Direct lending · Glossary: Covenant

Bloomberg Methodology (2026) · Bloomberg Fixed Income Index Methodology

Bloomberg Index Services Limited. Bloomberg, 8.1.2026; abgerufen am 25.10.2026. Source

Common rules of the Bloomberg bond indices: minimum issue size, the middle of three ratings, remaining maturity of at least one year and monthly rebalancing.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities · Index providers and valuation points: why the same index is calculated differently · Glossary: Bums problem

BCOM methodology (2026) · Bloomberg Commodity Index Methodology

Bloomberg Index Services Limited. Bloomberg, Februar 2026; abgerufen am 25.10.2026. Source

Rules of the Bloomberg Commodity Index: liquidity and production in a 2:1 ratio, caps and floors per commodity and group, rolling from the 6th to the 10th business day, total return with US Treasury bills.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities · Glossary: Collateral yield

Blume and Edelen (2004) · S&P 500 Indexers, Tracking Error, and Liquidity

Blume, Marshall E.; Edelen, Roger M.. The Journal of Portfolio Management 30 (3), pp. 37–46. doi:10.3905/jpm.2004.412317

S&P 500 funds could gain return by trading early after announcements, but to keep tracking error small they trade at the closing price, often through arrangements with liquidity providers.

Cited in: Smart Indexing: Mehrwert für Indexfonds rund um Corporate Actions und Indexänderungen

Federal Reserve (2026) · Federal Reserve Board's annual bank stress test confirms that large banks are well positioned to weather a severe recession (Pressemitteilung)

Board of Governors of the Federal Reserve System. Federal Reserve Board, 24.6.2026; abgerufen am 25.10.2026. Source

2026 stress test of 32 large banks: a severe global recession with unemployment of up to 10%, house prices down 30% and commercial real estate down 39%; losses of more than $708 billion and an aggregate capital ratio decline of 1.6 percentage points.

Cited in: Szenarioanalyse und Sensitivitätsanalyse: Aktien-, Zins-, Kredit- und Währungsrisiko im Stresstest

Bodie et al. (1992) · Labor supply flexibility and portfolio choice in a life cycle model

Bodie, Zvi; Merton, Robert C.; Samuelson, William F.. Journal of Economic Dynamics and Control 16 (3-4), pp. 427–449. doi:10.1016/0165-1889(92)90044-f

Life cycle: people who can flexibly work longer can hold more equities when young.

Cited in: Equity allocation by age: rules of thumb, glide paths and what theory says · Your whole wealth: total wealth from portfolio, home, human capital and car · Financial goals methodology: how Portfolio Lab simulates a life plan · Glossary: Life-cycle model · Glossary: Human capital

Boehmer et al. (1991) · Event-study methodology under conditions of event-induced variance

Boehmer, Ekkehart; Musumeci, Jim; Poulsen, Annette B.. Journal of Financial Economics 30 (2), pp. 253–272. doi:10.1016/0304-405X(91)90032-F

If the event raises variance, the usual tests reject too often; a standardised cross-sectional test (BMP test) fixes this without any loss of power.

Cited in: Event-Studien: Wie man Kursreaktionen auf Ereignisse misst und testet

Boehmer et al. (2008) · Which Shorts Are Informed?

Boehmer, Ekkehart; Jones, Charles M.; Zhang, Xiaoyan. The Journal of Finance 63 (2), pp. 491–527. doi:10.1111/j.1540-6261.2008.01324.x

NYSE order data 2000 to 2004: heavily shorted stocks perform significantly worse over the following 20 trading days than lightly shorted ones, and institutional short sales outside program trading are the most informative.

Cited in: Short selling, hedge funds and hedging: types and how they work

Bogle (2007) · The Little Book of Common Sense Investing

Bogle, John C.. Wiley.

A case for low-cost, broad index funds: costs determine the returns investors actually earn.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Glossary: Index fund

Bogousslavsky and Muravyev (2021) · Who Trades at the Close? Implications for Price Discovery, Liquidity, and Disagreement

Bogousslavsky, Vincent; Muravyev, Dmitriy. Vorläufige Fassung für die Jahrestagung der American Economic Association 2021; überarbeitet erschienen im Journal of Financial Markets 66 (2023). Source

In 2018 the closing auction already accounted for 7.5% of daily volume in US stocks, up from 3.1% in 2010; index funds and ETFs pull trading towards the close, and deviations in closing prices subsequently reverse.

Cited in: Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC · Glossary: Closing auction

Böhme and Holz (2006) · The Effect of Stock Spam on Financial Markets

Böhme, Rainer; Holz, Thorsten. SSRN Working Paper 897431. doi:10.2139/ssrn.897431

Links incoming stock spam emails with market data and finds marked short-term reactions in trading volume and price.

Cited in: Pump and dump and penny stocks: how the scam works

Bollen et al. (2011) · Twitter mood predicts the stock market

Bollen, Johan; Mao, Huina; Zeng, Xiaojun. Journal of Computational Science 2 (1), pp. 1–8. doi:10.1016/j.jocs.2010.12.007

Mood measures from Twitter posts in 2008; individual mood dimensions are said to have predicted the daily direction of the Dow Jones considerably better.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments

Bollerslev (1986) · Generalized autoregressive conditional heteroskedasticity

Bollerslev, Tim. Journal of Econometrics 31 (3), pp. 307–327. doi:10.1016/0304-4076(86)90063-1

Generalises ARCH to GARCH, today the standard model for time-varying volatility.

Cited in: Volatility: how much a portfolio fluctuates · Skewness and kurtosis: why market crashes are more frequent than the normal distribution says · VIX: how to read the stock market's fear gauge · Prognosemodelle für Renditen: ARIMA, GARCH, LSTM und Machine Learning · Glossary: GARCH model

Bollerslev et al. (2009) · Expected Stock Returns and Variance Risk Premia

Bollerslev, Tim; Tauchen, George; Zhou, Hao. Review of Financial Studies 22 (11), pp. 4463–4492. doi:10.1093/rfs/hhp008

The variance risk premium predicts stock returns over horizons of a few months.

Cited in: VIX: how to read the stock market's fear gauge · Volatility dashboard: methodology · Glossary: Variance risk premium

Bolton and Kacperczyk (2021) · Do investors care about carbon risk?

Bolton, Patrick; Kacperczyk, Marcin. Journal of Financial Economics 142 (2), pp. 517–549. doi:10.1016/j.jfineco.2021.05.008

US stocks of companies with higher CO₂ emissions earned higher returns, even after controlling for known factors, which the authors interpret as a premium for carbon risk.

Cited in: ESG ETFs: SFDR, ratings, returns and the limits of sustainable funds

Bond (2019) · T. Rowe Price: The Man, the Company, and the Investment Philosophy

Bond, Cornelius C.. Wiley.

A biography of Thomas Rowe Price Jr., who founded his firm in 1937 and set out to buy growth stocks early and hold them for a long time.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Bondarenko (2014) · Why Are Put Options So Expensive?

Bondarenko, Oleg. Quarterly Journal of Finance 4 (3), pp. 1450015. doi:10.1142/s2010139214500153

The puzzle of overpriced puts: historical prices of S&P 500 puts were inconsistent with standard equilibrium models, and a model-free method shows that no model from a broad class can explain them.

Cited in: Tail Hedging: Was Put-Absicherung kostet, wann sie zahlt und was Short-Vol-Strategien lehren

Böni and Manigart (2022) · Private Debt Fund Returns, Persistence, and Market Conditions

Böni, Pascal; Manigart, Sophie. Financial Analysts Journal 78 (4), pp. 121–144. doi:10.1080/0015198x.2022.2092384

Net-of-fee returns of private debt funds: above bond and equity benchmarks but widely dispersed, with persistence at manager level and dependent on credit market conditions.

Cited in: Private credit and public credit compared: returns, risks and what the research shows · Private Debt in der Praxis: Direct Lending, Unitranche, Mezzanine, Kreditstruktur und Fondsvehikel

Booth and Fama (1992) · Diversification Returns and Asset Contributions

Booth, David G.; Fama, Eugene F.. Financial Analysts Journal 48 (3), pp. 26–32. doi:10.2469/faj.v48.n3.26

Explains the diversification return: the geometric return of a portfolio exceeds the average of the individual geometric returns.

Cited in: CAGR: how to calculate the average annual return correctly · Compound interest: how returns on returns make wealth grow · Rebalancing: getting your portfolio back on course · Volatility drag: why volatility costs you return · Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Overfitting check and diversification return: the calculations in Backtest and Tactical · Glossary: Rebalancing bonus · Glossary: Volatility drag

Börsch-Supan et al. (2012) · Riester Pensions in Germany: Design, Dynamics, Targetting Success and Crowding-In

Börsch-Supan, Axel; Coppola, Michela; Reil-Held, Anette. National Bureau of Economic Research, Working Paper 18014. doi:10.3386/w18014

Riester saving reached €9.4 billion in 2010 at a subsidy cost of €3.5 billion; the subsidy reached families well and low earners less well, and there is no sign that it crowded out other savings.

Cited in: Retirement saving in Germany compared: company pension, Rürup, Altersvorsorgedepot and ETF pension insurance versus an ETF savings plan

Bouchaud et al. (2018) · Trades, Quotes and Prices: Financial Markets under the Microscope

Bouchaud, Jean-Philippe; Bonart, Julius; Donier, Jonathan; Gould, Martin. Cambridge University Press.

Textbook on order books, order flow and market impact, including the square-root law of market impact for large orders.

Cited in: Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC

Bouchey et al. (2012) · Volatility Harvesting: Why Does Diversifying and Rebalancing Create Portfolio Growth?

Bouchey, Paul; Nemtchinov, Vassilii; Paulsen, Alex; Stein, David M.. The Journal of Wealth Management 15 (2), pp. 26–35. doi:10.3905/jwm.2012.15.2.026

Volatility harvesting: extra growth from diversifying and systematically rebalancing volatile, imperfectly correlated assets, but no higher arithmetic return.

Cited in: Overfitting check and diversification return: the calculations in Backtest and Tactical · Glossary: Volatility harvesting

Boudoukh et al. (2008) · The Myth of Long-Horizon Predictability

Boudoukh, Jacob; Richardson, Matthew; Whitelaw, Robert F.. Review of Financial Studies 21 (4), pp. 1577–1605. doi:10.1093/rfs/hhl042

Warns against regressions with overlapping periods: the apparently high predictive power at long horizons is partly an artefact.

Cited in: Shiller P/E (CAPE): how expensive is the stock market? · Valuation with the Shiller P/E: methodology · Glossary: Overlapping periods

Bouman and Jacobsen (2002) · The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle

Bouman, Sven; Jacobsen, Ben. American Economic Review 92 (5), pp. 1618–1635. doi:10.1257/000282802762024683

Returns from November to April exceed those from May to October in 36 of 37 stock markets, in the UK since 1694; tested with a regression on a dummy variable for the winter half-year.

Cited in: Stock market seasonality: Sell in May, the January effect and how to test calendar effects · Glossary: Halloween effect

Box and Jenkins (1970) · Time Series Analysis: Forecasting and Control

Box, George E. P.; Jenkins, Gwilym M.. Holden-Day. Source

Introduces the Box-Jenkins method for ARIMA models: identify, estimate, check the residuals, forecast.

Cited in: Prognosemodelle für Renditen: ARIMA, GARCH, LSTM und Machine Learning · Glossary: ARIMA model

Boyle (1977) · Options: A Monte Carlo approach

Boyle, Phelim P.. Journal of Financial Economics 4 (3), pp. 323–338. doi:10.1016/0304-405x(77)90005-8

First application of Monte Carlo simulation in finance (option pricing).

Cited in: Monte Carlo simulation: how safe is your plan? · Monte Carlo methodology: how Portfolio Lab simulates wealth paths · Option pricer: how Portfolio Lab values options

Bradley et al. (2024) · Place Your Bets? The Value of Investment Research on Reddit’s Wallstreetbets

Bradley, Daniel; Hanousek, Jan; Jame, Russell; Xiao, Zicheng. The Review of Financial Studies 37 (5), pp. 1409–1459. doi:10.1093/rfs/hhad098

In-depth recommendations on WallStreetBets predicted returns and cash flow news before the GameStop squeeze but no longer did so afterwards, while posts about price pressure and attention increased.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments

Braun et al. (2024) · In Pursuit of Trend-Following Beta: The Promise and Pitfalls of Replication

Braun, Steven; Hoffstein, Corey; Jablecki, Juliusz. SSRN Working Paper. doi:10.2139/ssrn.4990063

Tests whether an index of trend-following funds can be replicated: in principle yes, but simple regressions bring their own tracking risk, a trade-off between fee savings and forgone skill.

Cited in: CTAs and managed futures: industry, position sizing, costs and crisis protection

Brav et al. (2008) · Hedge Fund Activism, Corporate Governance, and Firm Performance

Brav, Alon; Jiang, Wei; Partnoy, Frank; Thomas, Randall. The Journal of Finance 63 (4), pp. 1729–1775. doi:10.1111/j.1540-6261.2008.01373.x

Activist hedge funds in the US from 2001 to 2006: success or partial success in two thirds of cases, an abnormal return of about 7% around the announcement with no subsequent reversal, followed by higher payouts and more frequent CEO turnover.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Glossary: Schedule 13D · Glossary: Activist investor

Brée and Joseph (2013) · Testing for financial crashes using the Log Periodic Power Law model

Brée, David S.; Joseph, Nathan Lael. International Review of Financial Analysis 30, pp. 287–297. doi:10.1016/j.irfa.2013.05.005

Tests the model on eleven crashes in the Hang Seng from 1970 to 2008: the parameters fall only partly within the usual ranges, and the mechanism is not confirmed.

Cited in: Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht

Breeden and Litzenberger (1978) · Prices of State-Contingent Claims Implicit in Option Prices

Breeden, Douglas T.; Litzenberger, Robert H.. The Journal of Business 51 (4). doi:10.1086/296025

The price of a claim that pays $1 if a portfolio lies between two values on a future date follows from the second derivative of the call price function, which is the basis of risk-neutral densities from option prices.

Cited in: Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Glossary: Risk-neutral probability

Brennan and Schwartz (1988) · Time-Invariant Portfolio Insurance Strategies

Brennan, Michael J.; Schwartz, Eduardo S.. The Journal of Finance 43 (2), pp. 283–299. doi:10.1111/j.1540-6261.1988.tb03939.x

Describes the entire class of time-invariant insurance strategies, which need no fixed end date.

Cited in: CPPI: portfolio insurance with cushion, floor and multiplier

Brennan and Schwartz (1989) · Portfolio Insurance and Financial Market Equilibrium

Brennan, Michael J.; Schwartz, Eduardo S.. The Journal of Business 62 (4). doi:10.1086/296472

Equilibrium model with an insured investor: how the risk premium, the cost of insurance, market volatility and interest rates depend on the share of insurance.

Cited in: CPPI: portfolio insurance with cushion, floor and multiplier

Breuer et al. (2009) · How to Find Plausible, Severe, and Useful Stress Scenarios

Breuer, Thomas; Jandačka, Martin; Rheinberger, Klaus; Summer, Martin. International Journal of Central Banking 5 (3), pp. 205–224. Source

Measures the plausibility of a scenario with the Mahalanobis distance and systematically searches the plausible region for the scenario with the largest loss; setting unstressed factors to their conditional expected value maximises plausibility.

Cited in: Historical stress testing: how to apply past crises to your portfolio today · Szenarioanalyse und Sensitivitätsanalyse: Aktien-, Zins-, Kredit- und Währungsrisiko im Stresstest · Scenario methodology: how Portfolio Lab runs stress tests · Glossary: Conditional expectation · Glossary: Mahalanobis distance

Brigo et al. (2013) · Counterparty Credit Risk, Collateral and Funding: With Pricing Cases for All Asset Classes

Brigo, Damiano; Morini, Massimo; Pallavicini, Andrea. Wiley.

Valuation of counterparty risk with collateral and funding costs, with case studies for all asset classes, including wrong-way risk.

Cited in: Counterparty and issuer risk: CVA, ETCs, certificates and swaps

Brinson and Fachler (1985) · Measuring non-US. equity portfolio performance

Brinson, Gary P.; Fachler, Nimrod. The Journal of Portfolio Management 11 (3), pp. 73–76. doi:10.3905/jpm.1985.409005

Measures non-US equity portfolios against country indices and separates country allocation from stock selection; the Brinson-Fachler variant of attribution goes back to this paper.

Cited in: Multi-Asset-Attribution: Gewichtungsschemata, Top-down und Bottom-up, Währungen und Overlays · Performance-Attribution: Brinson-Zerlegung, Faktoren und Verkettung über die Zeit · Risk & attribution: methodology of risk decomposition and Brinson attribution · Glossary: Brinson attribution · Glossary: Allocation effect

Brixton et al. (2023) · A Changing Stock–Bond Correlation: Drivers and Implications

Brixton, Alfie; Brooks, Jordan; Hecht, Pete; Ilmanen, Antti; Maloney, Thomas; McQuinn, Nicholas. The Journal of Portfolio Management 49 (4), pp. 64–80. doi:10.3905/jpm.2023.1.459

The correlation between stocks and bonds was negative in the first two decades of the 21st century and often positive in the century before; greater inflation uncertainty can turn it positive again.

Cited in: Gehebelte ETFs und Return Stacking: Pfadabhängigkeit, Kosten und Forschung · Stock-bond correlation: regimes, drivers and what it means for 60/40, risk parity and hedging

Broadie et al. (1997) · A Continuity Correction for Discrete Barrier Options

Broadie, Mark; Glasserman, Paul; Kou, Steven. Mathematical Finance 7 (4), pp. 325–349. doi:10.1111/1467-9965.00035

Discretely monitored barrier options can be valued with continuous-time formulas if the barrier is shifted by exp(0.5826 σ √Δt).

Cited in: Warrants, turbos and certificates: what they are and what you pay on top · Optionsbewertung: wie faire Optionspreise entstehen · Option pricer: how Portfolio Lab values options · Glossary: Barrier option

Brock et al. (1992) · Simple Technical Trading Rules and the Stochastic Properties of Stock Returns

Brock, William; Lakonishok, Josef; LeBaron, Blake. The Journal of Finance 47 (5), pp. 1731–1764. doi:10.1111/j.1540-6261.1992.tb04681.x

Moving averages and trading range breakouts on the Dow Jones in 1897–1986, tested against random models with the bootstrap.

Cited in: Technical analysis, chart patterns and candlesticks from a quant perspective

Brooks et al. (2020) · Active Fixed Income Illusions

Brooks, Jordan; Gould, Tony; Richardson, Scott. The Journal of Fixed Income 29 (4), pp. 5–19. doi:10.3905/jfi.2020.1.086

The active returns of bond funds are largely explained by passive exposures to traditional risk premiums, above all credit risk; little genuine alpha remains.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities · Glossary: Credit beta

Brown and Warner (1980) · Measuring security price performance

Brown, Stephen J.; Warner, Jerold B.. Journal of Financial Economics 8 (3), pp. 205–258. doi:10.1016/0304-405X(80)90002-1

Simulates event studies with monthly data: simple methods for the normal return perform hardly worse than sophisticated ones.

Cited in: Event-Studien: Wie man Kursreaktionen auf Ereignisse misst und testet

Brown and Warner (1985) · Using daily stock returns: The case of event studies

Brown, Stephen J.; Warner, Jerold B.. Journal of Financial Economics 14 (1), pp. 3–31. doi:10.1016/0304-405X(85)90042-X

Simulation with 250 samples of 50 stocks each: with daily data the market model is well specified, but if variance rises on the event day, the usual tests reject too often.

Cited in: Event-Studien: Wie man Kursreaktionen auf Ereignisse misst und testet

Bruck (1988) · The Predators’ Ball: The Junk-Bond Raiders and the Man Who Staked Them

Bruck, Connie. Simon and Schuster.

Michael Milken and Drexel Burnham Lambert: how high-yield bonds financed takeovers in the 1980s.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Brunnermeier et al. (2008) · Carry Trades and Currency Crashes

Brunnermeier, Markus K.; Nagel, Stefan; Pedersen, Lasse H.. NBER Macroeconomics Annual 23 (1), pp. 313–348. doi:10.1086/593088

Carry trades carry crash risk: exchange rate moves between high- and low-interest currencies are negatively skewed, and losses arise from sudden unwinding when risk appetite and funding liquidity fall.

Cited in: Carry trade: earning interest with currencies and bonds · Carry backtest: methodology for FX and bond carry · Glossary: Carry trade · Glossary: Carry crash

Brunnermeier and Pedersen (2009) · Market Liquidity and Funding Liquidity

Brunnermeier, Markus K.; Pedersen, Lasse Heje. Review of Financial Studies 22 (6), pp. 2201–2238. doi:10.1093/rfs/hhn098

A model in which market liquidity and traders' funding (capital and margins) depend on each other: margins can be destabilising and trigger liquidity spirals.

Cited in: Leverage in a portfolio: return, risk, costs and margin calls · Basis trades: positive and negative basis in bonds, CDS and futures · Liquiditätsrisiko: Marktliquidität messen, Liquiditätsprämien und die Werkzeuge offener Fonds · Backtest methodology: data, process, rebalancing and costs · Glossary: Margin call · Glossary: Deleveraging

Buchner et al. (2010) · Modeling the Cash Flow Dynamics of Private Equity Funds: Theory and Empirical Evidence

Buchner, Axel; Kaserer, Christoph; Wagner, Niklas. The Journal of Alternative Investments 13 (1), pp. 41–54. doi:10.3905/jai.2010.13.1.041

Continuous-time stochastic model of private equity fund cash flows: the contribution rate as a mean-reverting square-root process and distributions as Brownian motion with time-dependent drift, calibrated to European funds.

Cited in: Takahashi-Alexander-Modell: Cashflows von Private-Markets-Fonds planen

Buettner et al. (2020) · Withholding-tax non-compliance: the case of cum-ex stock-market transactions

Buettner, Thiess; Holzmann, Carolin; Kreidl, Felix; Scholz, Hendrik. International Tax and Public Finance 27 (6), pp. 1425–1452. doi:10.1007/s10797-020-09602-9

Model and market data 2009 to 2015: cum-ex pays off for buyer and seller only with collusive tax fraud, and before the reform trading in suitable shares rose shortly before ex-dates.

Cited in: Cum-ex and cum-cum: how the dividend trades worked and what applies today

Buffett (2014) · Berkshire Hathaway Inc.: Letter to Shareholders 2013 (Aktionärsbrief vom 28.02.2014)

Buffett, Warren E.. Berkshire Hathaway Inc., Omaha; abgerufen am 25.10.2026. Source

Contains Buffett's advice to the trustee for his wife's inheritance: 10% in short-term government bonds and 90% in a very low-cost S&P 500 index fund.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Buffett (2024) · Berkshire Hathaway Inc.: Letter to Shareholders 2023 (Aktionärsbrief vom 24.02.2024)

Buffett, Warren E.. Berkshire Hathaway Inc., Omaha; abgerufen am 25.10.2026. Source

A tribute to Charlie Munger, who died on 28 November 2023, as the architect of today's Berkshire, who advised Buffett in 1965 to buy wonderful businesses at fair prices instead of mediocre ones at bargain prices.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Bun et al. (2017) · Cleaning large correlation matrices: Tools from Random Matrix Theory

Bun, Joël; Bouchaud, Jean-Philippe; Potters, Marc. Physics Reports 666, pp. 1–109. doi:10.1016/j.physrep.2016.10.005

Review of how large correlation matrices can be estimated and cleaned with methods from random matrix theory; in the authors' financial market applications, rotationally invariant estimators outperformed all previously proposed methods.

Cited in: Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Glossary: Random matrix theory

DerivateV (2013) · Verordnung über Risikomanagement und Risikomessung beim Einsatz von Derivaten, Wertpapier-Darlehen und Pensionsgeschäften in Investmentvermögen nach dem Kapitalanlagegesetzbuch (Derivateverordnung – DerivateV), § 27

Bundesanstalt für Finanzdienstleistungsaufsicht. Fassung auf gesetze-im-internet.de; abgerufen am 25.10.2026. Source

Limits a fund's counterparty risk from derivatives that are not centrally cleared, securities lending and repurchase agreements to 5% per counterparty, or 10% for credit institutions, and regulates netting and collateral.

Cited in: Basket Swaps, Total Return Swaps oder Futures: Markt-Exposure effizient aufbauen · Counterparty and issuer risk: CVA, ETCs, certificates and swaps · Glossary: Counterparty risk

KAMaRisk (2017) · Rundschreiben 01/2017 (WA) – Mindestanforderungen an das Risikomanagement von Kapitalverwaltungsgesellschaften (KAMaRisk), Abschnitte 4.6 und 4.7

Bundesanstalt für Finanzdienstleistungsaufsicht. BaFin, 10.1.2017; Wortlaut abgerufen über eine Veröffentlichung der Kanzlei Dechert am 25.10.2026. Source

Internal transactions between investment funds (cross trades) only on the basis of clear rules, with conflict of interest management, on arm's length terms and labelled as such; transactions on non-market terms are generally prohibited.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing · Glossary: Cross trade

BaFin, insider surveillance (2017) · Insider surveillance (Themenseite Insiderüberwachung)

Bundesanstalt für Finanzdienstleistungsaufsicht. BaFin, englische Fassung, Stand 31.05.2017; abgerufen am 25.10.2026. Source

BaFin analyses transaction reports from institutions, ad hoc announcements and tip-offs, compares price and volume movements with the information known at the time and reports substantiated suspicions to the public prosecutor.

Cited in: Insider trading: what is prohibited, what is allowed and what directors' dealings reveal

BaFin (2017) · Allgemeinverfügung nach § 4b WpHG vom 8. Mai 2017: Verbot von Differenzgeschäften (CFDs) mit Nachschusspflicht für Privatkunden

Bundesanstalt für Finanzdienstleistungsaufsicht. BaFin; Bericht bei beck-aktuell vom 9.5.2017; abgerufen am 25.10.2026. Source

CFDs with an obligation to make additional payments may no longer be offered to retail clients; providers had three months to adapt their business models.

Cited in: Warrants, turbos and certificates: what they are and what you pay on top

BaFin (2018) · Market manipulation (Themenseite Marktmanipulation)

Bundesanstalt für Finanzdienstleistungsaufsicht. BaFin, englische Fassung, Stand 21.02.2018; abgerufen am 25.10.2026. Source

The supervisor's overview of the ban on market manipulation under Art. 15 MAR, fines and penalties under the WpHG (Securities Trading Act), and publications on recommendations in messenger groups and on short attacks.

Cited in: Pump and dump and penny stocks: how the scam works

BaFin, crypto custody business (2020) · Merkblatt: Hinweise zum Tatbestand des Kryptoverwahrgeschäfts (02.03.2020, geändert am 25.09.2023)

Bundesanstalt für Finanzdienstleistungsaufsicht. Bundesanstalt für Finanzdienstleistungsaufsicht; abgerufen am 25.10.2026. Source

The crypto custody business under § 1 (1a) sentence 2 no. 6 KWG (safekeeping, administration and safeguarding of crypto assets or private keys for others) is a financial service that requires a licence.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget · Glossary: Crypto custody business (Kryptoverwahrgeschäft)

BaFin, crypto securities (2023) · Merkblatt 03/2023: Hinweise zum Tatbestand der Kryptowertpapierregisterführung gemäß § 1 Abs. 1a Satz 2 Nr. 8 KWG (Stand November 2023)

Bundesanstalt für Finanzdienstleistungsaufsicht. Bundesanstalt für Finanzdienstleistungsaufsicht, 23.11.2023; abgerufen am 25.10.2026. Source

Electronic securities under the eWpG (Electronic Securities Act) are either central register securities or crypto securities; the crypto securities register runs on a tamper-proof recording system, usually a blockchain.

Cited in: Digital assets: tokenisation, stablecoins, crypto securities and the digital euro · Glossary: Crypto security (Kryptowertpapier)

BaFin, managers' transactions (2025) · Eigengeschäfte von Führungskräften (Übersichtsseite) und Meldung „Eigengeschäfte von Führungskräften: BaFin hebt Meldeschwelle an“ vom 4.12.2025

Bundesanstalt für Finanzdienstleistungsaufsicht. BaFin; abgerufen am 25.10.2026. Source

Managers' transactions must be reported under Art. 19 MAR no later than three business days after the trade and published by the issuer within two business days; under a general administrative order, a threshold of €50,000 per calendar year instead of €20,000 has applied in Germany since 1 January 2026, without netting.

Cited in: Insider trading: what is prohibited, what is allowed and what directors' dealings reveal · Glossary: Directors' dealings

BaFin, crypto-asset service providers (2025) · Kryptowerte-Dienstleister: Welche Vereinfachungen und Herausforderungen es jetzt gibt (Fachartikel, 22.01.2025)

Bundesanstalt für Finanzdienstleistungsaufsicht. Bundesanstalt für Finanzdienstleistungsaufsicht; abgerufen am 25.10.2026. Source

Institutions with a licence under the KWG (German Banking Act) may continue operating until a decision is made on their MiCAR application; EU-wide distribution is only possible with MiCAR authorisation.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

BaFin, MiCAR guidance notice (2025) · Merkblatt Kryptowerte-Dienstleistungen nach MiCAR (Stand Januar 2025)

Bundesanstalt für Finanzdienstleistungsaufsicht. Bundesanstalt für Finanzdienstleistungsaufsicht, 03.01.2025; abgerufen am 25.10.2026. Source

The ten crypto-asset services under MiCAR, including custody and administration on behalf of clients; unique tokens, tokenised financial instruments and tokenised deposits are excluded.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget · Digital assets: tokenisation, stablecoins, crypto securities and the digital euro · Glossary: Crypto custody business (Kryptoverwahrgeschäft)

BaFin, ART and EMT guidance notice (2025) · Merkblatt Zulassungsanforderungen bzgl. ART und EMT nach MiCAR (Stand Januar 2025)

Bundesanstalt für Finanzdienstleistungsaufsicht. Bundesanstalt für Finanzdienstleistungsaufsicht, 03.01.2025; abgerufen am 25.10.2026. Source

Authorisation and white paper requirements for issuers of asset-referenced tokens and e-money tokens; an exemption for small issues of up to €5 million on average over twelve months.

Cited in: Digital assets: tokenisation, stablecoins, crypto securities and the digital euro · Glossary: Asset-referenced token

BaFin, consultation 06/2025 (2025) · Entwurf eines Rundschreibens: Pflichten von Verwahrstelle und Kapitalverwaltungsgesellschaft bei in Kryptowerte investierenden Investmentvermögen (Konsultation 06/2025, 25.02.2025)

Bundesanstalt für Finanzdienstleistungsaufsicht. Bundesanstalt für Finanzdienstleistungsaufsicht; abgerufen am 25.10.2026. Source

BaFin's consultation draft on the obligations of depositaries and management companies when funds invest in crypto assets.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

BaFin (2026) · Other types of inside information (Emittentenleitfaden: Informationspflichten für Emittenten)

Bundesanstalt für Finanzdienstleistungsaufsicht. BaFin, englische Fassung des Emittentenleitfadens, ohne Datum; abgerufen am 25.10.2026. Source

Under recital 28 MAR, analyses and estimates based on publicly available data are not in themselves inside information; exceptions apply, for example, to publications that the market routinely expects.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Insider trading: what is prohibited, what is allowed and what directors' dealings reveal · Glossary: Inside information

BaFin (2026) · Grauer Kapitalmarkt (Verbraucherinformation)

Bundesanstalt für Finanzdienstleistungsaufsicht. BaFin, ohne Datum; abgerufen am 25.10.2026. Source

Offerings that require no authorisation, including direct investments in tangible assets: no product oversight, often substantial risk up to total loss and limited ability to sell; an approved prospectus is not a seal of quality.

Cited in: Collectibles as an investment: what art, wine, watches and classic cars really return

BFH (2009) · Urteil vom 25. August 2009, IX R 60/07 (Verkauf und Wiederkauf gleichartiger Wertpapiere am selben Tag)

Bundesfinanzhof. Leitsatz veröffentlicht im Betriebs-Berater; abgerufen am 26.10.2026. Source

Selling securities at a loss and buying back the same type and number on the same day at a different price is not an abuse of legal arrangements (a case from 2000 concerning private sales transactions).

Cited in: Saving tax on your portfolio: loss offsetting, exemption order, Günstigerprüfung and tax-loss harvesting

BFH (2011) · Urteil vom 23. November 2011, II R 33/10 (Zahlungen eines Ehegatten auf ein Oder-Konto)

Bundesfinanzhof. Besprochen bei Otto Schmidt, Pressemitteilung vom 18.4.2012; abgerufen am 26.10.2026. Source

Deposits by one spouse into a joint account with individual signing authority (Oder-Konto) can be a gift if, as between the spouses, the other can freely dispose of half of the balance; the tax office bears the burden of proof.

Cited in: Inheriting or gifting a portfolio: inheritance and gift tax, valuation and gifting in tranches

BFH (2013) · Urteil vom 18. Juli 2013, II R 37/11 (Weiterschenkung an das Schwiegerkind)

Bundesfinanzhof. Leitsatz bei Haufe; abgerufen am 26.10.2026. Source

If a child passes on a gift from the parents without being obliged to do so, there are two gifts; it counts as a direct gift from the parents to the third party only if the child was obliged to pass it on.

Cited in: Inheriting or gifting a portfolio: inheritance and gift tax, valuation and gifting in tranches

BFH (2015) · Urteil vom 12. Mai 2015, VIII R 4/15 (Xetra-Gold-Inhaberschuldverschreibungen)

Bundesfinanzhof. Bundesfinanzhof; Bericht bei Verlag Dr. Otto Schmidt. Source

Gains from gold bearer bonds with a right to physical delivery are not investment income and remain tax-free after a holding period of more than one year.

Cited in: Gold in a portfolio: safe haven, inflation hedge or just shiny?

BFH (2016) · Beschluss vom 3. März 2016, VIII B 25/14 (Zurechnung von Kapitalerträgen zwischen Eltern und minderjährigen Kindern)

Bundesfinanzhof. Besprochen bei Rechtslupe; abgerufen am 26.10.2026. Source

Investment income is attributable to the child only if the balance has passed permanently into the child's assets and the parents manage it like someone else's money; withdrawals for the parents' own purposes argue against this.

Cited in: Kinderdepot or parents' account? Tax, gifts, BAföG and family health insurance

BFH (2020) · Urteil vom 29. September 2020, VIII R 9/17 (Veräußerung wertloser Aktien)

Bundesfinanzhof. Bundesfinanzhof; abgerufen am 26.10.2026. Source

Whether a sale has taken place depends neither on the amount of the consideration nor on the selling costs; selling worthless shares is not an abuse of legal arrangements even if the seller buys shares from the buyer in return.

Cited in: Saving tax on your portfolio: loss offsetting, exemption order, Günstigerprüfung and tax-loss harvesting

BFH (2021) · Vorlage an das Bundesverfassungsgericht: Der BFH hält die Verlustverrechnungsbeschränkung für Aktienveräußerungsverluste für verfassungswidrig (Pressemitteilung Nr. 021/21 vom 4.6.2021 zum Beschluss vom 17.11.2020, VIII R 11/18)

Bundesfinanzhof. Bundesfinanzhof; abgerufen am 26.10.2026. Source

The BFH (Federal Fiscal Court) considers it unjustified unequal treatment that losses from share sales may only be offset against gains from share sales, and has referred the question to the Federal Constitutional Court.

Cited in: Saving tax on your portfolio: loss offsetting, exemption order, Günstigerprüfung and tax-loss harvesting

BFH (2022) · Sog. Cum-Ex-Geschäfte: Übergang des wirtschaftlichen Eigentums beim Handel mit Aktien (Pressemitteilung Nr. 009/22 vom 15. März 2022 zum Urteil vom 2. Februar 2022, Az. I R 22/20)

Bundesfinanzhof. Bundesfinanzhof, Pressestelle; abgerufen am 25.10.2026. Source

Model cum-ex transactions do not create beneficial ownership; only tax that was actually withheld and paid over is refunded.

Cited in: Cum-ex and cum-cum: how the dividend trades worked and what applies today · Glossary: Cum-ex trades

BGH (2011) · Urteile vom 27. September 2011 – XI ZR 178/10 und XI ZR 182/10 (Lehman-Zertifikate)

Bundesgerichtshof. XI. Zivilsenat; Bericht auf otto-schmidt.de, abgerufen am 25.10.2026. Source

Certificates of a Lehman subsidiary, guaranteed by the Lehman holding company and sold by a savings bank (Sparkasse), became largely worthless after the insolvency in September 2008; the claims for damages failed.

Cited in: Counterparty and issuer risk: CVA, ETCs, certificates and swaps · Glossary: Issuer risk

BGH (2021) · Bundesgerichtshof bestätigt Urteil im bundesweit ersten Cum-Ex-Strafverfahren (Pressemitteilung Nr. 146/2021 zum Urteil vom 28. Juli 2021, Az. 1 StR 519/20)

Bundesgerichtshof. Bundesgerichtshof, Pressestelle; abgerufen am 25.10.2026. Source

Claiming credit for withholding tax (Kapitalertragsteuer) that was never withheld in cum-ex transactions is tax evasion; the legal position was clear, and proceeds of the offence can be confiscated even after the limitation period has expired.

Cited in: Cum-ex and cum-cum: how the dividend trades worked and what applies today · Glossary: Cum-ex trades

BMF (2021) · Steuerliche Behandlung von „Cum/Cum-Transaktionen“ (Schreiben vom 9. Juli 2021, IV C 1 - S 2252/19/10035 :014)

Bundesministerium der Finanzen. Bundesministerium der Finanzen; Angaben geprüft über die Meldung des Verlags Dr. Otto Schmidt vom 15.07.2021, abgerufen am 25.10.2026. Source

Administrative instruction on withholding tax in cum-cum transactions, to be applied in all open cases; replaces the letter of 17 July 2017.

Cited in: Cum-ex and cum-cum: how the dividend trades worked and what applies today

BMF (2025) · Einzelfragen zur Abgeltungsteuer (Schreiben vom 14. Mai 2025, IV C 1 - S 2252/00075/016/070)

Bundesministerium der Finanzen. Bundesministerium der Finanzen; abgerufen am 26.10.2026. Source

Administrative guidance on the flat-rate withholding tax (Abgeltungsteuer), including transfers of securities accounts with and without a change of account holder (paras. 162–173) and loss certificates, whose application must arrive by 15 December (paras. 233–238).

Cited in: Saving tax on your portfolio: loss offsetting, exemption order, Günstigerprüfung and tax-loss harvesting · Glossary: Securities account transfer

BMF (2026) · Basiszins zur Berechnung der Vorabpauschale gemäß § 18 Absatz 4 InvStG; Basiszins zum 2. Januar 2026 (Schreiben vom 13. Januar 2026, IV C 1 - S 1980/00230/012/001)

Bundesministerium der Finanzen. Bundesministerium der Finanzen. Source

Sets the base rate for 2026 at 3.20%, derived from the yield on 15-year German federal securities.

Cited in: Accumulating or distributing: which ETF suits you better? · Money market ETF or instant-access savings account: rates, safety and tax compared · Vorabpauschale: how it is calculated · Dividend strategies and dividend ETFs under scrutiny: irrelevance, taxes, factors · Taxes in the backtest: how Portfolio Lab calculates flat-rate tax and Vorabpauschale · Methodology of the free calculators: Vorabpauschale, savings plan, withdrawal and leveraged ETF

Federal Ministry of Health (2025) · Bekanntmachung des durchschnittlichen Zusatzbeitragssatzes nach § 242a SGB V für das Jahr 2026 vom 7. November 2025

Bundesministerium für Gesundheit. Bundesanzeiger, BAnz AT 10.11.2025 B7; abgerufen am 26.10.2026. Source

The average additional contribution rate in statutory health insurance is 2.9% for 2026.

Cited in: Retirement saving in Germany compared: company pension, Rürup, Altersvorsorgedepot and ETF pension insurance versus an ETF savings plan

Federal Ministry of Health (2026) · Finanzierung der sozialen Pflegeversicherung (Online-Ratgeber Pflege)

Bundesministerium für Gesundheit. Bundesministerium für Gesundheit, Stand 14.9.2026; abgerufen am 26.10.2026. Source

The long-term care insurance contribution rate has been 3.6% since 1 January 2025 and 4.2% for childless members, with reductions from the second child under 25.

Cited in: Retirement saving in Germany compared: company pension, Rürup, Altersvorsorgedepot and ETF pension insurance versus an ETF savings plan

Bundesnetzagentur | SMARD.de (2026) · SMARD Strommarktdaten: Stromverbrauch – Gesamt (Netzlast), Tageswerte; Datennutzung

Bundesnetzagentur. Bundesnetzagentur; Daten der Übertragungsnetzbetreiber über ENTSO-E, abgerufen am 27.10.2026. Source

Electricity consumption in Germany as daily grid load from 2015; the market data are licensed under CC BY 4.0 with the attribution “Bundesnetzagentur | SMARD.de”.

Cited in: Economic pulse: how Portfolio Lab calculates early indicators · Glossary: Grid load

Bundesnetzagentur (2026) · Bundesnetzagentur konsultiert pauschalierte Kapitalverzinsung für die Gasnetzbetreiber

Bundesnetzagentur. Bundesnetzagentur, Pressemitteilung vom 14.8.2026; abgerufen am 25.10.2026. Source

Draft for the fifth gas regulatory period (2028–2032): cost of capital as a WACC with 40% equity and 60% debt, a pre-tax cost of equity of 5.76%, a cost of debt of 2.43% and a WACC of 3.76%.

Cited in: Infrastructure investing: equity and debt, revenue models, valuation and research · Glossary: Regulated return

ErbStDV (1998) · Erbschaftsteuer-Durchführungsverordnung (ErbStDV), § 1 Anzeigepflicht der Vermögensverwahrer und der Vermögensverwalter

Bundesregierung. zuletzt geändert durch Art. 11 des Gesetzes vom 22.6.2026 (BGBl. 2026 I Nr. 192); Fassung auf gesetze-im-internet.de, abgerufen am 26.10.2026. Source

Banks report a deceased person's assets to the inheritance tax office, joint accounts included; no report is required if the value does not exceed €5,000.

Cited in: Inheriting or gifting a portfolio: inheritance and gift tax, valuation and gifting in tranches

SvEV (2006) · Sozialversicherungsentgeltverordnung (SvEV), § 1 Abs. 1 Satz 1 Nr. 9

Bundesregierung. zuletzt geändert durch Art. 11 des Gesetzes vom 16.1.2026 (BGBl. 2026 I Nr. 14); Fassung auf gesetze-im-internet.de, abgerufen am 26.10.2026. Source

Tax-free contributions to occupational pensions are also exempt from social security contributions up to 4% of the pension insurance contribution assessment ceiling, deferred compensation included.

Cited in: Retirement saving in Germany compared: company pension, Rürup, Altersvorsorgedepot and ETF pension insurance versus an ETF savings plan · Glossary: Entgeltumwandlung (salary sacrifice)

Federal Government (2014) · Reaktion des Bundesministeriums der Finanzen und der Bundesanstalt für Finanzdienstleistungsaufsicht zur Schließung der Gesetzeslücken bei Cum-Ex-Geschäften (Antwort auf eine Kleine Anfrage, Drucksache 18/1603 vom 2. Juni 2014)

Bundesregierung. Deutscher Bundestag; abgerufen am 25.10.2026. Source

Describes the tax withholding on domestic short sales introduced by the Annual Tax Act 2007, the gap for foreign banks and the shift of withholding to the paying agents by the UCITS IV Implementation Act.

Cited in: Cum-ex and cum-cum: how the dividend trades worked and what applies today

ImmoWertV (2021) · Immobilienwertermittlungsverordnung (ImmoWertV) vom 14.7.2021, § 21 (Liegenschaftszinssätze) und §§ 27 ff. (Ertragswertverfahren)

Bundesregierung. BGBl. I S. 2805, gültig ab 1.1.2022; Fassung auf gesetze-im-internet.de und buzer.de, abgerufen am 25.10.2026. Source

Rules for determining market value: the income approach works from customary market income, land value, remaining useful life and the property yield (Liegenschaftszinssatz), which is derived from purchase prices and net income.

Cited in: Real estate as an investment: rental flat, REITs, open-ended funds and private real estate · Glossary: Ertragswertverfahren (income capitalisation approach)

Federal Government, Generationenkapital (2024) · Entwurf eines Gesetzes zur Stabilisierung des Rentenniveaus und zum Aufbau eines Generationenkapitals für die gesetzliche Rentenversicherung (Rentenniveaustabilisierungs- und Generationenkapitalgesetz), Drucksache 20/11898 vom 21.6.2024

Bundesregierung. Deutscher Bundestag, 20. Wahlperiode; abgerufen am 25.10.2026. Source

A Generationenkapital (generational capital) foundation funded by federal loans of €12 billion in 2024, rising by 3% a year thereafter; target of €200 billion by 2036 and, from 2036, average distributions of €10 billion a year to the statutory pension insurance.

Cited in: Germany's new equity pension (Aktienrente): Frühstart-Rente, Generationenkapital, Altersvorsorgedepot

Federal Government, pension package 2025 (2025) · Entwurf eines Gesetzes zur Stabilisierung des Rentenniveaus und zur vollständigen Gleichstellung der Kindererziehungszeiten, Drucksache 21/1929 vom 1.10.2025

Bundesregierung. Deutscher Bundestag, 21. Wahlperiode; abgerufen am 25.10.2026. Source

The first part of an overall pension reform package which, according to the draft, also includes the Aktivrente and the Frühstartrente; it does not contain a Generationenkapital.

Cited in: Germany's new equity pension (Aktienrente): Frühstart-Rente, Generationenkapital, Altersvorsorgedepot

Federal Government, new rules January 2026 (2025) · Gesetzliche Neuregelungen im Januar 2026 (Abschnitt Rente: Aktivrente)

Bundesregierung. Presse- und Informationsamt der Bundesregierung, Stand 29.12.2025; abgerufen am 25.10.2026. Source

From 2026, employees subject to social insurance contributions who have reached the standard retirement age can earn up to €2,000 a month tax-free from continued work.

Cited in: Germany's new equity pension (Aktienrente): Frühstart-Rente, Generationenkapital, Altersvorsorgedepot

Federal Government, pension reform (2026) · Fragen und Antworten: Private Altersvorsorge reformiert

Bundesregierung. Presse- und Informationsamt der Bundesregierung, Stand 1.6.2026; abgerufen am 25.10.2026. Source

Bundesrat vote on 8 May 2026, new products launching on 1 January 2027; Altersvorsorgedepot without a guarantee, a standard account with costs of no more than 1.0%, a basic allowance of 50 cents per euro up to €360 and 25 cents up to €1,800 (no more than €540), a child allowance of €300, and no new Riester contracts from 2027.

Cited in: Germany's new equity pension (Aktienrente): Frühstart-Rente, Generationenkapital, Altersvorsorgedepot · Retirement saving in Germany compared: company pension, Rürup, Altersvorsorgedepot and ETF pension insurance versus an ETF savings plan · Glossary: Altersvorsorgedepot (retirement savings account)

BSW (2024) · BSW-Produktklassifizierung (Kurzversion)

Bundesverband für strukturierte Wertpapiere. Bundesverband für strukturierte Wertpapiere e. V. (BSW), Frankfurt am Main und Berlin, Fassung 2024; abgerufen am 25.10.2026. Source

Classifies structured securities into investment products with 100% capital protection, investment products without capital protection (such as discount, bonus and express certificates and reverse convertibles) and leverage products (warrants, knock-out warrants and factor warrants).

Cited in: Warrants, turbos and certificates: what they are and what you pay on top

Federal Constitutional Court (2026) · Mündliche Verhandlung in Sachen „Erbschaftsteuer – Gesetzgebungskompetenzen“ am 12. Oktober 2026 (Pressemitteilung Nr. 48/2026 vom 30.7.2026, 1 BvF 1/23)

Bundesverfassungsgericht. Bundesverfassungsgericht; abgerufen am 26.10.2026. Source

The Bavarian state government argues that, among other provisions, the personal allowances and tax rates of the ErbStG are unconstitutional, partly because they have not been adjusted for price changes.

Cited in: Inheriting or gifting a portfolio: inheritance and gift tax, valuation and gifting in tranches

BZSt (2026) · Anrechenbarkeit der Quellensteuer auf Dividenden und Zinsen von Staaten, mit denen Deutschland ein Doppelbesteuerungsabkommen abgeschlossen hat (Stand 1. Januar 2026)

Bundeszentralamt für Steuern. Bundeszentralamt für Steuern, Referat St II 10, Redaktionsschluss Juni 2026; abgerufen am 25.10.2026. Source

Official overview by country: the national withholding tax rate, the maximum rate under the tax treaty and the rate up to which banks credit the tax against the flat-rate withholding tax (Abgeltungsteuer); only tax that cannot be refunded in the source country is credited.

Cited in: Withholding tax on dividends: tax credit, refunds and fund domicile · Taxes in the backtest: how Portfolio Lab calculates flat-rate tax and Vorabpauschale · Glossary: Withholding tax credit · Glossary: Notional withholding tax (tax sparing credit)

Burnside et al. (2011) · Do Peso Problems Explain the Returns to the Carry Trade?

Burnside, Craig; Eichenbaum, Martin; Kleshchelski, Isaac; Rebelo, Sergio. Review of Financial Studies 24 (3), pp. 853–891. doi:10.1093/rfs/hhq138

Carry returns are large on average and barely correlated with classic risk factors; the authors explain them with a peso problem whose rare event falls mainly in times with a high discount factor.

Cited in: Carry trade: earning interest with currencies and bonds · Glossary: Peso problem

Burton and Jacobsen (1999) · Measuring Returns on Investments in Collectibles

Burton, Benjamin J.; Jacobsen, Joyce P.. Journal of Economic Perspectives 13 (4), pp. 193–212. doi:10.1257/jep.13.4.193

Review of price indices and return studies for collectibles: mostly positive real returns, but more risk and less return than equities.

Cited in: Collectibles as an investment: what art, wine, watches and classic cars really return

Busch et al. (2022) · Corporate carbon performance data: Quo vadis?

Busch, Timo; Johnson, Matthew; Pioch, Thomas. Journal of Industrial Ecology 26 (1), pp. 350–363. doi:10.1111/jiec.13008

Compares CO2 data from several providers: direct emissions agree more closely than indirect ones (particularly poorly for Scope 3), and estimates agree less than figures taken from company reports.

Cited in: ESG methodology: sustainability in the look-through

Busse et al. (2010) · Performance and Persistence in Institutional Investment Management

Busse, Jeffrey A.; Goyal, Amit; Wahal, Sunil. The Journal of Finance 65 (2), pp. 765–790. doi:10.1111/j.1540-6261.2009.01550.x

Based on 4,617 active institutional US equity products from 1991 to 2008: factor-adjusted alphas are on average not different from zero, with little persistence.

Cited in: RFP and mandate awards: how institutional investors select asset managers

Butler et al. (2012) · Adaptive Asset Allocation: A Primer

Butler, Adam; Philbrick, Mike; Gordillo, Rodrigo. SSRN. doi:10.2139/ssrn.2328254

Adaptive asset allocation: momentum selection combined with minimum variance weighting.

Cited in: Tactical allocation: momentum, dual momentum and trend following · Tactical allocation methodology: how the eleven tactical models work

BVI (2026) · Stellungnahme zur Konsultation 06/2026 der BaFin zur Überarbeitung der KAMaRisk

BVI Bundesverband Investment und Asset Management. BVI, Frankfurt am Main, 2.7.2026; abgerufen am 25.10.2026. Source

The fund association's comments on the draft revised KAMaRisk, asking for longer deadlines and a transition period.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing

C

Caginalp and Laurent (1998) · The predictive power of price patterns

Caginalp, G.; Laurent, H.. Applied Mathematical Finance 5 (3–4), pp. 181–205. doi:10.1080/135048698334637

Three-day candlestick patterns in S&P 500 stocks from 1992 to 1996 with statistically significant out-of-sample predictive power.

Cited in: Technical analysis, chart patterns and candlesticks from a quant perspective · Glossary: Candlestick chart

Cai and Haque (2024) · Private Credit: Characteristics and Risks

Cai, Fang; Haque, Sharjil. Board of Governors of the Federal Reserve System, FEDS Notes, 23.2.2024; abgerufen am 25.10.2026. Source

An overview by the US Federal Reserve: the characteristics of private credit (middle market, floating rate, senior secured), its size compared with leveraged loans and high yield, and risks to financial stability.

Cited in: Private credit and public credit compared: returns, risks and what the research shows · Private Debt in der Praxis: Direct Lending, Unitranche, Mezzanine, Kreditstruktur und Fondsvehikel · Glossary: Private credit · Glossary: Business development company (BDC)

CAIA Association (2024) · Innovation Unleashed: The Rise of Total Portfolio Approach

CAIA Association. CAIA Association, März 2024, mit Beiträgen von CPP Investments, NZ Super Fund, Future Fund und GIC; abgerufen am 25.10.2026. Source

Report by large sovereign and pension funds on the total portfolio approach: a common measure of risk and return for the whole portfolio instead of budgets per asset class, implemented differently by each organisation.

Cited in: Strategic and tactical asset allocation and the total portfolio approach · Glossary: Total portfolio approach

CalPERS (2025) · CalPERS Board Adopts Streamlined Investment Approach to Seize Market Opportunities

California Public Employees' Retirement System. CalPERS, Pressemitteilung vom 17.11.2025; abgerufen am 25.10.2026. Source

From 1 July 2026, CalPERS replaces its strategic asset allocation with the total portfolio approach, using a reference portfolio of 75% equities and 25% bonds instead of eleven benchmarks per asset class.

Cited in: Strategic and tactical asset allocation and the total portfolio approach · Glossary: Reference portfolio

Campbell and Shiller (1988) · Stock Prices, Earnings, and Expected Dividends

Campbell, John Y.; Shiller, Robert J.. The Journal of Finance 43 (3), pp. 661–676. doi:10.1111/j.1540-6261.1988.tb04598.x

Shows that valuation ratios based on ten-year earnings predict future returns; the CAPE is built on this.

Cited in: Shiller P/E (CAPE): how expensive is the stock market? · Valuation with the Shiller P/E: methodology

Campbell and Shiller (1991) · Yield Spreads and Interest Rate Movements: A Bird's Eye View

Campbell, John Y.; Shiller, Robert J.. The Review of Economic Studies 58 (3). doi:10.2307/2298008

A large spread between long and short rates predicts rising short rates in the long run but falling long yields in the short run, contrary to the pure expectations hypothesis.

Cited in: Carry trade: earning interest with currencies and bonds · Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Yield curve: what the term structure reveals and why an inverted curve is seen as a warning sign · Bond math: calculating price, yield, duration, convexity and spreads · Glossary: Expectations hypothesis

Campbell and Shiller (1998) · Valuation Ratios and the Long-Run Stock Market Outlook

Campbell, John Y.; Shiller, Robert J.. The Journal of Portfolio Management 24 (2), pp. 11–26. doi:10.3905/jpm.24.2.11

High valuations (ten-year P/E, dividend yield) preceded low returns over the following ten years.

Cited in: Shiller P/E (CAPE): how expensive is the stock market? · Tactical allocation methodology: how the eleven tactical models work · Glossary: Return forecasts from valuation

Campbell and Thompson (2008) · Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?

Campbell, John Y.; Thompson, Samuel B.. Review of Financial Studies 21 (4), pp. 1509–1531. doi:10.1093/rfs/hhm055

With simple sign restrictions, many predictive regressions beat the historical mean; the out-of-sample R² is small but meaningful for investors.

Cited in: Prognosemodelle für Renditen: ARIMA, GARCH, LSTM und Machine Learning · Glossary: Out-of-sample R²

Campbell et al. (2010) · Global Currency Hedging

Campbell, John Y.; Serfaty-de Medeiros, Karine; Viceira, Luis M.. The Journal of Finance 65 (1), pp. 87–121. doi:10.1111/j.1540-6261.2009.01524.x

Which currencies equity investors should hedge: the US dollar, the Swiss franc and the euro act as protection in crises.

Cited in: Currency risk: how exchange rates change your return · Home bias: the preference for your home market and what it costs · Carry trade: earning interest with currencies and bonds · Short selling, hedge funds and hedging: types and how they work · Overlay-Management mit Futures: Beta-, Duration- und Währungs-Overlay, Kontraktzahlen und Liquiditätsbedarf · Asset classes with a long history: methodology · Glossary: Currency hedging

Campbell et al. (2017) · Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds

Campbell, John Y.; Sunderam, Adi; Viceira, Luis M.. Critical Finance Review 6 (2), pp. 263–301. doi:10.1561/104.00000043

The covariance of US Treasuries with stocks was slightly positive on average in 1953–2014, unusually high in the early 1980s and negative in the early 21st century; a term structure model in which inflation and the real rate covary with the real economy explains the shift and a decline of about two percentage points in the term premium.

Cited in: Stock-bond correlation: regimes, drivers and what it means for 60/40, risk parity and hedging

Campbell et al. (2020) · Macroeconomic Drivers of Bond and Equity Risks

Campbell, John Y.; Pflueger, Carolin; Viceira, Luis M.. Journal of Political Economy 128 (8), pp. 3148–3185. doi:10.1086/707766

A consumption-based model with habit formation: the switch in the equity beta of US Treasuries from positive (1979–2001) to negative (2001–2011) follows from the changed comovement of inflation and the output gap, but only if risk premiums change as well.

Cited in: Stock-bond correlation: regimes, drivers and what it means for 60/40, risk parity and hedging

Campisi (2000) · Primer on Fixed Income Performance Attribution

Campisi, Stephen. The Journal of Performance Measurement 4 (4), pp. 14–25. Source

Introduction to performance attribution for bond portfolios: decomposition into income, Treasury effect (change in yields), spread effect and selection, with formulas and a case study.

Cited in: Multi-Asset-Attribution: Gewichtungsschemata, Top-down und Bottom-up, Währungen und Overlays · Glossary: Campisi model

Canakgoz and Beasley (2009) · Mixed-integer programming approaches for index tracking and enhanced indexation

Canakgoz, N. A.; Beasley, J. E.. European Journal of Operational Research 196 (1), pp. 384–399. doi:10.1016/j.ejor.2008.03.015

Formulates index tracking with a cap on the number of securities as a mixed-integer optimisation problem.

Cited in: Index-Replikation: vollständige Replikation, optimiertes Sampling und Swap

Cardoso et al. (2025) · The Dynamics of Evasion: The Price Cap on Russian Oil Exports and the Amassing of the Shadow Fleet

Cardoso, Diego S.; Salant, Stephen W.; Daubanes, Julien. SSRN. doi:10.2139/ssrn.5110126

A model of the Russian shadow fleet, which operates without Western services in order to circumvent the oil price cap, and of the effect of different sanctions.

Cited in: Ship tracking data and satellite images: what they reveal about commodities · Glossary: Shadow fleet

Cariño (1999) · Combining Attribution Effects Over Time

Cariño, David R.. The Journal of Performance Measurement, pp. 5–14. Source

Links attribution effects across several periods using logarithmic factors, so that they add up exactly to the excess return over the whole period.

Cited in: Multi-Asset-Attribution: Gewichtungsschemata, Top-down und Bottom-up, Währungen und Overlays · Performance-Attribution: Brinson-Zerlegung, Faktoren und Verkettung über die Zeit · Glossary: Linking of attribution effects

Cavallo and Rigobon (2016) · The Billion Prices Project: Using Online Prices for Measurement and Research

Cavallo, Alberto; Rigobon, Roberto. Journal of Economic Perspectives 30 (2), pp. 151–178. doi:10.1257/jep.30.2.151

Online prices collected daily from many retailers in many countries; price indices built from them track official consumer prices in most countries.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments

Cboe (2019) · Cboe Volatility Index (VIX Index): Methodology

Cboe Global Markets. Cboe Global Markets, Fassung vom 26.07.2019. Source

The official calculation rules for the VIX: options on the S&P 500 with more than 23 and fewer than 37 days to expiry, interpolated to 30 days.

Cited in: VIX: how to read the stock market's fear gauge

Cboe (2020) · Cboe Receives Final Regulatory Approval for Cboe Market Close (Pressemitteilung)

Cboe Global Markets. Cboe Global Markets, 22.1.2020, veröffentlicht bei Mondo Visione; abgerufen am 25.10.2026. Source

Cboe Market Close matches MOC orders in stocks not listed on Cboe against each other at 15:35 and executes them at the closing price of the listing exchange; the remainder goes into that exchange's closing auction.

Cited in: Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC

Célérier and Vallée (2017) · Catering to Investors Through Security Design: Headline Rate and Complexity

Célérier, Claire; Vallée, Boris. The Quarterly Journal of Economics 132 (3), pp. 1469–1508. doi:10.1093/qje/qjx007

Text analysis of 55,000 structured products for retail investors in Europe 2002–2010: the higher the advertised best-case return, the more complex and risky the product and the more profitable it is for the distributing banks.

Cited in: Warrants, turbos and certificates: what they are and what you pay on top · Glossary: Reverse convertible

Cera et al. (2025) · Private markets: risks and benefits from financial diversification in the euro area

Cera, Katharina; Ferrante, Alessandro; Schwartz Blicke, Oscar. Europäische Zentralbank, Financial Stability Review Mai 2025 (Box), 21.5.2025; abgerufen am 25.10.2026. Source

ECB: private credit funds in the euro area, at €106 billion, are much smaller than in North America; firms are more highly indebted after private investors come in, and the risks lie mainly in concentration and opaque interconnections.

Cited in: Private Debt in der Praxis: Direct Lending, Unitranche, Mezzanine, Kreditstruktur und Fondsvehikel

Cerdeiro et al. (2020) · World Seaborne Trade in Real Time: A Proof of Concept for Building AIS-based Nowcasts from Scratch

Cerdeiro, Diego; Komaromi, Andras; Liu, Yang; Saeed, Mamoon. International Monetary Fund, IMF Working Paper 20/57. doi:10.5089/9781513544106.001

Builds indicators of world seaborne trade from raw AIS messages (ports, voyages, cargo volumes inferred from draught) and compares them with official trade statistics.

Cited in: Ship tracking data and satellite images: what they reveal about commodities · Ships at chokepoints (beta): methodology · Glossary: Draught · Glossary: Ballast voyage · Glossary: Nowcasting

CFA Institute (2019) · Global Investment Performance Standards (GIPS®) for Firms, 2020 Edition

CFA Institute. CFA Institute, gültig ab 1.1.2020; abgerufen am 25.10.2026. Source

Standard for presenting performance: time-weighted returns after transaction costs, composites of all fee-paying discretionary mandates, at least five and up to ten years of history, and money-weighted returns only under certain conditions.

Cited in: Portfolio reporting: how to report return, risk, attribution and costs properly · RFP and mandate awards: how institutional investors select asset managers · Glossary: GIPS · Glossary: Composite

CFA Institute (2019) · CFA Institute Releases 2020 Global Investment Performance Standards

CFA Institute. CFA Institute, Pressemitteilung vom 9.7.2019; abgerufen am 25.10.2026. Source

Announces the 2020 GIPS standards: money-weighted instead of time-weighted returns may be chosen under certain conditions, and pooled funds get more options; compliance is not required by law but is regarded as best practice.

Cited in: Portfolio reporting: how to report return, risk, attribution and costs properly · Glossary: GIPS

Chambers and Zdanowicz (2014) · The Limitations of Diversification Return

Chambers, Donald R.; Zdanowicz, John S.. The Journal of Portfolio Management 40 (4), pp. 65–76. doi:10.3905/jpm.2014.40.4.065

Shows that the diversification return is not a higher expected value; any benefit from rebalancing comes from mean reversion, not from diversification or lower variance.

Cited in: Overfitting check and diversification return: the calculations in Backtest and Tactical · Glossary: Volatility harvesting

Chan (2013) · Algorithmic Trading: Winning Strategies and Their Rationale

Chan, Ernest P.. Wiley. doi:10.1002/9781118676998

A practitioner's book on mean-reversion and momentum strategies; Chapter 3 estimates the hedge ratio of a pair with the Kalman filter as a dynamic regression.

Cited in: Pairs-Trading und statistische Arbitrage: Idee, Methoden, Forschung · Long/short and statistical arbitrage: methodology · Glossary: Hedge ratio · Glossary: Kalman filter

Chan et al. (2003) · The Level and Persistence of Growth Rates

Chan, Louis K. C.; Karceski, Jason; Lakonishok, Josef. The Journal of Finance 58 (2), pp. 643–684. doi:10.1111/1540-6261.00540

Long-term earnings growth is barely more persistent than chance would suggest and hard to predict; analysts' growth forecasts are too optimistic.

Cited in: Fundamental analysis: valuing a company like an investor

Chanos (2002) · Statement before the Committee on Energy and Commerce, U.S. House of Representatives, Anhörung „Lessons Learned from Enron’s Collapse: Auditing the Accounting Industry“ vom 6. Februar 2002 (Serial No. 107-83, S. 71 ff.)

Chanos, James S.. U.S. Government Printing Office; abgerufen am 25.10.2026. Source

Chanos describes Kynikos Associates (founded in 1985 and specialising in short selling) and why the firm shorted Enron from November 2000: a pre-tax return on capital of about 7% against a cost of capital of more like 9%, gain-on-sale accounting, insider selling.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Charupat and Miu (2011) · The Pricing and Performance of Leveraged Exchange-Traded Funds

Charupat, Narat; Miu, Peter. Journal of Banking & Finance 35 (4), pp. 966–977. doi:10.1016/j.jbankfin.2010.09.012

Leveraged ETFs are traded mainly by retail investors with very short holding periods; deviations from the multiple are small for holding periods of up to a week and grow as holding periods lengthen.

Cited in: Gehebelte ETFs und Return Stacking: Pfadabhängigkeit, Kosten und Forschung

Chatrath and Liang (1998) · REITs and Inflation: A Long-Run Perspective

Chatrath, Arjun; Liang, Youguo. Journal of Real Estate Research 16 (3), pp. 311–326. doi:10.1080/10835547.1998.12090955

No positive relationship between REIT returns and inflation in regressions; signs of long-run co-movement with the price level 1972–1995 that other cointegration tests do not confirm.

Cited in: Liquid real assets: inflation protection with tradable real assets in a portfolio

Chekhlov et al. (2005) · Drawdown Measure in Portfolio Optimization

Chekhlov, Alexei; Uryasev, Stanislav; Zabarankin, Michael. International Journal of Theoretical and Applied Finance 08 (01), pp. 13–58. doi:10.1142/s0219024905002767

Defines conditional drawdown at risk and optimises portfolios subject to drawdown limits.

Cited in: Maximum drawdown: the largest loss from a peak · Glossary: Conditional drawdown at risk

Chemmanur et al. (2014) · Corporate Venture Capital, Value Creation, and Innovation

Chemmanur, Thomas J.; Loutskina, Elena; Tian, Xuan. Review of Financial Studies 27 (8), pp. 2434–2473. doi:10.1093/rfs/hhu033

Start-ups financed by corporations (corporate venture capital) are younger, riskier and less profitable, but file more patents than firms backed by independent investors.

Cited in: Venture capital: funding rounds, valuation, the power law and what research knows about returns

Chen et al. (2004) · The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation

Chen, Honghui; Noronha, Gregory; Singal, Vijay. The Journal of Finance 59 (4), pp. 1901–1930. doi:10.1111/j.1540-6261.2004.00683.x

Added stocks rise permanently, while deleted stocks do not fall permanently; the authors explain the asymmetry by changes in investor attention.

Cited in: Index-Effekt: Was bei Aufnahmen in einen Index und Streichungen mit den Kursen passiert · Smart Indexing: Mehrwert für Indexfonds rund um Corporate Actions und Indexänderungen

Chen et al. (2006) · Index Changes and Losses to Index Fund Investors

Chen, Honghui; Noronha, Gregory; Singal, Vijay. Financial Analysts Journal 62 (4), pp. 31–47. doi:10.2469/faj.v62.n4.4185

Arbitrage around index changes costs investors in S&P 500 and Russell 2000 funds $1.0 to $2.1 billion a year, a consequence of judging funds by their tracking error.

Cited in: Smart Indexing: Mehrwert für Indexfonds rund um Corporate Actions und Indexänderungen · Glossary: Front-running

Chen et al. (2006) · Human Capital, Asset Allocation, and Life Insurance

Chen, Peng; Ibbotson, Roger G.; Milevsky, Moshe A.; Zhu, Kevin X.. Financial Analysts Journal 62 (1), pp. 97–109. doi:10.2469/faj.v62.n1.4061

Framework in which asset allocation and life insurance follow jointly from human capital and its mortality risk.

Cited in: Your whole wealth: total wealth from portfolio, home, human capital and car

Cheng and Madhavan (2009) · The Dynamics of Leveraged and Inverse Exchange-Traded Funds

Cheng, Minder; Madhavan, Ananth. Journal of Investment Management 7 (4). Source

How leveraged and inverse ETFs work: daily rebalancing of leverage at the market close, a path-dependent option in the return, and their suitability for long-term investors.

Cited in: Leverage in a portfolio: return, risk, costs and margin calls · Gehebelte ETFs und Return Stacking: Pfadabhängigkeit, Kosten und Forschung · Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC · Methodology of the free calculators: Vorabpauschale, savings plan, withdrawal and leveraged ETF · Glossary: Leveraged ETF · Glossary: Daily leverage reset · Glossary: Inverse ETF

Chernenko et al. (2022) · Why Do Firms Borrow Directly from Nonbanks?

Chernenko, Sergey; Erel, Isil; Prilmeier, Robert. The Review of Financial Studies 35 (11), pp. 4902–4947. doi:10.1093/rfs/hhac016

Loan agreements of US middle-market firms in 2010–2015: a third of the loans come directly from nonbanks, and two thirds of these can be traced back to bank regulation.

Cited in: Private credit and public credit compared: returns, risks and what the research shows

Chetty et al. (2014) · Active vs. Passive Decisions and Crowd-Out in Retirement Savings Accounts: Evidence from Denmark

Chetty, Raj; Friedman, John N.; Leth-Petersen, Søren; Nielsen, Torben Heien; Olsen, Tore. The Quarterly Journal of Economics 129 (3), pp. 1141–1219. doi:10.1093/qje/qju013

Based on 41 million observations from Denmark: tax subsidies mainly shift savings between accounts, whereas automatic employer contributions increase wealth substantially.

Cited in: Kinderdepot or parents' account? Tax, gifts, BAföG and family health insurance · Retirement saving in Germany compared: company pension, Rürup, Altersvorsorgedepot and ETF pension insurance versus an ETF savings plan

Chetty et al. (2024) · The Economic Impacts of COVID-19: Evidence from a New Public Database Built Using Private Sector Data

Chetty, Raj; Friedman, John N.; Stepner, Michael. The Quarterly Journal of Economics 139 (2), pp. 829–889. doi:10.1093/qje/qjad048

A public database built from anonymised data of private companies (consumer spending, business revenues, job postings, employment) on the economy during the pandemic (with the Opportunity Insights Team).

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Glossary: Transaction data

Chingono and Rasmussen (2015) · Leveraged Small Value Equities

Chingono, Brian; Rasmussen, Daniel. SSRN Working Paper, August 2015. doi:10.2139/ssrn.2639647

Replicates the selection of buyout funds on the stock market: small, cheap, highly indebted US stocks that are paying down debt; high average returns from 1965 to 2013 with very high volatility.

Cited in: Private Markets messen: J-Kurve, Cashflows, Glättung und Public Proxy

Choi and Shachar (2013) · Did Liquidity Providers Become Liquidity Seekers? Evidence from the CDS-Bond Basis during the 2008 Financial Crisis

Choi, Jaewon; Shachar, Or. Federal Reserve Bank of New York, Staff Reports Nr. 650. Source

After the Lehman collapse, the CDS-bond basis turned sharply negative, mainly because hedge funds unwound basis trades they had built up earlier; dealers provided liquidity but could not close the gap.

Cited in: Basis trades: positive and negative basis in bonds, CDS and futures · Glossary: CDS-bond basis

Chopra and Ziemba (1993) · The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice

Chopra, Vijay Kumar.; Ziemba, William T.. The Journal of Portfolio Management 19 (2), pp. 6–11. doi:10.3905/jpm.1993.409440

Errors in expected returns distort the optimised portfolio many times more than errors in variances and covariances.

Cited in: Efficient frontier: Markowitz portfolio optimisation · Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Kovarianzschätzung: Warum Optimierer Shrinkage brauchen · Resampling-Optimierung nach Michaud: stabilere Portfoliogewichte durch Simulation · Optimisation methodology: estimation, objectives, Black-Litterman, resampling and walk-forward · Glossary: Estimation error · Glossary: Error maximisation

Cici et al. (2011) · Missing the marks? Dispersion in corporate bond valuations across mutual funds

Cici, Gjergji; Gibson, Scott; Merrick, John J.. Journal of Financial Economics 101 (1), pp. 206–226. doi:10.1016/j.jfineco.2011.02.001

Different funds value the same corporate bond differently at month-end, the more so the more illiquid the bond and the more turbulent the market; the patterns are consistent with smoothed returns.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing

Clancy et al. (2016) · Testing Universal Child Development Accounts: Financial Effects in a Large Social Experiment

Clancy, Margaret M.; Beverly, Sondra G.; Sherraden, Michael; Huang, Jin. Social Service Review 90 (4), pp. 683–708. doi:10.1086/689756

Seven years after the experiment began, child development accounts with an automatic initial deposit have a large effect on savings for education, mainly through the automatic deposit and its returns.

Cited in: Kinderdepot or parents' account? Tax, gifts, BAföG and family health insurance

Clarke et al. (2002) · Portfolio Constraints and the Fundamental Law of Active Management

Clarke, Roger; de Silva, Harindra; Thorley, Steven. Financial Analysts Journal 58 (5), pp. 48–66. doi:10.2469/faj.v58.n5.2468

Generalises the fundamental law with the transfer coefficient: constraints such as short-selling bans reduce how much of the forecasting skill reaches the portfolio.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Glossary: Transfer coefficient

Climate TRACE (2026) · Data Downloads: Emissionsinventar je Sektor, Land und Anlage (Sektorpakete Version 5.10)

Climate TRACE. Climate TRACE; Sektorpakete CO2e über 100 Jahre, abgerufen am 25.10.2026. Source

Freely usable estimates of emissions per asset and month for power, fossil fuels, manufacturing, mining and other sectors, with the owners of each asset.

Cited in: ESG methodology: sustainability in the look-through

Climate TRACE, Terms of Use (2026) · Terms of Use

Climate TRACE. Climate TRACE; abgerufen am 25.10.2026. Source

Apart from third-party data, the data are licensed under CC BY 4.0: they may be copied, modified and shared, including commercially, with attribution and an indication of changes, and without warranty.

Cited in: ESG methodology: sustainability in the look-through

CME Group, TMAC (2023) · Overview of Trade Marker at Close (TMAC) on E-mini Equity Index futures

CME Group. CME Group, Lerneinheit; abgerufen am 25.10.2026. Source

With TMAC, participants trade E-mini index futures as a spread to a fixing based on the volume-weighted average price of the futures in a 30-second window at the 16:00 New York time close.

Cited in: Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC · Glossary: Trade at settlement

CME Group, BTIC (2026) · Basis Trade at Index Close (BTIC) Transactions

CME Group. CME Group, © 2026; abgerufen am 25.10.2026. Source

With BTIC, participants trade a future as a spread (basis) to the official index close; the futures price is the closing level plus the agreed basis, and it is used for cash equitisation and index rebalancing, among other purposes.

Cited in: Basket Swaps, Total Return Swaps oder Futures: Markt-Exposure effizient aufbauen · Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC · Glossary: BTIC

CME Group, TAS (2026) · Trading at Settlement (TAS)

CME Group. CME Group, © 2026; abgerufen am 25.10.2026. Source

TAS is an order type that executes during the session at a difference of a few ticks from the subsequent settlement price; it is available for agricultural, energy, metals, crypto and Treasury futures, while TMAC serves equity index futures.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget · Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC · Glossary: Trade at settlement

CME Group, TACO (2026) · Introduction to Trade at Cash Open (TACO)

CME Group. CME Group, Kurs „Trading at a Basis to an Index“; abgerufen am 27.10.2026. Source

With TACO, participants trade E-mini S&P 500 futures as a basis to the official opening level of the index (Special Opening Quotation); the futures price is the opening level plus the basis.

Cited in: Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC · Glossary: Market on cash close

CMS (2024) · Ade Verlustabzugsbeschränkung für Termingeschäfte – Gesetzgeber bereinigt Verfassungswidrigkeit

CMS Hasche Sigle. CMS Deutschland, Legal Update 2024; abgerufen am 26.10.2026. Source

The Annual Tax Act 2024 (promulgated on 5 December 2024) abolishes the restriction on offsetting losses from derivatives transactions for all open cases.

Cited in: Saving tax on your portfolio: loss offsetting, exemption order, Günstigerprüfung and tax-loss harvesting

Cocco et al. (2005) · Consumption and Portfolio Choice over the Life Cycle

Cocco, João F.; Gomes, Francisco J.; Maenhout, Pascal J.. Review of Financial Studies 18 (2), pp. 491–533. doi:10.1093/rfs/hhi017

With labour income treated as a bond-like asset, the optimal equity share falls with age.

Cited in: Equity allocation by age: rules of thumb, glide paths and what theory says · Your whole wealth: total wealth from portfolio, home, human capital and car · Asset-liability management: aligning your wealth with future spending · Financial goals methodology: how Portfolio Lab simulates a life plan · Glossary: Life-cycle model · Glossary: Lifecycle fund · Glossary: Human capital

Cochrane (2005) · Asset Pricing

Cochrane, John H.. Princeton University Press, revised edition.

Textbook on asset pricing theory: stochastic discount factor, factor models, predictability.

Cited in: CAPM: the capital asset pricing model and the security market line

Cochrane and Piazzesi (2005) · Bond Risk Premia

Cochrane, John H.; Piazzesi, Monika. American Economic Review 95 (1), pp. 138–160. doi:10.1257/0002828053828581

A single tent-shaped factor built from forward rates predicts one-year excess returns on bonds with maturities of one to five years; it is partly independent of the level, slope and curvature of the curve.

Cited in: Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Bond math: calculating price, yield, duration, convexity and spreads

Cochrane (2005) · The risk and return of venture capital

Cochrane, John H.. Journal of Financial Economics 75 (1), pp. 3–52. doi:10.1016/j.jfineco.2004.03.006

Estimates the return and risk of venture capital investments with a correction for the fact that valuations are observed mainly for successful firms; the correction lowers the mean log return from 108% to 15% per year.

Cited in: Venture capital: funding rounds, valuation, the power law and what research knows about returns

Cochrane (2011) · Presidential Address: Discount Rates

Cochrane, John H.. The Journal of Finance 66 (4), pp. 1047–1108. doi:10.1111/j.1540-6261.2011.01671.x

Presidential address on the importance of time-varying discount rates; it shaped the image of a “zoo” of factors.

Cited in: Factor investing: understanding the Fama-French factors · Backtest overfitting: when the past looks too good · Glossary: Factor zoo

Cohen et al. (2012) · Decoding Inside Information

Cohen, Lauren; Malloy, Christopher; Pomorski, Lukasz. The Journal of Finance 67 (3), pp. 1009–1043. doi:10.1111/j.1540-6261.2012.01740.x

Separates predictable, routine insider trades from opportunistic ones: only the opportunistic trades earn abnormal returns (82 basis points a month, value-weighted).

Cited in: Insider trading: what is prohibited, what is allowed and what directors' dealings reveal

CFTC (2022) · CFTC Orders Event-Based Binary Options Markets Operator to Pay $1.4 Million Penalty (Release Number 8478-22 vom 3.1.2022; Blockratize, Inc., d/b/a Polymarket)

Commodity Futures Trading Commission. CFTC; abgerufen am 25.10.2026. Source

The operator offered event-based binary options, which the CFTC classifies as swaps, without registration; it paid a $1.4 million penalty and had to wind down non-compliant markets.

Cited in: Prediction markets as bets on events: what they can and cannot do · Glossary: Event contract

Future Fund Investment Mandate (2024) · Future Fund Investment Mandate Direction 2024 (F2024L01477)

Commonwealth of Australia. Federal Register of Legislation, 19.11.2024; abgerufen am 25.10.2026. Source

Investment mandate of Australia's Future Fund: over the long term, at least inflation plus 4 to 5% a year with an acceptable but not excessive level of risk.

Cited in: Strategic and tactical asset allocation and the total portfolio approach

CMA (2018) · Investment Consultants Market Investigation: Final Report

Competition and Markets Authority. Competition and Markets Authority, London, 12.12.2018; abgerufen am 25.10.2026. Source

Investment consultants influence more than £1.6 trillion of UK pension assets; recommended products beat their benchmarks before fees, but barely after fees; the three largest consultants had a combined market share of about 54% in fiduciary management in 2017.

Cited in: RFP and mandate awards: how institutional investors select asset managers · Glossary: Investment consultant

CMA, Order (2019) · Final step taken in CMA reform of investment consultants (Pressemitteilung vom 10.6.2019)

Competition and Markets Authority. Competition and Markets Authority, London; abgerufen am 25.10.2026. Source

Trustees of UK pension schemes who delegate at least 20% of their assets to fiduciary managers must run a tender with at least three providers.

Cited in: RFP and mandate awards: how institutional investors select asset managers · Glossary: Request for proposal

Cong and He (2019) · Blockchain Disruption and Smart Contracts

Cong, Lin William; He, Zhiguo. The Review of Financial Studies 32 (5), pp. 1754–1797. doi:10.1093/rfs/hhz007

Smart contracts can reduce information asymmetries and foster competition, but because decentralised consensus distributes information, it can also facilitate collusion.

Cited in: Digital assets: tokenisation, stablecoins, crypto securities and the digital euro · Glossary: Smart contract

Conlon et al. (2026) · The collapse of the FTX exchange: The end of cryptocurrency's age of innocence

Conlon, Thomas; Corbet, Shaen; Hu, Yang. The British Accounting Review 58 (3), pp. 101277. doi:10.1016/j.bar.2023.101277

Traces the collapse of the FTX trading platform: large risk and liquidity mismatches between assets and liabilities, and contagion via other crypto products.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

Conover et al. (2016) · What Difference Do Dividends Make?

Conover, C. Mitchell; Jensen, Gerald R.; Simpson, Marc W.. Financial Analysts Journal 72 (6), pp. 28–40. doi:10.2469/faj.v72.n6.1

High-dividend stocks had less risk and more return than stocks without dividends; the advantage depends heavily on investment style.

Cited in: Dividend strategies and dividend ETFs under scrutiny: irrelevance, taxes, factors

Constantinides (1979) · A Note on the Suboptimality of Dollar-Cost Averaging as an Investment Policy

Constantinides, George M.. The Journal of Financial and Quantitative Analysis 14 (2). doi:10.2307/2330513

Shows formally that investing in equal instalments (dollar-cost averaging) is inferior to an optimal strategy.

Cited in: Cost averaging: what the average-cost effect really delivers · Savings plan or lump sum: invest a large amount at once or in instalments? · Glossary: Lump-sum investing

Cont and Tankov (2009) · Constant Proportion Portfolio Insurance in the Presence of Jumps in Asset Prices

Cont, Rama; Tankov, Peter. Mathematical Finance 19 (3), pp. 379–401. doi:10.1111/j.1467-9965.2009.00377.x

Gap risk of CPPI when prices jump: the probability of falling below the floor, the expected loss and the choice of multiplier.

Cited in: CPPI: portfolio insurance with cushion, floor and multiplier · CPPI backtest: methodology · Glossary: Multiplier (CPPI) · Glossary: Gap risk

Conze and Viswanathan (1991) · Path Dependent Options: The Case of Lookback Options

Conze, Antoine; Viswanathan. The Journal of Finance 46 (5), pp. 1893–1907. doi:10.1111/j.1540-6261.1991.tb04648.x

Explicit formulas for European lookback options, including fixed-strike ones, and results on American variants.

Cited in: Optionsbewertung: wie faire Optionspreise entstehen · Option pricer: how Portfolio Lab values options · Glossary: Lookback option

Cooley et al. (2003) · Comparative Analysis of Retirement Portfolio Success Rates

Cooley, Philip L.; Hubbard, Carl M.; Walz, Daniel T.. Financial Services Review 12 (2), pp. 115–128. doi:10.61190/fsr.v12i2.4759

Compares Monte Carlo simulation and overlapping historical periods for sustainable withdrawal rates: similar results under some conditions, very different ones under others.

Cited in: FIRE (Financial Independence, Retire Early): Lean, Fat, Coast and Barista FIRE

Cornish and Fisher (1938) · Moments and Cumulants in the Specification of Distributions

Cornish, E. A.; Fisher, R. A.. Revue de l'Institut International de Statistique / Review of the International Statistical Institute 5 (4). doi:10.2307/1400905

A series expansion that can be used to adjust the quantiles of a distribution for skewness and kurtosis (Cornish-Fisher VaR).

Cited in: Skewness and kurtosis: why market crashes are more frequent than the normal distribution says · Value at risk and conditional VaR: how much you could lose in a bad case · Glossary: Cornish-Fisher expansion

Corrado (1989) · A nonparametric test for abnormal security-price performance in event studies

Corrado, Charles J.. Journal of Financial Economics 23 (2), pp. 385–395. doi:10.1016/0304-405X(89)90064-0

Rank test for event studies that does not assume normally distributed abnormal returns.

Cited in: Event-Studien: Wie man Kursreaktionen auf Ereignisse misst und testet

Couts et al. (2024) · Unsmoothing Returns of Illiquid Funds

Couts, Spencer J.; Gonçalves, Andrei S.; Rossi, Andrea. Review of Financial Studies 37 (7), pp. 2110–2155. doi:10.1093/rfs/hhae006

Funds with illiquid assets report smoothed returns with artificial autocorrelation; standard corrections underestimate systematic risk, and the alpha of such funds is lower than thought.

Cited in: ELTIFs: private markets for private investors under the ELTIF 2.0 rules · Private credit and public credit compared: returns, risks and what the research shows · Private Markets messen: J-Kurve, Cashflows, Glättung und Public Proxy · Glossary: Return smoothing

Coval and Moskowitz (1999) · Home Bias at Home: Local Equity Preference in Domestic Portfolios

Coval, Joshua D.; Moskowitz, Tobias J.. The Journal of Finance 54 (6), pp. 2045–2073. doi:10.1111/0022-1082.00181

Home bias even at home: fund managers favour companies from their own region.

Cited in: Home bias: the preference for your home market and what it costs · Look-through: what is really inside your ETFs · Glossary: Home bias

Coval and Shumway (2001) · Expected Option Returns

Coval, Joshua D.; Shumway, Tyler. The Journal of Finance 56 (3), pp. 983–1009. doi:10.1111/0022-1082.00352

Expected option returns in the framework of capital market theory; zero-beta at-the-money straddles lost substantially on average.

Cited in: Short selling, hedge funds and hedging: types and how they work · Optionsbewertung: wie faire Optionspreise entstehen · Tail Hedging: Was Put-Absicherung kostet, wann sie zahlt und was Short-Vol-Strategien lehren · Glossary: Straddle

Cox et al. (1979) · Option pricing: A simplified approach

Cox, John C.; Ross, Stephen A.; Rubinstein, Mark. Journal of Financial Economics 7 (3), pp. 229–263. doi:10.1016/0304-405X(79)90015-1

The binomial model of option valuation: replication in discrete steps, risk-neutral probabilities and convergence to Black-Scholes in the limit.

Cited in: Optionsbewertung: wie faire Optionspreise entstehen · Option pricer: how Portfolio Lab values options · Glossary: Risk-neutral valuation · Glossary: Binomial tree

CPP Investments (2023) · Investment strategy: Reference Portfolio and Total Portfolio Investment Framework (Webseite, Stand Geschäftsbericht 2023)

CPP Investments. Canada Pension Plan Investment Board; abgerufen am 25.10.2026. Source

Reference portfolio of the Canadian base plan with 85% global equities and 15% Canadian government bonds as a risk-equivalent benchmark; CPP Investments calls its decision process the total portfolio approach.

Cited in: Germany's new equity pension (Aktienrente): Frühstart-Rente, Generationenkapital, Altersvorsorgedepot · Strategic and tactical asset allocation and the total portfolio approach · Glossary: Reference portfolio

SEC, listing standards (2025) · Passing the Buck on Reviewing Proposals to List and Trade Digital Asset ETPs (Statement, 17. September 2025)

Crenshaw, Caroline A.. U.S. Securities and Exchange Commission; abgerufen am 25.10.2026. Source

A dissenting statement on the approval of generic listing standards under which exchanges can list qualifying ETPs on commodities and digital assets without an individual review by the SEC.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

Cronqvist and Thaler (2004) · Design Choices in Privatized Social-Security Systems: Learning from the Swedish Experience

Cronqvist, Henrik; Thaler, Richard H.. American Economic Review 94 (2), pp. 424–428. doi:10.1257/0002828041301632

Evaluates the introduction of the Swedish premium pension in 2000 and draws lessons for the design of fund choice and default funds.

Cited in: Germany's new equity pension (Aktienrente): Frühstart-Rente, Generationenkapital, Altersvorsorgedepot

Cronqvist et al. (2018) · When Nudges Are Forever: Inertia in the Swedish Premium Pension Plan

Cronqvist, Henrik; Thaler, Richard H.; Yu, Frank. AEA Papers and Proceedings 108, pp. 153–158. doi:10.1257/pandp.20181096

All choice and reallocation decisions of 7.3 million Swedish savers from 2000 to 2016: the effect of the defaults persisted for almost two decades.

Cited in: Germany's new equity pension (Aktienrente): Frühstart-Rente, Generationenkapital, Altersvorsorgedepot

Croushore and Stark (2001) · A real-time data set for macroeconomists

Croushore, Dean; Stark, Tom. Journal of Econometrics 105 (1), pp. 111–130. doi:10.1016/S0304-4076(01)00072-0

A data set containing the values that were actually known at each point in time; shows how much revisions change results based on macroeconomic data.

Cited in: Prognosemodelle für Renditen: ARIMA, GARCH, LSTM und Machine Learning · Regime-Modelle: Hidden Markov, Markov-Switching und Co. · Macro dashboard and regime analysis: methodology

Crowley (2023) · Luxembourg in catch-up mode as Ireland leads in ETFs

Crowley, John. Investment Officer, 8.6.2023; abgerufen am 25.10.2026. Source

Thanks to the tax treaty, Irish-domiciled US equity ETFs pay 15% withholding tax on US dividends, while ETFs from Luxembourg and other European countries pay 30%.

Cited in: Dividend strategies and dividend ETFs under scrutiny: irrelevance, taxes, factors · Index providers and valuation points: why the same index is calculated differently · Withholding tax on dividends: tax credit, refunds and fund domicile · Index-Replikation: vollständige Replikation, optimiertes Sampling und Swap

Cuchiero and Möller (2025) · Signature Methods in Stochastic Portfolio Theory

Cuchiero, Christa; Möller, Janka. SIAM Journal on Financial Mathematics 16 (4), pp. 1239–1303. doi:10.1137/24m1700223

Signature portfolios built from the path signature of the (ranked) market weights can approximate any continuous, even path-dependent, portfolio function; optimisations become convex quadratic problems, and on the index data studied they did better out of sample, even after transaction costs.

Cited in: Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Glossary: Path signature

Cunliffe (2022) · Brief an den Vorsitzenden des Treasury Committee zur Intervention der Bank of England im Gilt-Markt (5. Oktober 2022)

Cunliffe, Jon. Bank of England, 5.10.2022; abgerufen am 25.10.2026. Source

The Deputy Governor explains the yield shock in long-dated gilts in September 2022, the collateral calls on leveraged LDI funds and the Bank's temporary bond purchases.

Cited in: Liability Driven Investing und Cashflow Driven Investing: Verbindlichkeiten mit Anleihen decken · Overlay-Management mit Futures: Beta-, Duration- und Währungs-Overlay, Kontraktzahlen und Liquiditätsbedarf

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D'Amico et al. (2018) · Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices

D'Amico, Stefania; Kim, Don H.; Wei, Min. Journal of Financial and Quantitative Analysis 53 (1), pp. 395–436. doi:10.1017/s0022109017000916

Yields on US inflation-protected Treasuries were at times well above the risk-free real rate, mainly because of lower liquidity, which distorts breakeven inflation.

Cited in: Liquid real assets: inflation protection with tradable real assets in a portfolio · Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Bond math: calculating price, yield, duration, convexity and spreads · Glossary: TIPS

D'Antona (2016) · Bloomberg Completes Acquisition of Barclays Risk Analytics and Index Solutions Business

D'Antona, John. Markets Media, 25.08.2016; abgerufen am 25.10.2026. Source

Bloomberg acquires Barclays' bond indices, initially under the name Bloomberg Barclays Indices.

Cited in: Index providers and valuation points: why the same index is calculated differently

Da et al. (2011) · In Search of Attention

Da, Zhi; Engelberg, Joseph; Gao, Pengjie. The Journal of Finance 66 (5), pp. 1461–1499. doi:10.1111/j.1540-6261.2011.01679.x

Google search queries as a direct measure of retail investor attention: an increase predicts higher prices in the short term and a later reversal.

Cited in: Thematic ETFs and hype: what studies, costs and overlaps reveal · Alternative data: job ads, Reddit, X, satellites and card payments

Dahiya et al. (2003) · Debtor-in-possession financing and bankruptcy resolution: Empirical evidence

Dahiya, Sandeep; John, Kose; Puri, Manju; Ramírez, Gabriel. Journal of Financial Economics 69 (1), pp. 259–280. doi:10.1016/S0304-405X(03)00113-2

Firms with DIP financing emerge from Chapter 11 more often and more quickly; there is little evidence of overinvestment, and proceedings are particularly short when the existing lender provides the DIP loan.

Cited in: Distressed debt: strategies, insolvency law, recovery rates and returns when investing in crises

Dahlquist et al. (2018) · On the Asset Allocation of a Default Pension Fund

Dahlquist, Magnus; Setty, Ofer; Vestman, Roine. The Journal of Finance 73 (4), pp. 1893–1936. doi:10.1111/jofi.12697

The optimal default fund in a defined contribution system: a welfare gain of 1.5% in retirement compared with a typical age-based allocation, most of which can already be achieved with a simple rule of thumb.

Cited in: Germany's new equity pension (Aktienrente): Frühstart-Rente, Generationenkapital, Altersvorsorgedepot

Dalio (2017) · Principles: Life and Work

Dalio, Ray. Simon & Schuster.

The founder of Bridgewater Associates on his career since 1975 and the principles by which he makes decisions and runs the firm.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Dammon et al. (2004) · Optimal Asset Location and Allocation with Taxable and Tax-Deferred Investing

Dammon, Robert M.; Spatt, Chester S.; Zhang, Harold H.. The Journal of Finance 59 (3), pp. 999–1037. doi:10.1111/j.1540-6261.2004.00655.x

Which assets belong in which account when part of the portfolio is tax-advantaged (asset location).

Cited in: Flat-rate tax, partial exemption and saver's allowance for ETFs in Germany · Vorabpauschale: how it is calculated · Asset-holding GmbH (vermögensverwaltende GmbH): when does it pay off? Taxes, costs and break-even · Retirement saving in Germany compared: company pension, Rürup, Altersvorsorgedepot and ETF pension insurance versus an ETF savings plan · Glossary: Asset location

Damodaran (2012) · Investment Valuation: Tools and Techniques for Determining the Value of Any Asset

Damodaran, Aswath. Wiley, 3rd edition.

Textbook on valuation: cost of capital, discounted cash flow models with a terminal value, dividend discounting and multiples such as P/E and EV/EBITDA.

Cited in: Fundamental analysis: valuing a company like an investor · Glossary: Discounted cash flow model · Glossary: Weighted average cost of capital

Daniel et al. (1997) · Measuring Mutual Fund Performance with Characteristic-Based Benchmarks

Daniel, Kent; Grinblatt, Mark; Titman, Sheridan; Wermers, Russ. The Journal of Finance 52 (3), pp. 1035–1058. doi:10.1111/j.1540-6261.1997.tb02724.x

Measures fund performance against benchmark portfolios with the same characteristics (size, valuation, momentum), built from the fund's holdings.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Look-through: what is really inside your ETFs · Stilanalyse nach Sharpe: was ein Fonds wirklich macht · Look-through: how Portfolio Lab sees inside funds · Glossary: Characteristic-based benchmark

Daniel and Moskowitz (2016) · Momentum crashes

Daniel, Kent; Moskowitz, Tobias J.. Journal of Financial Economics 122 (2), pp. 221–247. doi:10.1016/j.jfineco.2015.12.002

Momentum crashes occur after bear markets, when the market rebounds sharply; volatility scaling mitigates them.

Cited in: Factor investing: understanding the Fama-French factors · Tactical allocation: momentum, dual momentum and trend following · Momentum-Crashes: warum Momentum selten, aber heftig einbricht und was Volatilitätssteuerung und Crowding-Maße zeigen · Trendfolge: dem eigenen Trend jeder Anlage folgen · Tactical allocation methodology: how the eleven tactical models work · Glossary: Momentum crash

Dao et al. (2017) · Tail Protection for Long Investors: Trend Convexity at Work

Dao, Tung-Lam; Nguyen, Trung-Tu; Deremble, Cyril; Lempérière, Yves; Bouchaud, Jean-Philippe; Potters, Marc. The Journal of Investment Strategies 7 (1), pp. 61–84. doi:10.21314/jois.2017.093

The result of trend following depends on the difference between long-term and short-term realised variance, which explains the positive convexity of CTA returns.

Cited in: CTAs and managed futures: industry, position sizing, costs and crisis protection · Glossary: Crisis alpha

Davis Wright Tremaine (2024) · District Court Vacates CFTC Prohibition on Trading „Congressional Control Contracts“ Predicting Election Results

Davis Wright Tremaine. Financial Services Law Advisor, 2.10.2024; abgerufen am 25.10.2026. Source

In September 2023, the CFTC barred Kalshi's contracts on control of Congress; the district court in Washington vacated that decision on 6 September 2024, and the court of appeals refused a stay on 2 October 2024.

Cited in: Prediction markets as bets on events: what they can and cannot do

Davis et al. (2014) · Private Equity, Jobs, and Productivity

Davis, Steven J.; Haltiwanger, John; Handley, Kyle; Jarmin, Ron; Lerner, Josh; Miranda, Javier. American Economic Review 104 (12), pp. 3956–3990. doi:10.1257/aer.104.12.3956

US buyouts from 1980 to 2005 with 3,200 target firms: small net job losses, but a great deal of job creation and destruction, and higher productivity.

Cited in: Buyout funds and management buyouts: how LBOs, MBOs and MBIs work

Davis et al. (2019) · The (Heterogenous) Economic Effects of Private Equity Buyouts

Davis, Steven J.; Haltiwanger, John; Handley, Kyle; Lipsius, Ben; Lerner, Josh; Miranda, Javier. National Bureau of Economic Research, Working Paper 26371. doi:10.3386/w26371

Employment falls by 13% after buyouts of listed firms and rises by 13% after buyouts of private firms (over two years, relative to comparable firms); the effects depend on credit conditions and the type of buyer.

Cited in: Buyout funds and management buyouts: how LBOs, MBOs and MBIs work

De Bondt and Thaler (1985) · Does the Stock Market Overreact?

De Bondt, Werner F. M.; Thaler, Richard. The Journal of Finance 40 (3), pp. 793–805. doi:10.1111/j.1540-6261.1985.tb05004.x

Past losers outperform past winners over several years, a long-term reversal regarded as evidence of overreaction.

Cited in: Equal weight vs cap weight: weighting, rebalancing and factor tilts · Glossary: Reversal effect

de Zwart et al. (2012) · Private Equity Recommitment Strategies for Institutional Investors

de Zwart, Gerben; Frieser, Brian; van Dijk, Dick. Financial Analysts Journal 68 (3), pp. 81–99. doi:10.2469/faj.v68.n3.1

Dynamic recommitment strategy designed to maintain a strategic private equity allocation: the size of new commitments depends on distributions, outstanding commitments and the current allocation relative to the target.

Cited in: Takahashi-Alexander-Modell: Cashflows von Private-Markets-Fonds planen · Glossary: Commitment pacing

Debevoise & Plimpton (2026) · SFDR 2.0: Recap Briefing

Debevoise & Plimpton LLP. Debevoise & Plimpton LLP, 14.09.2026; abgerufen am 25.10.2026. Source

State of negotiations on the new SFDR in September 2026: the Council's position of June 2026, the mandate of the Parliament's economic affairs committee, and transition periods of 18 or 24 months.

Cited in: ESG ETFs: SFDR, ratings, returns and the limits of sustainable funds

Dechert LLP (2019) · SEC Grants Exemptive Relief to Operate Non-Fully Transparent Active ETFs

Dechert LLP. Dechert LLP, Financial Services Quarterly Report, 1.7.2019; abgerufen am 25.10.2026. Source

Describes the SEC's first approval, on 20 May 2019, of active ETFs without daily disclosure: a confidential account for the authorised participants, a verified indicative value every second, and only securities traded on US exchanges.

Cited in: Active ETFs: how they work and what they deliver · Glossary: Semi-transparent ETF

Demirer et al. (2019) · On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators

Demirer, Riza; Demos, Guilherme; Gupta, Rangan; Sornette, Didier. Quantitative Finance 19 (5), pp. 843–858. doi:10.1080/14697688.2018.1524154

LPPLS confidence for the S&P 500, FTSE and Nikkei: it captures some large bubbles in advance, and short selling and liquidity help to predict bubbles.

Cited in: Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht · Bubble indicator (LPPLS): methodology · Glossary: Qualified fit · Glossary: Negative bubble

Dempster et al. (1977) · Maximum Likelihood from Incomplete Data Via the EM Algorithm

Dempster, A. P.; Laird, N. M.; Rubin, D. B.. Journal of the Royal Statistical Society Series B: Statistical Methodology 39 (1), pp. 1–22. doi:10.1111/j.2517-6161.1977.tb01600.x

The general EM algorithm for estimation with missing or hidden data, such as mixture distributions and hidden Markov models.

Cited in: Regime-Modelle: Hidden Markov, Markov-Switching und Co. · Regime methodology: how the hidden Markov model works · Glossary: EM algorithm

Denis et al. (2003) · S&P 500 Index Additions and Earnings Expectations

Denis, Diane K.; McConnell, John J.; Ovtchinnikov, Alexei V.; Yu, Yun. The Journal of Finance 58 (5), pp. 1821–1840. doi:10.1111/1540-6261.00589

After inclusion in the S&P 500, earnings forecasts and actual earnings rise more than for comparable firms, so inclusion is not an information-free event.

Cited in: Index-Effekt: Was bei Aufnahmen in einen Index und Streichungen mit den Kursen passiert

Deutsche Börse, Xetra Retail Service (2025) · Extended Xetra Retail Service

Deutsche Börse AG. Deutsche Börse (Eurex/Xetra), Initiatives & Releases; abgerufen am 26.10.2026. Source

Launch of extended trading for retail investors on Xetra on 1 December 2025: retail phases before and after the main trading session.

Cited in: Money market ETF or instant-access savings account: rates, safety and tax compared

Deutsche Börse, trading hours (2026) · Handelszeiten und Kalender

Deutsche Börse AG. Deutsche Börse; abgerufen am 26.10.2026. Source

Xetra trades Monday to Friday from 8:00 to 22:00, with an opening auction at 8:55 and a closing auction from 17:30.

Cited in: Money market ETF or instant-access savings account: rates, safety and tax compared

Deutsche Börse, trading parameters (2026) · Handelsparameter Xetra (Stand 18. Mai 2026)

Deutsche Börse AG. Deutsche Börse AG; abgerufen am 25.10.2026. Source

Times of the trading phases on Xetra: call phase of the closing auction from 17:30, auction price at around 17:35, followed by Trade-at-Close; all times are approximate.

Cited in: Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC · Glossary: Closing auction

Deutsche Börse, market model (2026) · Continuous Trading with Auctions

Deutsche Börse AG. Deutsche Börse AG, Beschreibung des Handelsmodells auf Xetra; abgerufen am 25.10.2026. Source

Continuous trading with opening, intraday and closing auctions; the call phase ends at a random point to make manipulation harder.

Cited in: Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC

Deutsche Börse, Trade-at-Close (2026) · Xetra Trade-at-Close (Factsheet, Stand Juli 2026)

Deutsche Börse AG. Deutsche Börse AG; abgerufen am 25.10.2026. Source

After a closing auction with turnover, participants can trade continuously at the closing price for up to five minutes, until 17:40; participation requires an explicit opt-in.

Cited in: Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC

Deutsche Bundesbank (2025) · Household wealth and finances in Germany: Results of the 2023 household wealth survey (Monatsbericht April 2025)

Deutsche Bundesbank. Deutsche Bundesbank, 10.4.2025; abgerufen am 25.10.2026. Source

Results of the 2023 Private Households and their Finances (PHF) study: median net wealth of €103,200 and mean net wealth of €324,800; 42% of households live in their own home.

Cited in: Rent or buy: user cost, purchase costs in 2026 and a 20-year wealth comparison · Your whole wealth: total wealth from portfolio, home, human capital and car

Bundesbank, weekly activity index (2026) · Wöchentlicher Aktivitätsindex für die deutsche Wirtschaft (WAI), Zeitreihe BBDE1.W.DE.Y.WAI.A2N400000.A.N.R00.A und Methodik

Deutsche Bundesbank. Deutsche Bundesbank; abgerufen am 27.10.2026. Source

Experimental weekly index of real economic activity from nine weekly indicators (including electricity, truck tolls, flights, search queries, footfall, air pollutants and card payments), monthly industrial production and GDP; detrended growth rate of the last 13 weeks against the 13 weeks before, published on the first business day of each week.

Cited in: Economic pulse: how Portfolio Lab calculates early indicators · Glossary: Weekly Activity Index (Bundesbank)

Deutsche Rentenversicherung (2025) · Bundeskabinett beschließt Sozialversicherungsrechengrößen 2026 (Meldung vom 8.10.2025)

Deutsche Rentenversicherung Bund. Deutsche Rentenversicherung; abgerufen am 26.10.2026. Source

Reference values for 2026: contribution assessment ceiling of €101,400 for pension insurance (€124,800 in the miners' scheme) and €69,750 for health and long-term care insurance, reference value (Bezugsgröße) of €3,955 per month, provisional average earnings of €51,944.

Cited in: Kinderdepot or parents' account? Tax, gifts, BAföG and family health insurance · Retirement saving in Germany compared: company pension, Rürup, Altersvorsorgedepot and ETF pension insurance versus an ETF savings plan · Glossary: Beitragsbemessungsgrenze (contribution assessment ceiling)

Deutsche Rentenversicherung (2026) · Rentenanpassung 2026: Bundesrat stimmt zu (Meldung vom 12.6.2026)

Deutsche Rentenversicherung Bund. Deutsche Rentenversicherung; abgerufen am 26.10.2026. Source

On 1 July 2026, the current pension value rises by 4.24% from €40.79 to €42.52.

Cited in: Retirement saving in Germany compared: company pension, Rürup, Altersvorsorgedepot and ETF pension insurance versus an ETF savings plan

Deutsche Rentenversicherung (2026) · Frühstart-Rente im Bundestag beschlossen (Meldung vom 19.10.2026)

Deutsche Rentenversicherung Bund. Deutsche Rentenversicherung; abgerufen am 26.10.2026. Source

The Bundestag passed the Frühstart-Rente (early-start pension) on 16 October 2026, but the legislative process is not yet complete; support is due to begin in 2027 for children born in 2020 and 2021.

Cited in: Germany's new equity pension (Aktienrente): Frühstart-Rente, Generationenkapital, Altersvorsorgedepot · Kinderdepot or parents' account? Tax, gifts, BAföG and family health insurance

DRV Knappschaft-Bahn-See (2026) · Die Sozialversicherungsrechengrößen 2026 (Meldung vom 2.1.2026)

Deutsche Rentenversicherung Knappschaft-Bahn-See. Deutsche Rentenversicherung Knappschaft-Bahn-See; abgerufen am 26.10.2026. Source

Contribution rates for 2026: general pension insurance 18.6%, miners' pension insurance 24.7%, unemployment insurance 2.6%.

Cited in: Retirement saving in Germany compared: company pension, Rürup, Altersvorsorgedepot and ETF pension insurance versus an ETF savings plan

UrhG (1965) · Gesetz über Urheberrecht und verwandte Schutzrechte (Urheberrechtsgesetz, UrhG), § 44b Text und Data Mining

Deutscher Bundestag. Bundesgesetzblatt; Fassung auf gesetze-im-internet.de, abgerufen am 25.10.2026. Source

Permits reproductions of lawfully accessible works for text and data mining unless the rightholder has reserved these rights online in machine-readable form; the copies must be deleted afterwards.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Glossary: Web scraping

BetrAVG § 1a (1974) · Gesetz zur Verbesserung der betrieblichen Altersversorgung (Betriebsrentengesetz, BetrAVG), § 1a Anspruch auf betriebliche Altersversorgung durch Entgeltumwandlung

Deutscher Bundestag. zuletzt geändert durch Art. 9 Abs. 2 des Gesetzes vom 25.9.2026 (BGBl. 2026 I Nr. 275); Fassung auf gesetze-im-internet.de, abgerufen am 26.10.2026. Source

Employees are entitled to deferred compensation (Entgeltumwandlung) of up to 4% of the contribution assessment ceiling; the employer must add 15% of the converted pay to the extent that it saves social security contributions.

Cited in: Retirement saving in Germany compared: company pension, Rürup, Altersvorsorgedepot and ETF pension insurance versus an ETF savings plan · Glossary: Entgeltumwandlung (salary sacrifice)

§ 376 AO (1976) · Abgabenordnung (AO), § 376 Verfolgungsverjährung (geltende Fassung)

Deutscher Bundestag. Bundesgesetzblatt; Fassung auf gesetze-im-internet.de, abgerufen am 25.10.2026. Source

For particularly serious cases of tax evasion, the limitation period is 15 years, with an absolute limit of two and a half times that period.

Cited in: Cum-ex and cum-cum: how the dividend trades worked and what applies today

SGB V (1988) · Fünftes Buch Sozialgesetzbuch – Gesetzliche Krankenversicherung (SGB V), §§ 10, 226, 229, 241 und 248

Deutscher Bundestag. zuletzt geändert durch Art. 1 des Gesetzes vom 26.6.2026 (BGBl. 2026 I Nr. 195); Fassung auf gesetze-im-internet.de, abgerufen am 26.10.2026. Source

Family insurance applies up to a total income of one seventh of the reference value (Bezugsgröße) per month; occupational pensions are pension-type income (Versorgungsbezüge) subject to the full contribution rate of 14.6% plus the additional contribution, with an allowance of one twentieth of the reference value; lump-sum payments are spread over ten years at one hundred-and-twentieth per month.

Cited in: Kinderdepot or parents' account? Tax, gifts, BAföG and family health insurance · Retirement saving in Germany compared: company pension, Rürup, Altersvorsorgedepot and ETF pension insurance versus an ETF savings plan · Glossary: Familienversicherung (family health insurance)

BewG (1991) · Bewertungsgesetz (BewG), § 11 (Wertpapiere und Anteile), § 14 (lebenslängliche Nutzungen) und § 16 (Begrenzung des Jahreswerts)

Deutscher Bundestag. Neufassung vom 1.2.1991, zuletzt geändert durch Art. 19 des Gesetzes vom 22.6.2026 (BGBl. 2026 I Nr. 192); Fassung auf gesetze-im-internet.de, abgerufen am 26.10.2026. Source

Listed securities are valued at the lowest price on the valuation date and fund units at the redemption price; lifelong usufructs are valued with a multiplier from the life table, with the annual value capped at the asset's value divided by 18.6.

Cited in: Inheriting or gifting a portfolio: inheritance and gift tax, valuation and gifting in tranches · Glossary: Usufruct (Nießbrauch)

SolZG (1993) · Solidaritätszuschlaggesetz 1995 (SolZG 1995), §§ 3 und 4

Deutscher Bundestag. Fassung auf gesetze-im-internet.de, abgerufen am 25.10.2026. Source

A solidarity surcharge of 5.5% is also levied on assessed corporate income tax; the exemption threshold only applies to persons liable to income tax.

Cited in: Kinderdepot or parents' account? Tax, gifts, BAföG and family health insurance · Asset-holding GmbH (vermögensverwaltende GmbH): when does it pay off? Taxes, costs and break-even

InsO (1994) · Insolvenzordnung (InsO), § 217 (Grundsatz des Insolvenzplans) und § 245 (Obstruktionsverbot)

Deutscher Bundestag. Fassung auf gesetze-im-internet.de bzw. lexetius.com; abgerufen am 25.10.2026. Source

An insolvency plan can provide for the satisfaction of creditors in a way that departs from the statutory rules; a dissenting group is deemed to consent if it is no worse off than without the plan and receives an appropriate share.

Cited in: Distressed debt: strategies, insolvency law, recovery rates and returns when investing in crises

ErbStG (1997) · Erbschaftsteuer- und Schenkungsteuergesetz (ErbStG), §§ 7, 10, 14, 15, 16, 17, 19, 29, 30 und 33

Deutscher Bundestag. Neufassung vom 27.2.1997, zuletzt geändert durch Art. 10 des Gesetzes vom 22.6.2026 (BGBl. 2026 I Nr. 192); Fassung auf gesetze-im-internet.de, abgerufen am 26.10.2026. Source

Tax classes, personal allowances (children €400,000, grandchildren €200,000, tax classes II and III €20,000), aggregation of acquisitions within ten years, tax rates with hardship relief, a flat allowance for estate costs of €15,000, and reporting obligations for recipients and banks.

Cited in: Kinderdepot or parents' account? Tax, gifts, BAföG and family health insurance · Inheriting or gifting a portfolio: inheritance and gift tax, valuation and gifting in tranches · Glossary: Ten-year rule (gift tax) · Glossary: Usufruct (Nießbrauch)

GrEStG (1997) · Grunderwerbsteuergesetz (GrEStG), § 3 (Ausnahmen) und § 11 (Steuersatz)

Deutscher Bundestag. Neufassung vom 26.2.1997, zuletzt geändert durch Art. 9 des Gesetzes vom 29.6.2026 (BGBl. 2026 I Nr. 197); Fassung auf gesetze-im-internet.de, abgerufen am 26.10.2026. Source

Federal tax rate of 3.5%, which the states can raise by their own laws; acquisitions on death, gifts, transfers between spouses and transfers to relatives in direct line are exempt.

Cited in: Rent or buy: user cost, purchase costs in 2026 and a 20-year wealth comparison · Glossary: Real estate transfer tax (Grunderwerbsteuer)

WpHG § 119 (1998) · Gesetz über den Wertpapierhandel (Wertpapierhandelsgesetz, WpHG), § 119 Strafvorschriften

Deutscher Bundestag. Bundesgesetzblatt; Fassung auf gesetze-im-internet.de, abgerufen am 25.10.2026. Source

Criminal provisions: market manipulation that affects the exchange or market price (para. 1) and insider dealing, recommending it and unlawful disclosure (para. 3) are punishable by imprisonment of up to five years or a fine, and manipulation on a commercial basis or as part of a gang by one to ten years; attempts are punishable.

Cited in: Pump and dump and penny stocks: how the scam works · Insider trading: what is prohibited, what is allowed and what directors' dealings reveal · Glossary: Market manipulation

WpHG § 120 (1998) · Gesetz über den Wertpapierhandel (Wertpapierhandelsgesetz, WpHG), § 120 Bußgeldvorschriften (Neufassung vom 9.9.1998, zuletzt geändert am 26.5.2026)

Deutscher Bundestag. Wortlaut auf lxgesetze.de, abgerufen am 25.10.2026. Source

Under § 120(15), intentional or reckless breaches of Art. 17 (ad hoc disclosure), Art. 18 (insider lists) and Art. 19 MAR (reporting, publication, closed period before financial reports) are administrative offences.

Cited in: Insider trading: what is prohibited, what is allowed and what directors' dealings reveal

KStG (2002) · Körperschaftsteuergesetz (KStG), §§ 8, 8b, 23 und 27 (Ermittlung des Einkommens und verdeckte Gewinnausschüttung, Beteiligung an anderen Körperschaften, Steuersatz, steuerliches Einlagekonto)

Deutscher Bundestag. Neufassung vom 15.10.2002, zuletzt geändert durch Art. 30 des Gesetzes vom 4.2.2026 (BGBl. 2026 I Nr. 33); Fassung auf gesetze-im-internet.de, abgerufen am 25.10.2026. Source

Corporate income tax of 15% until 2027, then one point less each year down to 10% from 2032; dividends and capital gains on shares are disregarded, with 5% treated as non-deductible expenses, while dividends from holdings below 10% at the start of the calendar year are fully taxable; payments reduce the tax contribution account only to the extent that they exceed distributable profit.

Cited in: Asset-holding GmbH (vermögensverwaltende GmbH): when does it pay off? Taxes, costs and break-even · Glossary: Asset-holding GmbH (vermögensverwaltende GmbH) · Glossary: Streubesitzdividende (dividend from a small holding) · Glossary: Verdeckte Gewinnausschüttung (hidden profit distribution)

GewStG (2002) · Gewerbesteuergesetz (GewStG), §§ 2, 8 Nr. 5, 9 Nr. 1 und 2a, 11, 16 und 36

Deutscher Bundestag. Neufassung vom 15.10.2002, zuletzt geändert durch Art. 8 des Gesetzes vom 29.6.2026 (BGBl. 2026 I Nr. 197); Fassung auf gesetze-im-internet.de, abgerufen am 25.10.2026. Source

The activity of corporations always counts as a trade or business; base rate of 3.5%, municipal multiplier (Hebesatz) of at least 280% from the 2027 assessment period; tax-exempt dividends are added back where there is no qualifying holding, a deduction applies to holdings of at least 15%, and an extended deduction applies to companies that only manage their own real estate (and, alongside it, their own capital assets).

Cited in: Asset-holding GmbH (vermögensverwaltende GmbH): when does it pay off? Taxes, costs and break-even · Glossary: Asset-holding GmbH (vermögensverwaltende GmbH) · Glossary: Gewerbesteuer (trade tax)

REIT Act (2007) · Gesetz über deutsche Immobilien-Aktiengesellschaften mit börsennotierten Anteilen (REIT-Gesetz – REITG), §§ 1, 3, 13 und 16

Deutscher Bundestag. Bundesgesetzblatt; Fassung auf gesetze-im-internet.de, abgerufen am 25.10.2026. Source

German REIT AG since 2007: no domestic residential rental properties built before 2007, distribution of at least 90% of annual net income, and exemption from corporate income tax and trade tax.

Cited in: Real estate as an investment: rental flat, REITs, open-ended funds and private real estate · Glossary: REIT

EStG § 23 (2009) · Einkommensteuergesetz (EStG), § 23 Private Veräußerungsgeschäfte

Deutscher Bundestag. Bundesgesetzblatt; Fassung auf gesetze-im-internet.de, abgerufen am 25.10.2026. Source

Gains from selling land within ten years are taxable, except for owner-occupied property.

Cited in: Rent or buy: user cost, purchase costs in 2026 and a 20-year wealth comparison · Collectibles as an investment: what art, wine, watches and classic cars really return · Crypto in institutional portfolios: access, custody, regulation and risk budget · Real estate as an investment: rental flat, REITs, open-ended funds and private real estate · Your whole wealth: total wealth from portfolio, home, human capital and car · Glossary: Owner-occupied home

EStG § 3 No. 40 (2009) · Einkommensteuergesetz (EStG), § 3 Nr. 40 (Teileinkünfteverfahren)

Deutscher Bundestag. Fassung auf gesetze-im-internet.de, abgerufen am 25.10.2026. Source

40% of income within the meaning of § 20 (1) no. 1 EStG is tax-exempt where the partial income method applies instead of the flat-rate withholding tax (Abgeltungsteuer).

Cited in: Asset-holding GmbH (vermögensverwaltende GmbH): when does it pay off? Taxes, costs and break-even · Glossary: Teileinkünfteverfahren (partial income method)

EStG § 21 (2009) · Einkommensteuergesetz (EStG), § 21 Vermietung und Verpachtung

Deutscher Bundestag. Fassung auf buzer.de, abgerufen am 25.10.2026. Source

Income from renting out land, buildings and parts of buildings is a separate category of income.

Cited in: Real estate as an investment: rental flat, REITs, open-ended funds and private real estate

EStG (2009) · Einkommensteuergesetz (EStG), § 20 (Kapitalvermögen) und § 32d (Abgeltungsteuer)

Deutscher Bundestag. Bundesgesetzblatt; Fassung auf gesetze-im-internet.de. Source

Flat-rate withholding tax (Abgeltungsteuer) of 25% on investment income, the saver's allowance (Sparer-Pauschbetrag) and loss offsetting.

Cited in: Accumulating or distributing: which ETF suits you better? · Flat-rate tax, partial exemption and saver's allowance for ETFs in Germany · Kinderdepot or parents' account? Tax, gifts, BAföG and family health insurance · Money market ETF or instant-access savings account: rates, safety and tax compared · Asset-holding GmbH (vermögensverwaltende GmbH): when does it pay off? Taxes, costs and break-even · FIRE (Financial Independence, Retire Early): Lean, Fat, Coast and Barista FIRE · Inheriting or gifting a portfolio: inheritance and gift tax, valuation and gifting in tranches · Leverage in a portfolio: return, risk, costs and margin calls · Real estate as an investment: rental flat, REITs, open-ended funds and private real estate · Retirement saving in Germany compared: company pension, Rürup, Altersvorsorgedepot and ETF pension insurance versus an ETF savings plan · Saving tax on your portfolio: loss offsetting, exemption order, Günstigerprüfung and tax-loss harvesting · Stock market seasonality: Sell in May, the January effect and how to test calendar effects · Withholding tax on dividends: tax credit, refunds and fund domicile · Taxes in the backtest: how Portfolio Lab calculates flat-rate tax and Vorabpauschale · Financial goals methodology: how Portfolio Lab simulates a life plan · Methodology of the free calculators: Vorabpauschale, savings plan, withdrawal and leveraged ETF · Glossary: Withholding tax credit · Glossary: Teileinkünfteverfahren (partial income method) · Glossary: Kapitalertragsteuer (investment income tax) · Glossary: Günstigerprüfung (most-favourable assessment) · Glossary: Loss certificate (Verlustbescheinigung) · Glossary: Ersatzbemessungsgrundlage (substitute tax base)

EStG § 32a (2009) · Einkommensteuergesetz (EStG), § 32a Einkommensteuertarif (Fassung ab dem Veranlagungszeitraum 2026)

Deutscher Bundestag. Neufassung vom 8.10.2009, zuletzt geändert durch Art. 1 des Gesetzes vom 15.10.2026 (BGBl. 2026 I Nr. 307); Fassung auf gesetze-im-internet.de, abgerufen am 26.10.2026. Source

Tax schedule from 2026: basic allowance of €12,348, progressive zones up to €17,799 and €69,878, then 42% and 45% from €277,826.

Cited in: Kinderdepot or parents' account? Tax, gifts, BAföG and family health insurance · Saving tax on your portfolio: loss offsetting, exemption order, Günstigerprüfung and tax-loss harvesting · Glossary: Grundfreibetrag (basic tax-free allowance)

EStG §§ 10, 10a, 10c (2009) · Einkommensteuergesetz (EStG), § 10 (Sonderausgaben, Basisrente, Höchstbetrag), § 10a (zusätzliche Altersvorsorge) und § 10c (Sonderausgaben-Pauschbetrag)

Deutscher Bundestag. Fassung auf gesetze-im-internet.de, abgerufen am 26.10.2026. Source

Contributions to a Basisrente (Rürup pension) are deductible up to the maximum contribution to the miners' pension insurance (knappschaftliche Rentenversicherung), at 100% since 2023, less statutory pension contributions; the pension may not start before age 62 and must not be heritable, transferable, pledgeable or convertible into a lump sum; the lump-sum allowance for special expenses (Sonderausgaben-Pauschbetrag) is €36.

Cited in: Kinderdepot or parents' account? Tax, gifts, BAföG and family health insurance · Retirement saving in Germany compared: company pension, Rürup, Altersvorsorgedepot and ETF pension insurance versus an ETF savings plan · Glossary: Basisrente (Rürup pension)

EStG § 22 (2009) · Einkommensteuergesetz (EStG), § 22 Arten der sonstigen Einkünfte (Besteuerungsanteil, Ertragsanteil, Leistungen aus Altersvorsorgeverträgen und betrieblicher Altersversorgung)

Deutscher Bundestag. Fassung auf gesetze-im-internet.de, abgerufen am 26.10.2026. Source

Taxable portion of pensions from basic provision (Basisversorgung): 84% for pensions starting in 2026, 0.5 percentage points more for each later starting year, 100% from 2058; the income portion (Ertragsanteil) of private life annuities depends on age when payments begin (65: 18%, 67: 17%); benefits under No. 5 are fully taxable.

Cited in: Retirement saving in Germany compared: company pension, Rürup, Altersvorsorgedepot and ETF pension insurance versus an ETF savings plan · Glossary: Basisrente (Rürup pension) · Glossary: Deferred taxation · Glossary: Ertragsanteil (taxable income portion)

EStG § 3 No. 63 (2009) · Einkommensteuergesetz (EStG), § 3 Nr. 63 (steuerfreie Beiträge an Pensionsfonds, Pensionskassen und Direktversicherungen)

Deutscher Bundestag. Fassung auf gesetze-im-internet.de, abgerufen am 26.10.2026. Source

Employer contributions to funded occupational pension schemes are tax-free up to 8% of the contribution assessment ceiling of the general statutory pension insurance per year.

Cited in: Retirement saving in Germany compared: company pension, Rürup, Altersvorsorgedepot and ETF pension insurance versus an ETF savings plan · Glossary: Entgeltumwandlung (salary sacrifice)

EStG §§ 43, 43a, 44a (2009) · Einkommensteuergesetz (EStG), § 43 (Kapitalerträge mit Steuerabzug), § 43a (Bemessung der Kapitalertragsteuer) und § 44a (Abstandnahme vom Steuerabzug)

Deutscher Bundestag. Fassung auf gesetze-im-internet.de, abgerufen am 26.10.2026. Source

A transfer of securities to a different account holder counts as a sale unless it is reported as gratuitous; acquisition data move with the securities when you switch brokers; loss certificate on request by 15 December; exemption order (Freistellungsauftrag) and non-assessment certificate (Nichtveranlagungs-Bescheinigung, valid for at most three years).

Cited in: Kinderdepot or parents' account? Tax, gifts, BAföG and family health insurance · Inheriting or gifting a portfolio: inheritance and gift tax, valuation and gifting in tranches · Saving tax on your portfolio: loss offsetting, exemption order, Günstigerprüfung and tax-loss harvesting · Glossary: Securities account transfer

EStG §§ 32, 66 (2009) · Einkommensteuergesetz (EStG), § 32 (Kinder, Freibeträge für Kinder) und § 66 (Höhe des Kindergeldes)

Deutscher Bundestag. Fassung auf gesetze-im-internet.de, abgerufen am 26.10.2026. Source

Child benefit (Kindergeld) of €259 per month per child; adult children in education or training count until age 25, and after a first qualification only employment of more than 20 hours a week disqualifies them. The child's own income plays no role.

Cited in: Kinderdepot or parents' account? Tax, gifts, BAföG and family health insurance

BAföG (2010) · Bundesausbildungsförderungsgesetz (BAföG), §§ 11, 28, 29, 30 und 50

Deutscher Bundestag. Neufassung vom 7.12.2010, zuletzt geändert durch Art. 11 Abs. 1 des Gesetzes vom 16.4.2026 (BGBl. 2026 I Nr. 107); Fassung auf gesetze-im-internet.de, abgerufen am 26.10.2026. Source

The student's own income and assets and the parents' income are taken into account; assets above €15,000 (€45,000 from age 30) reduce the assessed need, spread over the months of the award period, which is usually one year.

Cited in: Kinderdepot or parents' account? Tax, gifts, BAföG and family health insurance

HGB §§ 267a, 326 (2012) · Handelsgesetzbuch (HGB), § 267a (Kleinstkapitalgesellschaften) und § 326 (Offenlegung bei Kleinstkapitalgesellschaften)

Deutscher Bundestag. Fassung auf gesetze-im-internet.de, abgerufen am 25.10.2026. Source

Micro-entities (not exceeding two of three thresholds: €450,000 total assets, €900,000 revenue, ten employees) only have to submit their balance sheet; pure holding companies do not qualify.

Cited in: Asset-holding GmbH (vermögensverwaltende GmbH): when does it pay off? Taxes, costs and break-even

KAGB § 92 (2013) · Kapitalanlagegesetzbuch (KAGB), § 92 (Sondervermögen) und § 99 Abs. 3 (Sondervermögen nicht in der Insolvenzmasse)

Deutscher Bundestag. Fassung auf gesetze-im-internet.de; abgerufen am 25.10.2026. Source

A fund's assets (Sondervermögen) must be kept separate from the assets of the management company and do not form part of its insolvency estate.

Cited in: Money market ETF or instant-access savings account: rates, safety and tax compared · Counterparty and issuer risk: CVA, ETCs, certificates and swaps

KAGB § 284 (2013) · Kapitalanlagegesetzbuch (KAGB), § 284 Anlagebedingungen, Anlagegrenzen (offene inländische Spezial-AIF mit festen Anlagebedingungen)

Deutscher Bundestag. Fassung und Fassungshistorie auf lexetius.com (Abs. 3 seit 02.08.2021); abgerufen am 25.10.2026. Source

An open-ended domestic special AIF with fixed investment conditions may invest up to 20% of its value in crypto assets, provided their market value can be determined.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

KAGB (2013) · Kapitalanlagegesetzbuch (KAGB), §§ 101, 103 und 107 (Jahresbericht, Halbjahresbericht, Veröffentlichung)

Deutscher Bundestag. Bundesgesetzblatt; Fassung abgerufen über gesetze.legal am 25.10.2026. Source

Contents of the annual report of a German investment fund (Sondervermögen), namely the statement of assets, income and expense statement, changes in net assets, comparison of the last three financial years and total expense ratio, and deadlines for publication in the Federal Gazette (Bundesanzeiger).

Cited in: Portfolio reporting: how to report return, risk, attribution and costs properly

KAGB (2013) · Kapitalanlagegesetzbuch (KAGB), §§ 251, 253, 255 und 257 (Bewertung, Liquidität, Rücknahme und Aussetzung bei Immobilien-Sondervermögen)

Deutscher Bundestag. Fassung auf gesetze.legal nach dem Fondsrisikobegrenzungsgesetz vom 9.4.2026; abgerufen am 25.10.2026. Source

Open-ended real estate funds: valuation within three months, at least 5% of fund assets available for redemptions, redemption only after a minimum holding period of 24 months with a twelve-month notice period, and suspension for up to 36 months followed by liquidation.

Cited in: Real estate as an investment: rental flat, REITs, open-ended funds and private real estate · Liquiditätsrisiko: Marktliquidität messen, Liquiditätsprämien und die Werkzeuge offener Fonds · Glossary: Suspension of redemptions · Glossary: Offener Immobilienfonds (open-ended real estate fund)

EinSiG § 8 (2015) · Einlagensicherungsgesetz (EinSiG), § 8 (Höhe des Entschädigungsanspruchs)

Deutscher Bundestag. Fassung auf gesetze-im-internet.de; abgerufen am 26.10.2026. Source

Statutory deposit protection up to €100,000 per depositor and bank; up to €500,000 for six months for certain credits such as the proceeds from selling an owner-occupied home.

Cited in: Money market ETF or instant-access savings account: rates, safety and tax compared · Glossary: Instant-access savings account (Tagesgeld) · Glossary: Deposit insurance

EinSiG (2015) · Einlagensicherungsgesetz (EinSiG), § 6 (Nicht entschädigungsfähige Einlagen)

Deutscher Bundestag. Fassung auf gesetze-im-internet.de; abgerufen am 25.10.2026. Source

Bonds issued by a credit institution are excluded from statutory deposit protection (except registered bonds that count as deposits).

Cited in: Counterparty and issuer risk: CVA, ETCs, certificates and swaps · Glossary: Issuer risk

InvStG § 17 (2016) · Investmentsteuergesetz (InvStG), § 17 (Erträge bei Abwicklung eines Investmentfonds)

Deutscher Bundestag. Fassung auf gesetze-im-internet.de; abgerufen am 26.10.2026. Source

While a fund is being wound up, distributions are tax-free return of capital only to the extent that the redemption price is below the amortised acquisition cost, and for no more than ten calendar years.

Cited in: Thematic ETFs and hype: what studies, costs and overlaps reveal

ErbStG § 13b (2016) · Erbschaftsteuer- und Schenkungsteuergesetz (ErbStG), § 13b Begünstigtes Vermögen

Deutscher Bundestag. Fassung auf gesetze-im-internet.de, abgerufen am 25.10.2026. Source

Business assets are entirely ineligible for relief if administrative assets make up at least 90% of the assets that would otherwise qualify.

Cited in: Asset-holding GmbH (vermögensverwaltende GmbH): when does it pay off? Taxes, costs and break-even

GWB § 116 (2016) · Gesetz gegen Wettbewerbsbeschränkungen (GWB), § 116 Besondere Ausnahmen

Deutscher Bundestag. Fassung auf gesetze-im-internet.de, abgerufen am 25.10.2026. Source

The public procurement rules of the GWB (Act against Restraints of Competition) do not apply to public contracts for financial services in connection with the issue, sale, purchase or transfer of securities or other financial instruments.

Cited in: RFP and mandate awards: how institutional investors select asset managers

§ 36a EStG (2016) · Einkommensteuergesetz (EStG), § 36a Beschränkung der Anrechenbarkeit der Kapitalertragsteuer (eingeführt durch das Investmentsteuerreformgesetz vom 19. Juli 2016, BGBl. I S. 1730; Anwendung nach § 52 Abs. 35c EStG)

Deutscher Bundestag. Bundesgesetzblatt; Fassung auf gesetze-im-internet.de, abgerufen am 25.10.2026. Source

Withholding tax on dividends can be credited in full only with 45 days of beneficial ownership, 70% of the price risk and no obligation to pass on the dividend; otherwise three fifths cannot be credited; exceptions up to €20,000 and for a holding period of one year.

Cited in: Cum-ex and cum-cum: how the dividend trades worked and what applies today · Glossary: Cum-cum trades

InvStG (2016) · Investmentsteuergesetz (InvStG), §§ 16, 18, 19 und 20 (Investmenterträge, Vorabpauschale, Veräußerung, Teilfreistellung)

Deutscher Bundestag. Bundesgesetzblatt; Fassung auf gesetze-im-internet.de. Source

Has governed the taxation of investment funds since 2018: Vorabpauschale (advance lump-sum taxation) at 70% of the base rate, partial exemption (Teilfreistellung) of 30% for equity funds and 15% for mixed funds.

Cited in: Accumulating or distributing: which ETF suits you better? · Flat-rate tax, partial exemption and saver's allowance for ETFs in Germany · Money market ETF or instant-access savings account: rates, safety and tax compared · Vorabpauschale: how it is calculated · Asset-holding GmbH (vermögensverwaltende GmbH): when does it pay off? Taxes, costs and break-even · Dividend strategies and dividend ETFs under scrutiny: irrelevance, taxes, factors · ELTIFs: private markets for private investors under the ELTIF 2.0 rules · FIRE (Financial Independence, Retire Early): Lean, Fat, Coast and Barista FIRE · Real estate as an investment: rental flat, REITs, open-ended funds and private real estate · Saving tax on your portfolio: loss offsetting, exemption order, Günstigerprüfung and tax-loss harvesting · Stock market seasonality: Sell in May, the January effect and how to test calendar effects · Withholding tax on dividends: tax credit, refunds and fund domicile · Taxes in the backtest: how Portfolio Lab calculates flat-rate tax and Vorabpauschale · Financial goals methodology: how Portfolio Lab simulates a life plan · Methodology of the free calculators: Vorabpauschale, savings plan, withdrawal and leveraged ETF · Glossary: Basisertrag (base return) · Glossary: Deemed receipt of the Vorabpauschale · Glossary: Vorabpauschale in the year of purchase · Glossary: Capital gain · Glossary: Equity fund (for tax purposes) · Glossary: Mixed fund (for tax purposes) · Glossary: Real estate fund (for tax purposes) · Glossary: Investment income (Investmenterträge)

German Bundestag (2017) · Cum/Ex-Ausschuss übergibt Abschlussbericht an Norbert Lammert (Bericht des 4. Untersuchungsausschusses, Drucksache 18/12700)

Deutscher Bundestag. Deutscher Bundestag, Textarchiv vom 20.06.2017; abgerufen am 25.10.2026. Source

The committee considers cum-ex to have always been unlawful, assumes damage of about one billion euros and considers the order of magnitude impossible to estimate reliably.

Cited in: Cum-ex and cum-cum: how the dividend trades worked and what applies today

StaRUG (2020) · Unternehmensstabilisierungs- und -restrukturierungsgesetz (StaRUG), §§ 25–29

Deutscher Bundestag. BGBl. I S. 3256, in Kraft seit 1.1.2021; Fassung auf gesetze-im-internet.de und buzer.de, abgerufen am 25.10.2026. Source

A restructuring framework for impending illiquidity: plan adoption with three quarters of the voting rights in each group, a cross-class cram-down, and the absolute priority rule with limited exceptions.

Cited in: Distressed debt: strategies, insolvency law, recovery rates and returns when investing in crises · Glossary: Absolute priority rule

Bundestag, Altersvorsorgedepot (2026) · Bundestag beschließt das Altersvorsorgedepot (Textarchiv, Sitzung vom 27.3.2026; Drucksachen 21/4088, 21/4996)

Deutscher Bundestag. Deutscher Bundestag; abgerufen am 25.10.2026. Source

Pension reform act (Altersvorsorgereformgesetz) passed with the votes of the CDU/CSU and SPD: an Altersvorsorgedepot (retirement investment account) with stocks, funds and ETFs replaces Riester, while the special expense deduction and deferred taxation remain.

Cited in: Germany's new equity pension (Aktienrente): Frühstart-Rente, Generationenkapital, Altersvorsorgedepot · Retirement saving in Germany compared: company pension, Rürup, Altersvorsorgedepot and ETF pension insurance versus an ETF savings plan · Glossary: Altersvorsorgedepot (retirement savings account)

Bundestag, Frühstartrente (2026) · Bundestag beschließt die Frühstartrente (Textarchiv, Sitzung vom 16.10.2026; Drucksachen 21/7864, 21/8296)

Deutscher Bundestag. Deutscher Bundestag; abgerufen am 25.10.2026. Source

Frühstartrente passed in the version amended by the Finance Committee: €10 a month for children aged 6 to 18 into an Altersvorsorgedepot, starting with children born in 2020, payout generally not before 65, investment income tax-free until payout.

Cited in: Germany's new equity pension (Aktienrente): Frühstart-Rente, Generationenkapital, Altersvorsorgedepot · Kinderdepot or parents' account? Tax, gifts, BAföG and family health insurance · Glossary: Frühstart-Rente (early start pension)

KAGB (2026) · Kapitalanlagegesetzbuch (KAGB), § 30a Auswahl von Liquiditätsmanagementinstrumenten (eingefügt durch das Fondsrisikobegrenzungsgesetz vom 9.4.2026, BGBl. 2026 I Nr. 97)

Deutscher Bundestag. In Kraft seit 16.4.2026; Normtext auf dejure.org, abgerufen am 26.10.2026. Source

Management companies must select at least two suitable liquidity management tools for each open-ended investment fund from the lists in the UCITS or AIFM Directive, and these may not be just swing pricing and dual pricing; for money market funds, one is enough.

Cited in: Liquiditätsrisiko: Marktliquidität messen, Liquiditätsprämien und die Werkzeuge offener Fonds · Glossary: Liquidity management tool

KAGB (2026) · Kapitalanlagegesetzbuch (KAGB), § 98 Ausgabe und Rückgabe von Anteilen; Liquiditätsmanagementinstrumente (Fassung nach dem Fondsrisikobegrenzungsgesetz vom 9.4.2026)

Deutscher Bundestag. gesetze-im-internet.de, abgerufen am 26.10.2026. Source

Redemption at least twice a month, notice periods under the fund rules, suspension in exceptional circumstances or on BaFin's order, redemption in kind for professional investors and the side-pocketing of illiquid assets.

Cited in: Liquiditätsrisiko: Marktliquidität messen, Liquiditätsprämien und die Werkzeuge offener Fonds · Glossary: Suspension of redemptions

heute im bundestag (2026) · Reform der privaten Altersvorsorge zugestimmt (hib-Kurzmeldung aus dem Finanzausschuss vom 25.3.2026)

Deutscher Bundestag. Deutscher Bundestag; abgerufen am 26.10.2026. Source

The Finance Committee lowers the effective cost cap of the standard portfolio from the planned 1.5% to 1% and restructures the basic subsidy (Grundzulage) as 50% of contributions up to €360 and 25% up to €1,800.

Cited in: Retirement saving in Germany compared: company pension, Rürup, Altersvorsorgedepot and ETF pension insurance versus an ETF savings plan

GmbHG (1892) · Gesetz betreffend die Gesellschaften mit beschränkter Haftung (GmbHG), §§ 2, 5, 7, 13 und 30

Deutscher Reichstag. Fassung auf gesetze-im-internet.de, abgerufen am 25.10.2026. Source

Notarised articles of association, minimum share capital of €25,000, at least half paid in before registration, liability limited to the company's assets, and a ban on paying out the assets needed to maintain the share capital.

Cited in: Asset-holding GmbH (vermögensverwaltende GmbH): when does it pay off? Taxes, costs and break-even

BGB (1896) · Bürgerliches Gesetzbuch (BGB), §§ 2, 168, 430, 518, 528–530, 656a–656d, 672, 1626, 1629, 1642, 1649 und 2325

Deutscher Reichstag. Neufassung vom 2.1.2002, zuletzt geändert durch Art. 6 des Gesetzes vom 23.7.2026 (BGBl. 2026 I Nr. 226); Fassung auf gesetze-im-internet.de, abgerufen am 26.10.2026. Source

Age of majority, powers of attorney and mandates that continue beyond death, joint creditors, the form and reclaiming of gifts, broker fees when buying a home, parental management of a child's assets, and the supplement to the compulsory share (Pflichtteilsergänzung).

Cited in: Kinderdepot or parents' account? Tax, gifts, BAföG and family health insurance · Rent or buy: user cost, purchase costs in 2026 and a 20-year wealth comparison · Inheriting or gifting a portfolio: inheritance and gift tax, valuation and gifting in tranches

SPIVA Europe (2026) · SPIVA Europe Year-End 2025

Di Gioia, Davide; Edwards, Tim; Smith, Euan; Malinowski, Agatha. S&P Dow Jones Indices, 19.03.2026; abgerufen am 25.10.2026. Source

Compares active funds in Europe with benchmarks over 1 to 10 years, including fund survival rates.

Cited in: Stock picking: why individual stocks are so hard to get right

Dichev (2007) · What Are Stock Investors' Actual Historical Returns? Evidence from Dollar-Weighted Returns

Dichev, Ilia D. American Economic Review 97 (1), pp. 386–401. doi:10.1257/aer.97.1.386

Compares the returns of securities with investors' dollar-weighted returns: because of the timing of investors' inflows and outflows, the latter are systematically lower in almost all major markets.

Cited in: CAGR: how to calculate the average annual return correctly · How to backtest an ETF portfolio: a guide to portfolio backtesting · Market timing: can you pick the right moment? · Savings plan or lump sum: invest a large amount at once or in instalments? · Equity risk premium: how much more equities return and why it is a puzzle · Portfolio reporting: how to report return, risk, attribution and costs properly · Time-weighted and money-weighted return: what measures what? · Backtest methodology: data, process, rebalancing and costs · Glossary: Money-weighted return · Glossary: Investor return gap

Dick-Nielsen et al. (2012) · Corporate bond liquidity before and after the onset of the subprime crisis

Dick-Nielsen, Jens; Feldhütter, Peter; Lando, David. Journal of Financial Economics 103 (3), pp. 471–492. doi:10.1016/j.jfineco.2011.10.009

The illiquidity component of corporate bond yield spreads rose sharply with the onset of the subprime crisis, slowly and persistently for investment grade, and more strongly but more briefly for high-yield bonds.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing

Dickey and Fuller (1979) · Distribution of the Estimators for Autoregressive Time Series with a Unit Root

Dickey, David A.; Fuller, Wayne A.. Journal of the American Statistical Association 74 (366a), pp. 427–431. doi:10.1080/01621459.1979.10482531

A unit root test (Dickey-Fuller): is a time series stationary or a random walk?

Cited in: Prognosemodelle für Renditen: ARIMA, GARCH, LSTM und Machine Learning · Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht · Asset analysis: methodology from correlation to cointegration · Glossary: Unit root · Glossary: Augmented Dickey-Fuller test

Diebold and Mariano (1995) · Comparing Predictive Accuracy

Diebold, Francis X.; Mariano, Roberto S.. Journal of Business & Economic Statistics 13 (3), pp. 253–263. doi:10.1080/07350015.1995.10524599

A test of whether two forecasts are equally accurate, with any loss function and with autocorrelated, non-normal errors.

Cited in: Prognosemodelle für Renditen: ARIMA, GARCH, LSTM und Machine Learning · Glossary: Diebold-Mariano test

Diebold and Li (2006) · Forecasting the term structure of government bond yields

Diebold, Francis X.; Li, Canlin. Journal of Econometrics 130 (2), pp. 337–364. doi:10.1016/j.jeconom.2005.03.005

Makes the Nelson-Siegel model dynamic: level, slope and curvature of the yield curve as time series that can be forecast.

Cited in: Yield curve: what the term structure reveals and why an inverted curve is seen as a warning sign

Diether et al. (2009) · Short-Sale Strategies and Return Predictability

Diether, Karl B.; Lee, Kuan-Hui; Werner, Ingrid M.. Review of Financial Studies 22 (2), pp. 575–607. doi:10.1093/rfs/hhn047

US short-selling data for 2005: short sales make up a large part of volume, and short sellers trade after price rises and correctly predict negative abnormal returns.

Cited in: Short selling, hedge funds and hedging: types and how they work

Dimson et al. (2002) · Triumph of the Optimists: 101 Years of Global Investment Returns

Dimson, Elroy; Marsh, Paul; Staunton, Mike. Princeton University Press.

Returns on equities, bonds and money market instruments in 16 countries over 101 years; the basis of many estimates of risk premiums.

Cited in: CAGR: how to calculate the average annual return correctly · Compound interest: how returns on returns make wealth grow · Real return: what is left after inflation · World portfolio: the whole world in one or two ETFs · Equity risk premium: how much more equities return and why it is a puzzle · Asset classes with a long history: methodology · Glossary: Equity risk premium

Dimson and Spaenjers (2011) · Ex post: The investment performance of collectible stamps

Dimson, Elroy; Spaenjers, Christophe. Journal of Financial Economics 100 (2), pp. 443–458. doi:10.1016/j.jfineco.2010.12.005

British collectible stamps 1900–2008: 7.0% a year in nominal terms and 2.9% in real terms, i.e. more than bonds and less than equities, with equity-like volatility.

Cited in: Collectibles as an investment: what art, wine, watches and classic cars really return

Dimson et al. (2013) · Credit Suisse Global Investment Returns Yearbook 2013

Dimson, Elroy; Marsh, Paul; Staunton, Mike. Credit Suisse Research Institute, Zürich 2013 (Katalogeintrag der KIT-Bibliothek). Source

Long-term returns in 22 countries; at the end of the 1980s Japan was briefly the world's largest stock market, with 45% at its peak and still 8% at the end of 2012, against 51% for the US.

Cited in: MSCI World vs ACWI vs FTSE All-World: structure, concentration and combinations

Dimson et al. (2015) · The price of wine

Dimson, Elroy; Rousseau, Peter L.; Spaenjers, Christophe. Journal of Financial Economics 118 (2), pp. 431–449. doi:10.1016/j.jfineco.2015.08.005

Prices of Bordeaux first growths 1900–2012: a real return after storage costs of 4.1% a year, more than bonds, art and stamps; wine and equity returns are positively correlated.

Cited in: Collectibles as an investment: what art, wine, watches and classic cars really return · Glossary: Emotional dividend

Do and Faff (2010) · Does Simple Pairs Trading Still Work?

Do, Binh; Faff, Robert. Financial Analysts Journal 66 (4), pp. 83–95. doi:10.2469/faj.v66.n4.1

Repeats the distance method with more recent data: profitability keeps declining, but the strategy performs strongly during prolonged periods of turbulence.

Cited in: Pairs-Trading und statistische Arbitrage: Idee, Methoden, Forschung

Dominguez and Robin (1992) · Your Money or Your Life: Transforming Your Relationship with Money and Achieving Financial Independence

Dominguez, Joe; Robin, Vicki. Viking.

Early foundational work of the financial independence movement: handle money and spending more consciously so that you can live off investment income.

Cited in: FIRE (Financial Independence, Retire Early): Lean, Fat, Coast and Barista FIRE · Glossary: FIRE

Donohue and Yip (2003) · Optimal Portfolio Rebalancing with Transaction Costs

Donohue, Christopher; Yip, Kenneth. The Journal of Portfolio Management 29 (4), pp. 49–63. doi:10.3905/jpm.2003.319894

Optimal rebalancing bands under transaction costs.

Cited in: Rebalancing: getting your portfolio back on course · Strategic and tactical asset allocation and the total portfolio approach

Doyle and Deane (2025) · Central Bank of Ireland Updates its UCITS Q&A on Portfolio Transparency for ETFs

Doyle, Hazel; Deane, Lucy. K&L Gates, 29.4.2025; abgerufen am 25.10.2026. Source

Since April 2025 the Central Bank of Ireland has allowed UCITS ETFs to disclose their holdings quarterly as well as daily, provided that enough information is available every day for arbitrage.

Cited in: Active ETFs: how they work and what they deliver · Glossary: Semi-transparent ETF

Drechsler et al. (2017) · The Deposits Channel of Monetary Policy

Drechsler, Itamar; Savov, Alexi; Schnabl, Philipp. The Quarterly Journal of Economics 132 (4), pp. 1819–1876. doi:10.1093/qje/qjx019

When the policy rate rises, banks widen the spread between market rates and deposit rates and deposits flow out, more so in markets with little competition among banks.

Cited in: Money market ETF or instant-access savings account: rates, safety and tax compared

Driessen et al. (2012) · A New Method to Estimate Risk and Return of Nontraded Assets from Cash Flows: The Case of Private Equity Funds

Driessen, Joost; Lin, Tse-Chun; Phalippou, Ludovic. Journal of Financial and Quantitative Analysis 47 (3), pp. 511–535. doi:10.1017/s0022109012000221

Estimates beta and excess return from the cash flows of 958 funds: venture capital has a high market beta and buyouts a rather low one, and the reported values of mature funds are too high.

Cited in: Private Markets messen: J-Kurve, Cashflows, Glättung und Public Proxy

Du et al. (2023) · Active ETFs Cloned from Mutual Funds: Competing for Investor Flows

Du, Linda; Starks, Laura T.; Xiaolan, Mindy Z.. SSRN Working Paper 4653702. doi:10.2139/ssrn.4653702

US fund families also launch active mutual funds as ETFs; the clones do not take flows away from the parent fund and, thanks to its reputation, attract more money than comparable active ETFs.

Cited in: Active ETFs: how they work and what they deliver

Du et al. (2018) · Deviations from Covered Interest Rate Parity

Du, Wenxin; Tepper, Alexander; Verdelhan, Adrien. The Journal of Finance 73 (3), pp. 915–957. doi:10.1111/jofi.12620

Deviations from covered interest parity for major currencies are large, persistent and systematic, especially across quarter-ends, which points to the effect of bank regulation.

Cited in: Carry trade: earning interest with currencies and bonds · Basis trades: positive and negative basis in bonds, CDS and futures · Basket Swaps, Total Return Swaps oder Futures: Markt-Exposure effizient aufbauen · Carry backtest: methodology for FX and bond carry · Glossary: Covered interest parity

Duffie and Singleton (1999) · Modeling Term Structures of Defaultable Bonds

Duffie, Darrell; Singleton, Kenneth J.. Review of Financial Studies 12 (4), pp. 687–720. doi:10.1093/rfs/12.4.687

Reduced-form models with a default intensity for valuing defaultable bonds and credit derivatives.

Cited in: Counterparty and issuer risk: CVA, ETCs, certificates and swaps · Private Debt in der Praxis: Direct Lending, Unitranche, Mezzanine, Kreditstruktur und Fondsvehikel

Duffie (2010) · Presidential Address: Asset Price Dynamics with Slow-Moving Capital

Duffie, Darrell. The Journal of Finance 65 (4), pp. 1237–1267. doi:10.1111/j.1540-6261.2010.01569.x

Capital moves only slowly to trading opportunities: prices react sharply to shocks and recover slowly, and in the financial crisis impediments to raising capital distorted prices.

Cited in: Basis trades: positive and negative basis in bonds, CDS and futures

Duffie and Zhu (2011) · Does a Central Clearing Counterparty Reduce Counterparty Risk?

Duffie, Darrell; Zhu, Haoxiang. Review of Asset Pricing Studies 1 (1), pp. 74–95. doi:10.1093/rapstu/rar001

A central counterparty for only one class of derivatives can reduce netting efficiency and increase average counterparty exposure.

Cited in: Counterparty and issuer risk: CVA, ETCs, certificates and swaps

Dumas et al. (1998) · Implied Volatility Functions: Empirical Tests

Dumas, Bernard; Fleming, Jeff; Whaley, Robert E.. The Journal of Finance 53 (6), pp. 2059–2106. doi:10.1111/0022-1082.00083

Models with a deterministic volatility function do not forecast or hedge S&P 500 options any better than smoothed Black-Scholes volatilities.

Cited in: Optionsbewertung: wie faire Optionspreise entstehen

Dunn and Barden (2025) · Amid regional conflict, the Strait of Hormuz remains critical oil chokepoint

Dunn, Candace; Barden, Justine. U.S. Energy Information Administration, Today in Energy, 16.06.2025. Source

About 20 million barrels of oil a day flowed through the Strait of Hormuz in 2024, more than a quarter of seaborne oil trade and about a fifth of LNG trade.

Cited in: Ship tracking data and satellite images: what they reveal about commodities · Glossary: Chokepoint (maritime trade)

Dyer and Guest (2022) · A Tale of Two Index Funds: Full Replication vs. Representative Sampling

Dyer, Travis; Guest, Nicholas. SSRN Working Paper (Fassung Juli 2022). doi:10.2139/ssrn.4057537

US equity index funds that use sampling trade more, cost more and return 50 to 70 basis points less per year than fully replicating funds.

Cited in: Index-Replikation: vollständige Replikation, optimiertes Sampling und Swap

Dymke and Walter (2008) · Insider Trading in Germany — Do Corporate Insiders Exploit Inside Information?

Dymke, Björn M.; Walter, Andreas. Business Research 1 (2), pp. 188–205. doi:10.1007/bf03343533

Links insider trades in Germany to subsequent ad hoc announcements: insiders as a group appear to exploit inside information, supervisory board members most of all.

Cited in: Insider trading: what is prohibited, what is allowed and what directors' dealings reveal

E

Easley et al. (2021) · The Active World of Passive Investing

Easley, David; Michayluk, David; O'Hara, Maureen; Putniņš, Tālis J.. Review of Finance 25 (5), pp. 1433–1471. doi:10.1093/rof/rfab021

Most ETFs are active in form or in function; an activeness index shows a growing share of highly active ETFs with their own patterns of fees, turnover and flows.

Cited in: Active ETFs: how they work and what they deliver · Glossary: Active ETF

Eberhart et al. (1990) · Security Pricing and Deviations from the Absolute Priority Rule in Bankruptcy Proceedings

Eberhart, Allan C.; Moore, William T.; Roenfeldt, Rodney L.. The Journal of Finance 45 (5), pp. 1457–1469. doi:10.1111/j.1540-6261.1990.tb03723.x

In 30 Chapter 11 cases, shareholders received on average 7.6% of the total distribution more than they were entitled to under the absolute priority rule; share prices anticipated this.

Cited in: Distressed debt: strategies, insolvency law, recovery rates and returns when investing in crises · Glossary: Absolute priority rule

Eberhart et al. (1999) · The Equity Performance of Firms Emerging from Bankruptcy

Eberhart, Allan C.; Altman, Edward I.; Aggarwal, Reena. The Journal of Finance 54 (5), pp. 1855–1868. doi:10.1111/0022-1082.00169

The stocks of 131 firms emerging from Chapter 11 earned large positive excess returns over the following 200 trading days, more likely because of market misjudgement than because of mismeasured risk.

Cited in: Distressed debt: strategies, insolvency law, recovery rates and returns when investing in crises

Edwards et al. (2007) · Corporate Bond Market Transaction Costs and Transparency

Edwards, Amy K.; Harris, Lawrence E.; Piwowar, Michael S.. The Journal of Finance 62 (3), pp. 1421–1451. doi:10.1111/j.1540-6261.2007.01240.x

Transaction costs of US corporate bonds in 2003–2005 decline markedly with order size and fall once TRACE publishes the prices.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing

Edwards et al. (2023) · More Equal Than Others: 20 Years of the S&P 500 Equal Weight Index

Edwards, Tim; Di Gioia, Davide; Stoddart, Grace. S&P Dow Jones Indices, Juni 2023; abgerufen am 26.10.2026. Source

Twenty years of the S&P 500 Equal Weight: a higher return than the S&P 500 since its launch in 2003, but 22% rather than 5% turnover a year over ten years.

Cited in: Equal weight vs cap weight: weighting, rebalancing and factor tilts

SPIVA Europe (2025) · SPIVA Europe Year-End 2024

Edwards, Tim; Di Gioia, Davide; Chapman, Florence; Didio, Nick. S&P Dow Jones Indices. Source

Compares active funds in Europe with their benchmarks: over ten years, counting each fund equally, 93% of equity funds and 79% of bond funds underperformed.

Cited in: Active or passive investing: ETFs versus fund managers

SPIVA Europe (2026) · SPIVA Europe Mid-Year 2026

Edwards, Tim; Pineros, Sara; Smith, Euan. S&P Dow Jones Indices, 13.10.2026; abgerufen am 25.10.2026. Source

The share of active funds in Europe that lagged their benchmark up to the end of June 2026, broken down into equity and bond funds.

Cited in: Active ETFs: how they work and what they deliver · Active or passive in bonds and commodities: why the rules differ from equities

Efron (1979) · Bootstrap Methods: Another Look at the Jackknife

Efron, B.. The Annals of Statistics 7 (1), pp. 1–26. doi:10.1214/aos/1176344552

Introduces the bootstrap: determining the distributions of estimators by resampling with replacement from the data themselves.

Cited in: Monte Carlo simulation: how safe is your plan? · Bootstrap: future scenarios from your own history · Resampling-Optimierung nach Michaud: stabilere Portfoliogewichte durch Simulation · Monte Carlo methodology: how Portfolio Lab simulates wealth paths

Efron and Tibshirani (1993) · An Introduction to the Bootstrap

Efron, Bradley; Tibshirani, Robert J.. Chapman & Hall.

Textbook on the bootstrap: confidence intervals, standard errors and tests by resampling from the data.

Cited in: Bootstrap: future scenarios from your own history

Eggers and Hainmueller (2013) · Capitol Losses: The Mediocre Performance of Congressional Stock Portfolios

Eggers, Andrew C.; Hainmueller, Jens. The Journal of Politics 75 (2), pp. 535–551. doi:10.1017/s0022381613000194

Contradicts earlier studies: members of Congress traded without an information advantage from 1985 to 2001 and from 2004 to 2008, and a passive index fund would have done better on average.

Cited in: Insider trading: what is prohibited, what is allowed and what directors' dealings reveal

Eichholtz (1997) · A Long Run House Price Index: The Herengracht Index, 1628–1973

Eichholtz, Piet M. A.. Real Estate Economics 25 (2), pp. 175–192. doi:10.1111/1540-6229.00711

Hedonic repeat-sales index of the houses on Amsterdam's Herengracht: in 1973 they were worth only twice as much in real terms as in 1628; after the Second World War, real prices rose by about 3.2% a year.

Cited in: Real estate as an investment: rental flat, REITs, open-ended funds and private real estate

ESTV (2026) · Verrechnungssteuer (VST); Rückerstattung für Personen mit Wohnsitz in Deutschland (Formular 85)

Eidgenössische Steuerverwaltung. Eidgenössische Steuerverwaltung, aktualisiert am 22.09.2026; abgerufen am 25.10.2026. Source

Switzerland levies a 35% withholding tax (Verrechnungssteuer) on investment income; non-residents can partly reclaim it, depending on the tax treaty, within three years of the end of the year in which it fell due, and residents of Germany can do so online with Form 85.

Cited in: Withholding tax on dividends: tax credit, refunds and fund domicile · Glossary: Withholding tax refund · Glossary: Swiss withholding tax (Verrechnungssteuer)

Eisele et al. (2020) · Trading out of sight: An analysis of cross-trading in mutual fund families

Eisele, Alexander; Nefedova, Tamara; Parise, Gianpaolo; Peijnenburg, Kim. Journal of Financial Economics 135 (2), pp. 359–378. doi:10.1016/j.jfineco.2018.12.005

Based on four million equity trades: fund families set the prices of internal cross trades strategically to shift returns between sister funds, and many cross trades are backdated.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing · Glossary: Cross trade

Elliott et al. (2005) · Pairs trading

Elliott, Robert J.; van der Hoek, John; Malcolm, William P.. Quantitative Finance 5 (3), pp. 271–276. doi:10.1080/14697680500149370

Models the spread of a pair as a mean-reverting process that is observed only with noise, and derives trading decisions from it.

Cited in: Pairs-Trading und statistische Arbitrage: Idee, Methoden, Forschung

Ellul et al. (2011) · Regulatory pressure and fire sales in the corporate bond market

Ellul, Andrew; Jotikasthira, Chotibhak; Lundblad, Christian T.. Journal of Financial Economics 101 (3), pp. 596–620. doi:10.1016/j.jfineco.2011.03.020

Insurers, which hold more than a third of investment-grade bonds, sell downgraded bonds under capital pressure; prices fall and then recover, more strongly when the insurance industry itself is in difficulty.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities · Distressed debt: strategies, insolvency law, recovery rates and returns when investing in crises · Glossary: Fallen angel

Elton and Gruber (1970) · Marginal Stockholder Tax Rates and the Clientele Effect

Elton, Edwin J.; Gruber, Martin J.. The Review of Economics and Statistics 52 (1). doi:10.2307/1927599

Infers shareholders' marginal tax rates and tax clienteles from the price drop on the ex-dividend day.

Cited in: Cum-ex and cum-cum: how the dividend trades worked and what applies today · Dividend strategies and dividend ETFs under scrutiny: irrelevance, taxes, factors · Glossary: Ex-dividend date

Elton et al. (2002) · Spiders: Where Are the Bugs?

Elton, Edwin J.; Gruber, Martin J.; Comer, George; Li, Kai. The Journal of Business 75 (3), pp. 453–472. doi:10.1086/339891

The first S&P 500 ETF lagged the index by the amount of its costs and because of delayed dividends.

Cited in: Index providers and valuation points: why the same index is calculated differently · Tracking error and information ratio: deviation from the index · Asset classes with a long history: methodology

Engelberg et al. (2018) · Short-Selling Risk

Engelberg, Joseph E.; Reed, Adam V.; Ringgenberg, Matthew C.. The Journal of Finance 73 (2), pp. 755–786. doi:10.1111/jofi.12601

Short sellers bear risks of their own: lending fees can rise and borrowed shares can be recalled, and this is reflected in prices and returns.

Cited in: Short selling, hedge funds and hedging: types and how they work · Pairs-Trading und statistische Arbitrage: Idee, Methoden, Forschung · Long/short and statistical arbitrage: methodology · Glossary: Borrow fee

Engineered Portfolio (2018) · Accelerating Dual Momentum Investing

Engineered Portfolio. Blogbeitrag, Engineered Portfolio, 02.05.2018; keine begutachtete Veröffentlichung; abgerufen am 25.10.2026. Source

Blog post: switches monthly between the S&P 500 and international small caps based on the sum of 1-, 3- and 6-month returns, and moves into long-term US Treasuries when both are below zero.

Cited in: Tactical allocation methodology: how the eleven tactical models work

Engle (1982) · Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Engle, Robert F.. Econometrica 50 (4). doi:10.2307/1912773

Introduces ARCH models for volatility that clusters over time, the foundation of modern volatility forecasting.

Cited in: Volatility: how much a portfolio fluctuates · VIX: how to read the stock market's fear gauge · Prognosemodelle für Renditen: ARIMA, GARCH, LSTM und Machine Learning · Glossary: Volatility clustering · Glossary: ARCH model

Engle and Granger (1987) · Co-Integration and Error Correction: Representation, Estimation, and Testing

Engle, Robert F.; Granger, C. W. J.. Econometrica 55 (2), pp. 251–276. doi:10.2307/1913236

Cointegration: time series that wander individually but are tied together by an equilibrium; the Engle-Granger test.

Cited in: Pairs-Trading und statistische Arbitrage: Idee, Methoden, Forschung · Long/short and statistical arbitrage: methodology · Asset analysis: methodology from correlation to cointegration · Glossary: Cointegration · Glossary: Engle-Granger test

Entrop et al. (2009) · The price-setting behavior of banks: An analysis of open-end leverage certificates on the German market

Entrop, Oliver; Scholz, Hendrik; Wilkens, Marco. Journal of Banking & Finance 33 (5), pp. 874–882. doi:10.1016/j.jbankfin.2008.09.019

Open-end leverage certificates: the announced formula for ongoing price adjustment strongly favours the issuer and is consistent with the life-cycle hypothesis, even allowing for credit and jump risk.

Cited in: Warrants, turbos and certificates: what they are and what you pay on top · Glossary: Turbo certificate · Glossary: Life cycle hypothesis (certificates)

Eraslan and Götz (2021) · An unconventional weekly economic activity index for Germany

Eraslan, Sercan; Götz, Thomas. Economics Letters 204, pp. 109881. doi:10.1016/j.econlet.2021.109881

Weekly index of economic activity in Germany built from unconventional, quickly available data, which forms the basis of the Bundesbank's weekly activity index.

Cited in: Economic pulse: how Portfolio Lab calculates early indicators · Glossary: Weekly Activity Index (Bundesbank)

Erb and Harvey (2006) · The Strategic and Tactical Value of Commodity Futures

Erb, Claude B.; Harvey, Campbell R.. Financial Analysts Journal 62 (2), pp. 69–97. doi:10.2469/faj.v62.n2.4084

Individual commodity futures earned hardly any excess return on average, whereas rebalanced portfolios and term structure strategies earned more; warns against naive extrapolation.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities · Liquid real assets: inflation protection with tradable real assets in a portfolio

Erb and Harvey (2013) · The Golden Dilemma

Erb, Claude B.; Harvey, Campbell R.. Financial Analysts Journal 69 (4), pp. 10–42. doi:10.2469/faj.v69.n4.1

Critically examines popular claims such as “gold protects against inflation”; the real gold price is historically high and very volatile.

Cited in: All Weather portfolio: ready for every economic climate? · Real return: what is left after inflation · Gold in a portfolio: safe haven, inflation hedge or just shiny? · Liquid real assets: inflation protection with tradable real assets in a portfolio · Glossary: Gold

Erel et al. (2024) · Risk-Adjusting the Returns to Private Debt Funds

Erel, Isil; Flanagan, Thomas; Weisbach, Michael S.. National Bureau of Economic Research, Working Paper 32278. doi:10.3386/w32278

After risk adjustment with equity and bond factors, a typical private debt fund earns no significant excess return net of fees; before fees it is positive.

Cited in: Private credit and public credit compared: returns, risks and what the research shows · Private Debt in der Praxis: Direct Lending, Unitranche, Mezzanine, Kreditstruktur und Fondsvehikel

Erikson and Wlezien (2008) · Are Political Markets Really Superior to Polls as Election Predictors?

Erikson, Robert S.; Wlezien, Christopher. Public Opinion Quarterly 72 (2), pp. 190–215. doi:10.1093/poq/nfn010

Properly discounted poll leads beat the Iowa Electronic Markets from 1988 to 2004; traders overestimate the uncertainty of the campaign.

Cited in: Prediction markets as bets on events: what they can and cannot do

Estep and Kritzman (1988) · TIPP: Insurance without complexity

Estep, Tony; Kritzman, Mark. The Journal of Portfolio Management 14 (4), pp. 38–42. doi:10.3905/jpm.1988.409172

Time-invariant portfolio protection: the floor is a fixed share of the highest portfolio value to date and is ratcheted up.

Cited in: CPPI: portfolio insurance with cushion, floor and multiplier · CPPI backtest: methodology · Glossary: TIPP

Estrada (2008) · Black Swans and Market Timing

Estrada, Javier. The Journal of Investing 17 (3), pp. 20–34. doi:10.3905/joi.2008.710917

A handful of days decide long-term returns: missing the best ten days costs a large part of the gains.

Cited in: Market timing: can you pick the right moment?

Estrella and Hardouvelis (1991) · The Term Structure as a Predictor of Real Economic Activity

Estrella, Arturo; Hardouvelis, Gikas A.. The Journal of Finance 46 (2), pp. 555–576. doi:10.1111/j.1540-6261.1991.tb02674.x

A steep yield curve signals stronger real growth; the slope beats leading indicators and survey forecasts.

Cited in: Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Yield curve: what the term structure reveals and why an inverted curve is seen as a warning sign · Macro dashboard and regime analysis: methodology

Estrella and Mishkin (1998) · Predicting U.S. Recessions: Financial Variables as Leading Indicators

Estrella, Arturo; Mishkin, Frederic S.. Review of Economics and Statistics 80 (1), pp. 45–61. doi:10.1162/003465398557320

The slope of the yield curve predicts US recessions one to two quarters ahead better than many other indicators.

Cited in: Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Yield curve: what the term structure reveals and why an inverted curve is seen as a warning sign · Macro dashboard and regime analysis: methodology · Glossary: Inverted yield curve · Glossary: Yield curve slope · Glossary: Recession · Glossary: Recession probability

Estrella and Trubin (2006) · The Yield Curve as a Leading Indicator: Some Practical Issues

Estrella, Arturo; Trubin, Mary R.. Current Issues in Economics and Finance (Federal Reserve Bank of New York) 12 (5). Source

Practical rules for the New York Fed's recession model: the 10-year Treasury yield minus the 3-month T-bill on a bond-equivalent basis as a monthly average, a probit for recession twelve months ahead with α = −0.6045 and β = −0.7374, estimated from 1959 to 2005; the level of the spread says more than its change.

Cited in: Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Macro dashboard and regime analysis: methodology · Glossary: Bond-equivalent yield · Glossary: Probit model · Glossary: Recession probability

ETFGI (2026) · Active ETF Assets Reach Record US$ 2.59 Trillion as Industry Posts Highest-Ever YTD Inflows of US$ 590 Billion at end July

ETFGI. ETFGI LLP, Pressemitteilung vom 24.8.2026; abgerufen am 25.10.2026. Source

Assets, number of products and inflows of active ETFs worldwide at the end of July 2026.

Cited in: Active ETFs: how they work and what they deliver

Eurex, TAIC (2026) · Trade at Index Close (TAIC) – Eurex T7 Entry Services

Eurex. Eurex Frankfurt AG; abgerufen am 27.10.2026. Source

Off-exchange negotiated trades in equity index and credit index futures that are eligible for EFP-I, at the index close plus an agreed basis; they are entered as soon as the closing level is available.

Cited in: Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC · Glossary: BTIC

Eurex (2026) · EURO STOXX 50® Index Total Return Futures (TESX): Produktseite und Kontraktspezifikationen

Eurex. Eurex Frankfurt AG; abgerufen am 25.10.2026. Source

Total return futures are traded via the TRF spread, an annual funding spread in basis points; the trade types are Trade at Index Close (TAIC) with the index closing level and Trade at Market (TAM).

Cited in: Basket Swaps, Total Return Swaps oder Futures: Markt-Exposure effizient aufbauen · Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC · Glossary: BTIC

Eurex (2026) · EURO STOXX 50® Index Futures (FESX): Produktseite und Kontraktspezifikationen

Eurex. Eurex Frankfurt AG; abgerufen am 26.10.2026. Source

Contract value of €10 per index point, minimum price change of one point, expiry in the March, June, September and December cycle on the third Friday, cash settlement.

Cited in: Overlay-Management mit Futures: Beta-, Duration- und Währungs-Overlay, Kontraktzahlen und Liquiditätsbedarf

Eurex (2026) · Euro-Bund-Futures (FGBL): Produktseite und Kontraktspezifikationen

Eurex. Eurex Frankfurt AG; abgerufen am 26.10.2026. Source

Contract value of €100,000, price quoted as a percentage of par with a tick of 0.01 = €10, delivery of German federal bonds on the 10th calendar day of the delivery months March, June, September and December.

Cited in: Overlay-Management mit Futures: Beta-, Duration- und Währungs-Overlay, Kontraktzahlen und Liquiditätsbedarf

EIB (2021) · EIB issues its first ever digital bond on a public blockchain (Pressemitteilung 2021-141)

Europäische Investitionsbank. Europäische Investitionsbank, April 2021; abgerufen am 25.10.2026. Source

A €100 million two-year digital bond on Ethereum under French law, settled with Banque de France digital central bank money.

Cited in: Digital assets: tokenisation, stablecoins, crypto securities and the digital euro

European Commission (2015) · Fact Sheet: New EU rules to promote investments in infrastructure projects (Änderung der Delegierten Verordnung zu Solvency II)

Europäische Kommission. Europäische Kommission, Fact Sheet vom 30.9.2015, Abdruck in der EU-Dokumentation der Ersten Kammer der Niederlande; abgerufen am 25.10.2026. Source

Qualifying infrastructure investments become a separate category under Solvency II; the equity shock falls from 49% to 30%, and the bond shock, for example for a 20-year bond of credit quality step 3, from 30% to 20%.

Cited in: Infrastructure investing: equity and debt, revenue models, valuation and research

Solvency II Delegated Regulation (2015) · Delegierte Verordnung (EU) 2015/35 zur Ergänzung der Richtlinie 2009/138/EG (Solvency II), Art. 168 und 169 (Aktienrisiko)

Europäische Kommission. Fassung im Solvency II Single Rulebook der EIOPA; abgerufen am 25.10.2026. Source

Standard formula for equity risk: a shock of 39% for type 1 equities, 49% for type 2 equities and 36% for qualifying infrastructure corporates, each plus the symmetric adjustment (92% of it for infrastructure corporates).

Cited in: Infrastructure investing: equity and debt, revenue models, valuation and research

European Commission (2017) · Delegierte Verordnung (EU) 2017/565 vom 25. April 2016 zur Ergänzung der Richtlinie 2014/65/EU (MiFID II), Artikel 50 (Informationen über Kosten und Nebenkosten)

Europäische Kommission. Amtsblatt der Europäischen Union vom 31.3.2017; Wortlaut von Artikel 50 abgerufen über gesetze.legal am 25.10.2026. Source

Investment firms disclose all costs and associated charges aggregated as a cash amount and a percentage, annually ex post and on a personalised basis, with an illustration of the cumulative effect of costs on return.

Cited in: Portfolio reporting: how to report return, risk, attribution and costs properly · Warrants, turbos and certificates: what they are and what you pay on top · Glossary: Ex-post cost disclosure

EU Climate Benchmarks Regulation (2020) · Delegierte Verordnung (EU) 2020/1818 vom 17. Juli 2020 zur Ergänzung der Verordnung (EU) 2016/1011 durch Mindeststandards für EU-Referenzwerte für den klimabedingten Wandel und für Paris-abgestimmte EU-Referenzwerte

Europäische Kommission. Amtsblatt der Europäischen Union L 406 vom 3.12.2020; abgerufen am 25.10.2026. Source

Minimum standards for climate indices: greenhouse gas intensity at least 30% (climate transition) or 50% (Paris-aligned) below the investment universe, then at least 7% lower each year, with exclusions under Article 12.

Cited in: ESG ETFs: SFDR, ratings, returns and the limits of sustainable funds · ESG methodology: sustainability in the look-through · Glossary: Paris-aligned benchmark · Glossary: Climate transition benchmark

Delegated Regulation (EU) 2024/2759 (2024) · Delegierte Verordnung (EU) 2024/2759 vom 19. Juli 2024 zur Ergänzung der Verordnung (EU) 2015/760 durch technische Regulierungsstandards (Rücknahmepolitik, Liquiditätsmanagement, Abgleich von Übertragungen, Kosten)

Europäische Kommission. Amtsblatt der Europäischen Union vom 25.10.2024, in Kraft seit 26.10.2024; abgerufen am 25.10.2026. Source

Sets the maximum an ELTIF may pay out per redemption date (Annex I by redemption frequency and notice period, Annex II with the minimum share of liquid assets), optional anti-dilution tools and the total expense ratio.

Cited in: ELTIFs: private markets for private investors under the ELTIF 2.0 rules · Private equity explained: strategies, fund structure, fees and what research shows about returns · Glossary: Semi-liquid fund · Glossary: Notice period · Glossary: Redemption gate

European Commission (2025) · Vorschlag für eine Verordnung zur Änderung der Verordnung (EU) 2019/2088 und der Verordnung (EU) Nr. 1286/2014, COM(2025) 841 final

Europäische Kommission. Europäische Kommission, Brüssel, 20.11.2025; Ratsdokument 15751/25 (englische Fassung), abgerufen am 25.10.2026. Source

Proposal to restructure the SFDR into three product categories, transition (Article 7), ESG basics (Article 8) and sustainable (Article 9), each requiring at least 70% matching investments and mandatory exclusions.

Cited in: ESG ETFs: SFDR, ratings, returns and the limits of sustainable funds

European Commission (2026) · Application of the GDPR (Anwendung der Datenschutz-Grundverordnung)

Europäische Kommission. Europäische Kommission, Informationsseite zur Verordnung (EU) 2016/679; abgerufen am 25.10.2026. Source

What counts as personal data (including location data, IP addresses, cookie and advertising identifiers), and the point that only irreversibly anonymised data fall outside the GDPR.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Glossary: Geolocation data

ECB (2025) · Eurosystem moving to next phase of digital euro project (Pressemitteilung, 30. Oktober 2025)

Europäische Zentralbank. Europäische Zentralbank; abgerufen am 25.10.2026. Source

The next phase of the digital euro: a pilot from mid-2027 and readiness for a possible first issuance in 2029 if the regulation is adopted in 2026; the ECB will decide on issuance only after that.

Cited in: Digital assets: tokenisation, stablecoins, crypto securities and the digital euro · Glossary: Digital euro

ECB, key interest rates (2026) · Key ECB interest rates

Europäische Zentralbank. EZB; abgerufen am 26.10.2026. Source

Rates on the deposit facility, the main refinancing operations and the marginal lending facility, with the date of each change; deposit rate 2.50% since 16 September 2026.

Cited in: Money market ETF or instant-access savings account: rates, safety and tax compared

ECB, €STR (2026) · Euro short-term rate (€STR)

Europäische Zentralbank. EZB; abgerufen am 26.10.2026. Source

Rate for unsecured overnight borrowing in the euro area, published daily; 2.442% for 23 October 2026 on a volume of €62.9 billion.

Cited in: Money market ETF or instant-access savings account: rates, safety and tax compared

ECB, MFI interest rate statistics (2026) · MFI-Zinsstatistik für den Euroraum: August 2026

Europäische Zentralbank. EZB, Pressemitteilung vom 1.10.2026 (deutsche Fassung der Bundesbank); abgerufen am 26.10.2026. Source

Overnight deposits of euro area households paid 0.29% on average and deposits with a maturity of up to one year 2.13% (new business, August 2026).

Cited in: Money market ETF or instant-access savings account: rates, safety and tax compared

ECB, meeting calendar (2026) · Meeting calendars for the Governing Council and General Council

Europäische Zentralbank. EZB; abgerufen am 26.10.2026. Source

Monetary policy meetings of the ECB Governing Council in 2026, including on 28–29 October and 16–17 December.

Cited in: Money market ETF or instant-access savings account: rates, safety and tax compared

ECB, July 2026 survey (2026) · Results of the ECB Survey of Professional Forecasters for the third quarter of 2026 (Pressemitteilung)

Europäische Zentralbank. EZB, 24.7.2026; abgerufen am 27.10.2026. Source

53 responses, surveyed from 1 to 6 July 2026: expected inflation of 2.7% for 2026, 2.2% for 2027, 2.0% for 2028 and 2.0% in the longer term (2031).

Cited in: Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future

ECB, Survey of Professional Forecasters (2026) · Background on the survey of professional forecasters

Europäische Zentralbank. EZB; abgerufen am 27.10.2026. Source

Survey conducted since January 1999 four times a year (January, April, July, October) among experts at financial and other institutions: point forecasts and probability distributions for inflation, core inflation, growth and unemployment for the current, next and following year, for rolling horizons and for the longer term.

Cited in: Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Macro dashboard and regime analysis: methodology · Glossary: Survey of Professional Forecasters

ECB, yield curves (2026) · Euro area yield curves

Europäische Zentralbank. EZB; abgerufen am 27.10.2026. Source

Daily euro area yield curves (spot, forward and par yields) for residual maturities from 3 months to 30 years, one based on AAA-rated government bonds and one on all government bonds; data from 6 September 2004, updated at 12:00 on every TARGET business day.

Cited in: Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future

ECB, yield curve methodology (2026) · ECB yield curve methodology (Technical Notes)

Europäische Zentralbank. EZB, ohne Datum; abgerufen am 27.10.2026. Source

The curves are based on the Nelson-Siegel-Svensson model, using bonds with residual maturities from 3 months to 30 years and excluding floating-rate, inflation-linked and perpetual bonds; formula for the instantaneous forward rate.

Cited in: Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Macro dashboard and regime analysis: methodology · Glossary: Instantaneous forward rate · Glossary: Svensson model

UCITS Directive, Art. 51 (2009) · Richtlinie 2009/65/EG vom 13. Juli 2009 (OGAW), Artikel 51 Absatz 3: Gesamtrisiko aus Derivaten

Europäisches Parlament; Rat der Europäischen Union. Wortlaut im Interactive Single Rulebook der ESMA; abgerufen am 25.10.2026. Source

A UCITS's global exposure relating to derivatives may not exceed its net asset value; it is calculated from the value of the underlying assets, counterparty risk, future market movements and the time available to liquidate the positions.

Cited in: Basket Swaps, Total Return Swaps oder Futures: Markt-Exposure effizient aufbauen · Overlay-Management mit Futures: Beta-, Duration- und Währungs-Overlay, Kontraktzahlen und Liquiditätsbedarf

UCITS Directive (2009) · Richtlinie 2009/65/EG vom 13. Juli 2009 zur Koordinierung der Rechts- und Verwaltungsvorschriften betreffend bestimmte Organismen für gemeinsame Anlagen in Wertpapieren (OGAW), Artikel 52

Europäisches Parlament; Rat der Europäischen Union. Amtsblatt der Europäischen Union L 302 vom 17.11.2009; Wortlaut von Artikel 52 abgerufen am 25.10.2026 über legislation.gov.uk. Source

Article 52 limits counterparty risk from derivatives to 10% of fund assets for credit institutions and 5% for other counterparties, alongside the 5/10/40 diversification limits.

Cited in: Money market ETF or instant-access savings account: rates, safety and tax compared · Basket Swaps, Total Return Swaps oder Futures: Markt-Exposure effizient aufbauen · Index-Replikation: vollständige Replikation, optimiertes Sampling und Swap

Short Selling Regulation (2012) · Verordnung (EU) Nr. 236/2012 vom 14. März 2012 über Leerverkäufe und bestimmte Aspekte von Credit Default Swaps, Art. 3, 5, 6, 9, 12 und 14 (konsolidierte Fassung vom 16.01.2024)

Europäisches Parlament; Rat der Europäischen Union. Amtsblatt der Europäischen Union; konsolidierte Fassung auf EUR-Lex, abgerufen am 25.10.2026. Source

Bans naked short sales of shares and naked CDS on sovereign bonds; net short positions in shares must be reported to the supervisor from 0.1% and at each further 0.1 percentage points, and published from 0.5%, by 15:30 on the following trading day.

Cited in: Short selling, hedge funds and hedging: types and how they work · Glossary: Net short position

MAR (2014) · Verordnung (EU) Nr. 596/2014 vom 16. April 2014 über Marktmissbrauch (Marktmissbrauchsverordnung, MAR)

Europäisches Parlament; Rat der Europäischen Union. Amtsblatt der Europäischen Union vom 12.6.2014; Wortlaut abgerufen am 25.10.2026. Source

The directly applicable EU regulation against market abuse: inside information and insider dealing, issuers' obligations, and market manipulation; Art. 12 defines what counts as manipulation (misleading transactions and orders, false information, opinions voiced after building up a position without disclosing it), and Art. 15 prohibits it.

Cited in: Pump and dump and penny stocks: how the scam works · Insider trading: what is prohibited, what is allowed and what directors' dealings reveal · Glossary: Market manipulation · Glossary: Directors' dealings · Glossary: Ad hoc disclosure · Glossary: Closed period · Glossary: Tippee

PRIIPs Regulation (2014) · Verordnung (EU) Nr. 1286/2014 vom 26. November 2014 über Basisinformationsblätter für verpackte Anlageprodukte für Kleinanleger und Versicherungsanlageprodukte (PRIIP), Artikel 8 und 32

Europäisches Parlament; Rat der Europäischen Union. Amtsblatt der Europäischen Union; geltende Fassung abgerufen über gesetze.legal am 25.10.2026. Source

Structure of the key information document with a summary risk indicator, performance scenarios and costs in euros and percent; UCITS were exempt until 31 December 2022 (Article 32).

Cited in: Portfolio reporting: how to report return, risk, attribution and costs properly · Warrants, turbos and certificates: what they are and what you pay on top · Glossary: Key information document (KID)

Money Market Funds Regulation (2017) · Verordnung (EU) 2017/1131 vom 14. Juni 2017 über Geldmarktfonds, Artikel 1, 9, 13 und 24

Europäisches Parlament; Rat der Europäischen Union. Amtsblatt der Europäischen Union; Wortlaut abgerufen am 26.10.2026 über gesetze.legal. Source

Applies to funds that invest in short-term assets and aim for returns in line with money market rates; eligible assets are money market instruments, deposits, repurchase agreements and derivatives for hedging only; short-term funds have a weighted average maturity of at most 60 days and a weighted average life of at most 120 days.

Cited in: Money market ETF or instant-access savings account: rates, safety and tax compared

SFDR (2019) · Verordnung (EU) 2019/2088 vom 27. November 2019 über nachhaltigkeitsbezogene Offenlegungspflichten im Finanzdienstleistungssektor (Offenlegungsverordnung, SFDR)

Europäisches Parlament; Rat der Europäischen Union. Amtsblatt der Europäischen Union L 317 vom 9.12.2019; abgerufen am 25.10.2026. Source

Since March 2021, governs what financial products must disclose about sustainability risks (Article 6), promoted environmental or social characteristics (Article 8) and sustainable investment objectives (Article 9).

Cited in: ESG ETFs: SFDR, ratings, returns and the limits of sustainable funds · Portfolio reporting: how to report return, risk, attribution and costs properly · ESG methodology: sustainability in the look-through · Glossary: SFDR · Glossary: Article 6 fund · Glossary: Article 8 fund · Glossary: Article 9 fund

MiCA (2023) · Verordnung (EU) 2023/1114 vom 31. Mai 2023 über Märkte für Kryptowerte (MiCA), Artikel 50 (Verbot der Gewährung von Zinsen) und Artikel 54 (Anlage der Geldbeträge)

Europäisches Parlament; Rat der Europäischen Union. Amtsblatt der Europäischen Union L 150 vom 9.6.2023; Wortlaut über das Interactive Single Rulebook der ESMA, abgerufen am 25.10.2026. Source

Issuers of e-money tokens and crypto-asset service providers may not grant interest; at least 30% of the funds received must be held in segregated accounts with credit institutions, and the rest in secure, liquid assets in the same currency.

Cited in: Digital assets: tokenisation, stablecoins, crypto securities and the digital euro · Glossary: E-money token

Regulation (EU) 2023/606 (2023) · Verordnung (EU) 2023/606 vom 15. März 2023 zur Änderung der Verordnung (EU) 2015/760 in Bezug auf die Anforderungen an die Anlagepolitik und die Bedingungen für die Tätigkeit europäischer langfristiger Investmentfonds sowie in Bezug auf den Umfang der zulässigen Anlagevermögenswerte, die Anforderungen an die Portfoliozusammensetzung und Diversifizierung und die Barkreditaufnahme sowie andere Vertragsbedingungen

Europäisches Parlament; Rat der Europäischen Union. Amtsblatt der Europäischen Union vom 20.3.2023, anwendbar ab 10.1.2024; abgerufen am 25.10.2026. Source

Reform of the ELTIF Regulation (ELTIF 2.0): at least 55% eligible investments, borrowing of up to 50% of net asset value when marketed to retail investors, redemptions before maturity under conditions, and a suitability assessment instead of a minimum investment.

Cited in: ELTIFs: private markets for private investors under the ELTIF 2.0 rules · Private credit and public credit compared: returns, risks and what the research shows · Private equity explained: strategies, fund structure, fees and what research shows about returns · Venture capital: funding rounds, valuation, the power law and what research knows about returns · Private Debt in der Praxis: Direct Lending, Unitranche, Mezzanine, Kreditstruktur und Fondsvehikel · Glossary: ELTIF

Directive (EU) 2024/2994 (2024) · Directive (EU) 2024/2994 of 27 November 2024 amending Directives 2009/65/EC, 2013/36/EU and (EU) 2019/2034 as regards the treatment of concentration risk arising from exposures towards central counterparties and of counterparty risk in centrally cleared derivative transactions

Europäisches Parlament; Rat der Europäischen Union. Amtsblatt der Europäischen Union; abgerufen am 25.10.2026. Source

Amends the UCITS Directive, among others: the limits on counterparty risk apply to derivatives that are not cleared through an authorised central counterparty; to be transposed by 25 June 2026.

Cited in: Counterparty and issuer risk: CVA, ETCs, certificates and swaps · Index-Replikation: vollständige Replikation, optimiertes Sampling und Swap

Directive (EU) 2026/804 (2026) · Richtlinie (EU) 2026/804 vom 30. März 2026 zur Änderung der Richtlinie 2014/49/EU über Einlagensicherungssysteme

Europäisches Parlament; Rat der Europäischen Union. Amtsblatt der Europäischen Union vom 20.4.2026; abgerufen am 26.10.2026. Source

Temporary coverage of high balances of at least €500,000 for six months (up to €2.5 million for real estate transactions) in addition to the €100,000; to be transposed by 11 May 2028.

Cited in: Money market ETF or instant-access savings account: rates, safety and tax compared · Glossary: Deposit insurance

European Parliament (2026) · Legislative Train Schedule: Digital euro (Stand 20.09.2026)

Europäisches Parlament. Europäisches Parlament; abgerufen am 25.10.2026. Source

Status of the legislative procedure on the digital euro: the negotiating mandate was confirmed by the plenary in July 2026; Parliament and Council still differ on the remuneration model, distribution and holding limits.

Cited in: Digital assets: tokenisation, stablecoins, crypto securities and the digital euro · Glossary: Digital euro

EBA (2025) · The EBA publishes the results of its 2025 EU-wide stress test

European Banking Authority. EBA, Pressemitteilung vom 1.8.2025; abgerufen am 25.10.2026. Source

2025 EU-wide stress test of 64 banks (75% of EU banking assets) over three years; in the adverse scenario designed by the ESRB and the ECB, the CET1 ratio falls by 370 basis points to 12%.

Cited in: Szenarioanalyse und Sensitivitätsanalyse: Aktien-, Zins-, Kredit- und Währungsrisiko im Stresstest

EIOPA (2016) · Final Report on the Call for Advice from the European Commission on the identification and calibration of other infrastructure investment risk categories i.e. infrastructure corporates (EIOPA-16-490)

European Insurance and Occupational Pensions Authority. EIOPA, 2016; abgerufen am 25.10.2026. Source

Recommends a shock of 36% for equity in qualifying infrastructure corporates held in well-diversified portfolios, close to the 39% for listed equities.

Cited in: Infrastructure investing: equity and debt, revenue models, valuation and research

EIOPA (2025) · EIOPA proposes one-to-one capital requirements for EU insurers’ crypto asset holdings (27. März 2025)

European Insurance and Occupational Pensions Authority. EIOPA; abgerufen am 25.10.2026. Source

Advice to the Commission: insurers' crypto assets should carry a flat 100% capital requirement in the Solvency II standard formula.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

ESMA (2018) · ESMA agrees to prohibit binary options and restrict CFDs to protect retail investors (Pressemitteilung)

European Securities and Markets Authority. ESMA, 27.3.2018; abgerufen am 25.10.2026. Source

Product intervention: a ban on binary options for retail investors and, for CFDs, leverage limits from 30:1 to 2:1, close-out at 50% of minimum margin, negative balance protection and a risk warning.

Cited in: Warrants, turbos and certificates: what they are and what you pay on top

ESMA (2024) · Guidelines on funds' names using ESG or sustainability-related terms (ESMA34-1592494965-657)

European Securities and Markets Authority. ESMA, Abschlussbericht vom 14.05.2024; abgerufen am 25.10.2026. Source

Funds with ESG or sustainability terms in their names must align at least 80% of their investments accordingly and, depending on the term, apply the exclusions of the Paris-aligned or climate transition benchmarks.

Cited in: ESG ETFs: SFDR, ratings, returns and the limits of sustainable funds · ESG methodology: sustainability in the look-through

ESMA clearing obligation register (2024) · Public Register for the Clearing Obligation under EMIR (ESMA70-151-2218)

European Securities and Markets Authority. ESMA, zuletzt aktualisiert am 4.6.2024; abgerufen am 25.10.2026. Source

Certain interest rate derivatives (basis, fixed-to-float and overnight index swaps, FRAs) and two European index CDS are subject to the clearing obligation under EMIR; equity derivatives are not on the list.

Cited in: Basket Swaps, Total Return Swaps oder Futures: Markt-Exposure effizient aufbauen

ESMA, Consolidated Tape (2025) · ESMA selects the first Consolidated Tape Provider for bonds

European Securities and Markets Authority. ESMA, Mitteilung vom 3.7.2025; abgerufen am 25.10.2026. Source

ESMA selects, according to the MiFIR criteria, the first operator of a consolidated tape for bonds in the EU, which is to provide a consolidated view of trading for five years under ESMA's direct supervision.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing

ESMA, UCITS eligible assets (2025) · Final Report on the Technical Advice on the review of the UCITS Eligible Assets Directive (ESMA34-2087785638-1548, 26. Juni 2025)

European Securities and Markets Authority. ESMA; abgerufen am 25.10.2026. Source

Advice to the European Commission: look-through to the ultimate underlying, exposures to ineligible assets only within a 10% limit; direct investment in crypto assets would require amending the UCITS Directive itself.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

ESMA, DLT Pilot Regime (2025) · Report on the functioning and review of the DLT Pilot Regime (Article 14, ESMA75-117376770-460, 25. Juni 2025)

European Securities and Markets Authority. ESMA; abgerufen am 25.10.2026. Source

A review of the DLT Pilot Regime since 23 March 2023: three authorised infrastructures by the end of May 2025, low volumes, and a recommendation for higher thresholds and a permanent framework.

Cited in: Digital assets: tokenisation, stablecoins, crypto securities and the digital euro

ESMA (2026) · Costs and Performance of EU Retail Investment Products 2025 (ESMA50-1949966494-4065)

European Securities and Markets Authority. ESMA, Marktbericht vom 3.3.2026; abgerufen am 25.10.2026. Source

Annual comparison of the costs and returns of EU funds; ESG funds are about 5 basis points cheaper on average, while equity ETFs have similar ongoing costs with and without ESG features.

Cited in: ESG ETFs: SFDR, ratings, returns and the limits of sustainable funds

ESMA, bond transparency (2026) · ESMA publishes list of supplementary deferrals for sovereign bonds

European Securities and Markets Authority. ESMA, Mitteilung vom 19.2.2026, aktualisiert am 31.3.2026; abgerufen am 25.10.2026. Source

The new regime of publication deferrals for bonds under MiFIR applies from 2 March 2026, with supplementary deferrals for sovereign bonds from 4 May 2026.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing

ESMA, T+1 (2026) · Statement on T+1 preparations (ESMA74-2119945926-3773, 20. Juli 2026)

European Securities and Markets Authority. ESMA; abgerufen am 25.10.2026. Source

EU financial markets will move to a T+1 settlement cycle on 11 October 2027.

Cited in: Money market ETF or instant-access savings account: rates, safety and tax compared · Digital assets: tokenisation, stablecoins, crypto securities and the digital euro

ESMA (2026) · Guidelines on Liquidity Management Tools (LMTs) of UCITS and open-ended AIFs (ESMA34-671404336-1364)

European Securities and Markets Authority. ESMA, 12.3.2026; abgerufen am 26.10.2026. Source

Guidelines on the selection and calibration of liquidity management tools for open-ended funds: at least two tools, preferably one quantity-based and one anti-dilution tool; suspensions only in exceptional cases and on a temporary basis.

Cited in: Liquiditätsrisiko: Marktliquidität messen, Liquiditätsprämien und die Werkzeuge offener Fonds · Glossary: Liquidity management tool

ESA (2015) · Sentinel-2 User Handbook

European Space Agency. ESA, Issue 1, Revision 2, 24.07.2015. Source

Handbook for the freely available Sentinel-2 imagery: 13 spectral bands at 10, 20 and 60 m resolution, with a revisit every 5 days using two satellites under cloud-free conditions.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Ship tracking data and satellite images: what they reveal about commodities

Evans and Archer (1968) · Diversification and the Reduction of Dispersion: An Empirical Analysis

Evans, John L.; Archer, Stephen H.. The Journal of Finance 23 (5), pp. 761–767. doi:10.1111/j.1540-6261.1968.tb00315.x

Examines how the volatility of randomly assembled, equally weighted stock portfolios falls with the number of holdings; this is the origin of the rule of thumb of about ten stocks.

Cited in: Stock picking: why individual stocks are so hard to get right

F

Faber (2007) · A Quantitative Approach to Tactical Asset Allocation

Faber, Mebane T.. The Journal of Wealth Management 9 (4), pp. 69–79. doi:10.3905/jwm.2007.674809

Ten-month moving averages across five asset classes reduced drawdowns at a similar return (tactical asset allocation).

Cited in: Market timing: can you pick the right moment? · Tactical allocation: momentum, dual momentum and trend following · Trendfolge: dem eigenen Trend jeder Anlage folgen · Tactical allocation methodology: how the eleven tactical models work · Glossary: Tactical asset allocation

Fama and French (2004) · The Capital Asset Pricing Model: Theory and Evidence

Fama, Eugene F; French, Kenneth R. Journal of Economic Perspectives 18 (3), pp. 25–46. doi:10.1257/0895330042162430

A survey article: the CAPM is elegant but explains returns in the data poorly; size and valuation carry additional information.

Cited in: Beta and alpha: how closely a fund moves with the market · CAPM: the capital asset pricing model and the security market line

Fama (1965) · The Behavior of Stock-Market Prices

Fama, Eugene F.. The Journal of Business 38 (1). doi:10.1086/294743

Examines stock prices for random-walk behaviour and confirms the fat tails of the return distribution.

Cited in: Skewness and kurtosis: why market crashes are more frequent than the normal distribution says · Glossary: Random walk

Fama et al. (1969) · The Adjustment of Stock Prices to New Information

Fama, Eugene F.; Fisher, Lawrence; Jensen, Michael C.; Roll, Richard. International Economic Review 10 (1). doi:10.2307/2525569

Early event study: how do stock prices adjust to new information around stock splits?

Cited in: Insider trading: what is prohibited, what is allowed and what directors' dealings reveal · Event-Studien: Wie man Kursreaktionen auf Ereignisse misst und testet · Glossary: Event study · Glossary: Abnormal return

Fama (1970) · Efficient Capital Markets: A Review of Theory and Empirical Work

Fama, Eugene F.. The Journal of Finance 25 (2). doi:10.2307/2325486

A review of market efficiency in its three forms (weak, semi-strong, strong) and the tests for each.

Cited in: Insider trading: what is prohibited, what is allowed and what directors' dealings reveal · Technical analysis, chart patterns and candlesticks from a quant perspective · The efficient market hypothesis: why it is so hard to beat the market · Glossary: Efficient market hypothesis · Glossary: Weak-form efficiency · Glossary: Semi-strong-form efficiency

Fama and MacBeth (1973) · Risk, Return, and Equilibrium: Empirical Tests

Fama, Eugene F.; MacBeth, James D.. Journal of Political Economy 81 (3), pp. 607–636. doi:10.1086/260061

Fama-MacBeth regression: monthly cross-sectional regressions whose averages estimate risk premiums.

Cited in: CAPM: the capital asset pricing model and the security market line · Factor investing: understanding the Fama-French factors · Glossary: Fama-MacBeth regression

Fama and Schwert (1977) · Asset returns and inflation

Fama, Eugene F.; Schwert, G.William. Journal of Financial Economics 5 (2), pp. 115–146. doi:10.1016/0304-405x(77)90014-9

In the US, equities and bonds offered little protection against expected and unexpected inflation.

Cited in: Real return: what is left after inflation · Liquid real assets: inflation protection with tradable real assets in a portfolio · Glossary: Inflation beta

Fama (1984) · Forward and spot exchange rates

Fama, Eugene F.. Journal of Monetary Economics 14 (3), pp. 319–338. doi:10.1016/0304-3932(84)90046-1

Decomposes the gap between forward and spot exchange rates into an expected exchange rate change and a time-varying premium, the starting point of the forward premium puzzle.

Cited in: Carry trade: earning interest with currencies and bonds · Glossary: Forward premium puzzle

Fama (1984) · Term premiums in bond returns

Fama, Eugene F.. Journal of Financial Economics 13 (4), pp. 529–546. doi:10.1016/0304-405x(84)90014-x

Estimates expected returns on US Treasury bills from forward rates and from average returns: they peak at maturities of eight to nine months and do not rise steadily out to twelve months; for longer bonds, volatility rules out precise conclusions.

Cited in: Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Glossary: Expectations hypothesis

Fama and French (1989) · Business conditions and expected returns on stocks and bonds

Fama, Eugene F.; French, Kenneth R.. Journal of Financial Economics 25 (1), pp. 23–49. doi:10.1016/0304-405X(89)90095-0

Expected returns on stocks and bonds vary with business conditions: higher in weak phases, lower in strong ones.

Cited in: Macro dashboard and regime analysis: methodology

Fama and French (1992) · The Cross-Section of Expected Stock Returns

Fama, Eugene F.; French, Kenneth R.. The Journal of Finance 47 (2), pp. 427–465. doi:10.1111/j.1540-6261.1992.tb04398.x

Size and the book-to-market ratio explain stock returns, while beta barely does; this was the starting point of the three-factor model.

Cited in: CAPM: the capital asset pricing model and the security market line · Factor investing: understanding the Fama-French factors · Fundamental analysis: valuing a company like an investor · Glossary: HML · Glossary: Value premium · Glossary: Price-to-book ratio (P/B)

Fama and French (2002) · The Equity Premium

Fama, Eugene F.; French, Kenneth R.. The Journal of Finance 57 (2), pp. 637–659. doi:10.1111/1540-6261.00437

Estimates the equity risk premium for 1951–2000 from dividend and earnings growth at 2.55% and 4.32% respectively, far below the 7.43% implied by the average return.

Cited in: Equity risk premium: how much more equities return and why it is a puzzle

Fama and French (2012) · Size, value, and momentum in international stock returns

Fama, Eugene F.; French, Kenneth R.. Journal of Financial Economics 105 (3), pp. 457–472. doi:10.1016/j.jfineco.2012.05.011

Size, value and momentum in international stock markets; premiums in Europe, Japan and Asia Pacific.

Cited in: World portfolio: the whole world in one or two ETFs · Factor investing: understanding the Fama-French factors

Fama (2014) · Two Pillars of Asset Pricing

Fama, Eugene F.. American Economic Review 104 (6), pp. 1467–1485. doi:10.1257/aer.104.6.1467

Nobel lecture on market efficiency and asset pricing models; the section on bubbles finds no reliable evidence that price declines are predictable.

Cited in: Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht · Glossary: Speculative bubble

Fama and French (2015) · A five-factor asset pricing model

Fama, Eugene F.; French, Kenneth R.. Journal of Financial Economics 116 (1), pp. 1–22. doi:10.1016/j.jfineco.2014.10.010

Extends the model with profitability (RMW) and investment (CMA) into the five-factor model.

Cited in: Factor investing: understanding the Fama-French factors · Factor regression, factor allocation and factor statistics: methodology · Glossary: RMW · Glossary: CMA · Glossary: Five-factor model

Fama and French (2021) · The Value Premium

Fama, Eugene F.; French, Kenneth R.. The Review of Asset Pricing Studies 11 (1), pp. 105–121. doi:10.1093/rapstu/raaa021

The value premium was considerably lower in the second half of the period July 1963 to June 2019, but because of its high volatility an unchanged expected premium cannot be rejected.

Cited in: Fundamental analysis: valuing a company like an investor

Favre and Galeano (2002) · Mean-Modified Value-at-Risk Optimization with Hedge Funds

Favre, Laurent; Galeano, José-Antonio. The Journal of Alternative Investments 5 (2), pp. 21–25. doi:10.3905/jai.2002.319052

Modified value at risk: the normal VaR corrected for skewness and kurtosis (Cornish-Fisher), for assets such as hedge funds.

Cited in: Skewness and kurtosis: why market crashes are more frequent than the normal distribution says

Weekly Economic Index (Dallas Fed) (2026) · Weekly Economic Index (Lewis-Mertens-Stock), Daten 2008 bis heute

Federal Reserve Bank of Dallas. Federal Reserve Bank of Dallas (seit Dezember 2023, vorher New York Fed); abgerufen am 27.10.2026. Source

Weekly index of real economic activity in the US from ten series, scaled to year-on-year GDP growth; under the terms of use it may be reproduced with attribution, but not for private profit.

Cited in: Economic pulse: how Portfolio Lab calculates early indicators · Glossary: Weekly Economic Index

Feigenbaum and Freund (1996) · Discrete Scale Invariance in Stock Markets Before Crashes

Feigenbaum, James A.; Freund, Peter G. O.. International Journal of Modern Physics B 10 (27), pp. 3737–3745. doi:10.1142/S021797929600204X

Crashes as critical points in a system with discrete scale invariance: the complex exponent leads to log-periodic oscillations.

Cited in: Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht · Glossary: Discrete scale invariance

Feigenbaum (2001) · A statistical analysis of log-periodic precursors to financial crashes

Feigenbaum, James A.. Quantitative Finance 1 (3), pp. 346–360. doi:10.1088/1469-7688/1/3/306

Critical test: without the last year before the 1987 crash, the log-periodic component in the S&P 500 is not statistically significant.

Cited in: Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht

Fernholz (2002) · Stochastic Portfolio Theory

Fernholz, E. Robert. Springer. doi:10.1007/978-1-4757-3699-1

Textbook on stochastic portfolio theory: portfolio growth rates, stock market diversity, functionally generated portfolios and the excess growth rate, the amount by which dispersion lifts a portfolio's growth rate above the average of its holdings.

Cited in: Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Overfitting check and diversification return: the calculations in Backtest and Tactical · Glossary: Stochastic portfolio theory · Glossary: Excess growth rate · Glossary: Functionally generated portfolio · Glossary: Excess growth

Fernholz and Shay (1982) · Stochastic Portfolio Theory and Stock Market Equilibrium

Fernholz, Robert; Shay, Brian. The Journal of Finance 37 (2), pp. 615–624. doi:10.1111/j.1540-6261.1982.tb03584.x

Stochastic portfolio theory: volatility lowers the growth rate, and a portfolio earns an additional return by rebalancing.

Cited in: CAGR: how to calculate the average annual return correctly · Rebalancing: getting your portfolio back on course · Volatility drag: why volatility costs you return · Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Overfitting check and diversification return: the calculations in Backtest and Tactical · Glossary: Stochastic portfolio theory · Glossary: Excess growth · Glossary: Volatility drag

Fezzi and Fanghella (2020) · Real-Time Estimation of the Short-Run Impact of COVID-19 on Economic Activity Using Electricity Market Data

Fezzi, Carlo; Fanghella, Valeria. Environmental and Resource Economics 76 (4), pp. 885–900. doi:10.1007/s10640-020-00467-4

Estimates the short-term effects of the pandemic from daily Italian electricity market data: the three weeks of the strictest lockdown reduced the corresponding GDP by about 30%, and at the end of June 2020 it was still about 8.5% below the level it would have reached without the outbreak.

Cited in: Economic pulse: how Portfolio Lab calculates early indicators · Glossary: Grid load

Filbeck and Bok (2025) · From Vision to Execution: How Investors Are Operationalizing the Total Portfolio Approach

Filbeck, Aaron; Bok, Jayne. CAIA Association mit dem Thinking Ahead Institute (WTW), Oktober 2025; abgerufen am 25.10.2026. Source

Analysis of interviews with more than a dozen investors on the move from SAA to the total portfolio approach; success depends more on culture and governance than on organisational structure.

Cited in: Strategic and tactical asset allocation and the total portfolio approach · Glossary: Total portfolio approach · Glossary: Competition for capital

Filimonov and Sornette (2013) · A stable and robust calibration scheme of the log-periodic power law model

Filimonov, Vladimir; Sornette, Didier. Physica A: Statistical Mechanics and its Applications 392 (17), pp. 3698–3707. doi:10.1016/j.physa.2013.04.012

Rewrites the LPPLS formula so that only three nonlinear parameters remain, which makes the cost function smooth and the estimation stable.

Cited in: Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht · Bubble indicator (LPPLS): methodology · Glossary: LPPLS model

Finance Magnates (2025) · CFTC Folds Its Hand in Election Betting Showdown with Kalshi

Finance Magnates. Finance Magnates, 6.5.2025; abgerufen am 25.10.2026. Source

On 5 May 2025, the CFTC moved to withdraw its appeal in the case over Kalshi's election contracts.

Cited in: Prediction markets as bets on events: what they can and cannot do

FASB, ASU 2023-08 (2023) · Accounting Standards Update No. 2023-08: Intangibles—Goodwill and Other—Crypto Assets (Subtopic 350-60): Accounting for and Disclosure of Crypto Assets

Financial Accounting Standards Board. FASB, Dezember 2023; abgerufen am 25.10.2026. Source

Under US GAAP, crypto assets that meet six criteria must be measured at fair value with changes recognised in net income; mandatory for fiscal years beginning after 15 December 2024.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

FINRA (2009) · Regulatory Notice 09-31: Non-Traditional ETFs – FINRA Reminds Firms of Sales Practice Obligations Relating to Leveraged and Inverse Exchange-Traded Funds

Financial Industry Regulatory Authority. FINRA, 11.06.2009; abgerufen am 25.10.2026. Source

Warns that leveraged and inverse ETFs, which reset daily, deviate sharply from their daily target over longer periods; with examples from December 2008 to April 2009.

Cited in: Gehebelte ETFs und Return Stacking: Pfadabhängigkeit, Kosten und Forschung · Glossary: Inverse ETF

FINRA Rule 4210 (2026) · FINRA Rule 4210: Margin Requirements

Financial Industry Regulatory Authority. FINRA Rulebook, Fassung mit Änderungen bis Juni 2026. Source

Margin rules for US brokers; the minimum margin for stocks bought on credit is 25% of current market value.

Cited in: Leverage in a portfolio: return, risk, costs and margin calls · Glossary: Maintenance margin · Glossary: Margin call

FSB (2026) · Report on Vulnerabilities in Private Credit

Financial Stability Board. Financial Stability Board, Basel, 6.5.2026; abgerufen am 25.10.2026. Source

Financial Stability Board: private credit of US$1.5 to 2 trillion (end of 2024), higher borrower leverage than for leveraged loans, PIK in about 12% of loans, interconnections with banks and insurers, data gaps.

Cited in: Private Debt in der Praxis: Direct Lending, Unitranche, Mezzanine, Kreditstruktur und Fondsvehikel · Glossary: Payment in kind (PIK)

Finance Committee (2026) · Beschlussempfehlung und Bericht zum Entwurf eines Gesetzes zur Einführung einer Frühstartrente, Drucksache 21/8606 vom 14.10.2026 (Vorabfassung)

Finanzausschuss des Deutschen Bundestages. Deutscher Bundestag, 21. Wahlperiode; abgerufen am 25.10.2026. Source

Key figures: €10 per month, paid quarterly to the provider, entry into force on 1 January 2027, a special fund at the Bundesbank from 1 January 2028 invested only in globally diversified equities or equity funds, no acquisition or distribution costs, transfer once the child comes of age, and unused funds revert to the federal government after the age of 35.

Cited in: Germany's new equity pension (Aktienrente): Frühstart-Rente, Generationenkapital, Altersvorsorgedepot · Kinderdepot or parents' account? Tax, gifts, BAföG and family health insurance · Glossary: Frühstart-Rente (early start pension)

Bundestag Finance Committee (2026) · Beschlussempfehlung zum Entwurf eines Gesetzes zur Reform der steuerlich geförderten privaten Altersvorsorge (Altersvorsorgereformgesetz), Drucksache 21/4996 vom 25.3.2026

Finanzausschuss des Deutschen Bundestages. Deutscher Bundestag, 21. Wahlperiode; abgerufen am 26.10.2026. Source

Special-expense deduction under § 10a EStG of up to €1,800 plus the subsidy, a basic subsidy of 50% up to €360 and 25% up to €1,800, a child subsidy of up to €300 and a minimum own contribution of €120; Riester contracts concluded before 2027 remain under the previous rules.

Cited in: Retirement saving in Germany compared: company pension, Rürup, Altersvorsorgedepot and ETF pension insurance versus an ETF savings plan

Fischer and Krauss (2018) · Deep learning with long short-term memory networks for financial market predictions

Fischer, Thomas; Krauss, Christopher. European Journal of Operational Research 270 (2), pp. 654–669. doi:10.1016/j.ejor.2017.11.054

Before costs, LSTM networks predict the daily direction of S&P 500 stocks better than random forests and other methods; from 2010 onwards the advantage fades.

Cited in: Prognosemodelle für Renditen: ARIMA, GARCH, LSTM und Machine Learning · Glossary: LSTM

Fisher (1930) · The Theory of Interest

Fisher, Irving. Macmillan. Source

Distinguishes nominal and real interest rates (Fisher equation) and explains interest from impatience and investment opportunities.

Cited in: Compound interest: how returns on returns make wealth grow · Real return: what is left after inflation · Glossary: Real interest rate · Glossary: Fisher equation

Fisher and Weil (1971) · Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies

Fisher, Lawrence; Weil, Roman L.. The Journal of Business 44 (4). doi:10.1086/295402

Shows how duration can be used to immunise a bond portfolio against interest rate changes.

Cited in: Duration: how strongly bonds react to interest rates · Asset-liability management: aligning your wealth with future spending · Bond math: calculating price, yield, duration, convexity and spreads · Liability Driven Investing und Cashflow Driven Investing: Verbindlichkeiten mit Anleihen decken · ALM methodology: how Portfolio Lab measures assets against liabilities · Risk factors in the look-through: methodology · Glossary: Immunisation

Fisher (2003) · Common Stocks and Uncommon Profits and Other Writings

Fisher, Philip A.. Wiley, new edition (first published 1958).

Finding growth stocks and holding them for a long time: 15 characteristics of an outstanding company and research among customers, suppliers and competitors (“scuttlebutt”).

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Fitzpatrick (2023) · Ireland's ETF supremacy

Fitzpatrick, Ciarán. State Street, 20.12.2023; abgerufen am 25.10.2026. Source

Attributes Ireland's lead as an ETF domicile partly to its tax treaty with the US, which cuts the withholding tax on US dividends for Irish ETFs from 30% to 15%.

Cited in: Withholding tax on dividends: tax credit, refunds and fund domicile

FIX Trading Community (2012) · Market On Cash Close / Open (Diskussion im Forum)

FIX Trading Community. FIX Trading Community, Beiträge vom 17./18.5.2012; abgerufen am 27.10.2026. Source

Practitioners ask how MOCC/MOCO orders (market on cash close/open) for index futures can be represented in the FIX protocol; there is no dedicated standard value, and brokers implement them via the time in force or custom fields.

Cited in: Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC · Glossary: Market on cash close

Flavin and Yamashita (2002) · Owner-Occupied Housing and the Composition of the Household Portfolio

Flavin, Marjorie; Yamashita, Takashi. American Economic Review 92 (1), pp. 345–362. doi:10.1257/000282802760015775

The owner-occupied home as a constrained asset in a mean-variance framework: because it makes up a large share of net worth, young households should hold fewer equities than older ones.

Cited in: Your whole wealth: total wealth from portfolio, home, human capital and car · Glossary: Owner-occupied home

Fletcher and Hillier (2001) · An Examination of Resampled Portfolio Efficiency

Fletcher, Jonathan; Hillier, Joe. Financial Analysts Journal 57 (5), pp. 66–74. doi:10.2469/faj.v57.n5.2482

Tests resampling out of sample in international asset allocation 1983–2000: somewhat better Sharpe ratios, but hardly any significant excess returns.

Cited in: Resampling-Optimierung nach Michaud: stabilere Portfoliogewichte durch Simulation

Forbes and Rigobon (2002) · No Contagion, Only Interdependence: Measuring Stock Market Comovements

Forbes, Kristin J.; Rigobon, Roberto. The Journal of Finance 57 (5), pp. 2223–2261. doi:10.1111/0022-1082.00494

Shows that higher correlations in crises are partly a statistical effect of higher volatility.

Cited in: Correlation and diversification: why mixing assets reduces risk · Stock-bond correlation: regimes, drivers and what it means for 60/40, risk parity and hedging · Szenarioanalyse und Sensitivitätsanalyse: Aktien-, Zins-, Kredit- und Währungsrisiko im Stresstest

Troutman Pepper Locke (2024) · SEC Approves Spot Ether ETFs (24. Juli 2024)

Ford, John M.; Falco, John P.; Edwards, Theodore D.; Goldman, Joseph A.. Troutman Pepper Locke LLP; abgerufen am 25.10.2026. Source

On 22 July 2024 the SEC declared nine registrations of spot ether ETFs effective; trading began on 23 July 2024.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

Frank et al. (2004) · Copycat Funds: Information Disclosure Regulation and the Returns to Active Management in the Mutual Fund Industry

Frank, Mary Margaret; Poterba, James M.; Shackelford, Douglas A.; Shoven, John B.. The Journal of Law and Economics 47 (2), pp. 515–541. doi:10.1086/422982

Copycat funds that immediately buy the disclosed holdings of active funds were statistically on a par after costs, and possibly ahead, in a small sample of expensive funds from the 1990s.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Glossary: Copycat strategy

Franzoni et al. (2012) · Private Equity Performance and Liquidity Risk

Franzoni, Francesco; Nowak, Eric; Phalippou, Ludovic. The Journal of Finance 67 (6), pp. 2341–2373. doi:10.1111/j.1540-6261.2012.01788.x

Private equity carries the same liquidity risk as listed equities; the premium for it is about 3% a year and explains the measured alpha.

Cited in: ELTIFs: private markets for private investors under the ELTIF 2.0 rules · Private equity explained: strategies, fund structure, fees and what research shows about returns · Private Markets messen: J-Kurve, Cashflows, Glättung und Public Proxy · Glossary: Illiquidity premium

Frazzini et al. (2018) · Buffett’s Alpha

Frazzini, Andrea; Kabiller, David; Pedersen, Lasse Heje. Financial Analysts Journal 74 (4), pp. 35–55. doi:10.2469/faj.v74.n4.3

Berkshire Hathaway achieved a Sharpe ratio of 0.79; its alpha becomes insignificant when controlling for the betting-against-beta and quality-minus-junk factors, and its leverage averages about 1.7 to 1.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Bremisches Gesetzblatt (2025) · Zweites Gesetz zur Änderung des Gesetzes über die Festsetzung des Steuersatzes für die Grunderwerbsteuer vom 22. Januar 2025

Freie Hansestadt Bremen. Gesetzblatt der Freien Hansestadt Bremen 2025, Nr. 9 vom 5.2.2025; abgerufen am 26.10.2026. Source

Bremen raises the real estate transfer tax to 5.5% for acquisitions from 1 July 2025.

Cited in: Rent or buy: user cost, purchase costs in 2026 and a 20-year wealth comparison · Glossary: Real estate transfer tax (Grunderwerbsteuer)

French and Poterba (1991) · Investor Diversification and International Equity Markets

French, Kenneth; Poterba, James. National Bureau of Economic Research, Working Paper 3609. doi:10.3386/w3609

Investors in the US, Japan and the UK hold almost exclusively domestic equities (home bias), even though diversification would reduce risk.

Cited in: Correlation and diversification: why mixing assets reduces risk · Home bias: the preference for your home market and what it costs · World portfolio: the whole world in one or two ETFs · Look-through: what is really inside your ETFs · Glossary: Home bias

French (2008) · Presidential Address: The Cost of Active Investing

French, Kenneth R.. The Journal of Finance 63 (4), pp. 1537–1573. doi:10.1111/j.1540-6261.2008.01368.x

Estimates the cost of active investing in the US at about 0.67% of market value per year.

Cited in: Active or passive investing: ETFs versus fund managers · ETF basics: costs, replication and use of income · The efficient market hypothesis: why it is so hard to beat the market · Tracking error and information ratio: deviation from the index · Glossary: Active fund

EIA (2020) · Crude oil tanker rates are likely to remain low until global petroleum demand increases

French, Matt. U.S. Energy Information Administration, Today in Energy, 28.10.2020. Source

Tanker rates and floating storage in spring 2020: the volume of crude oil stored on tankers multiplied between March and July.

Cited in: Ship tracking data and satellite images: what they reveal about commodities · Glossary: Floating storage

Frieder and Zittrain (2006) · Spam Works: Evidence from Stock Touts and Corresponding Market Activity

Frieder, Laura; Zittrain, Jonathan. SSRN Working Paper 920553; erschienen 2008 im Hastings Communications and Entertainment Law Journal. doi:10.2139/ssrn.920553

Touted US penny stocks rise before heavy spam promotion, trade heavily during it and fall afterwards; investors who buy on the day of peak promotion lose on average.

Cited in: Pump and dump and penny stocks: how the scam works

Frino and Gallagher (2001) · Tracking S&P 500 Index Funds

Frino, Alex; Gallagher, David R.. The Journal of Portfolio Management 28 (1), pp. 44–55. doi:10.3905/jpm.2001.319822

Tracking error of index funds and its causes: costs, dividends, index changes.

Cited in: ETF basics: costs, replication and use of income · Index providers and valuation points: why the same index is calculated differently · Tracking error and information ratio: deviation from the index · Index-Replikation: vollständige Replikation, optimiertes Sampling und Swap · Glossary: Index rebalancing

Frongello (2002) · Linking Single Period Attribution Results

Frongello, Andrew Scott Bay. The Journal of Performance Measurement 6 (3), pp. 10–22. Source

Presents a method for linking single-period attribution results over several periods; according to Bacon's (2019) survey, it gives the same results as the method of the French working group GRAP but depends on the order of the periods.

Cited in: Multi-Asset-Attribution: Gewichtungsschemata, Top-down und Bottom-up, Währungen und Overlays

Froot et al. (2017) · What do measures of real-time corporate sales say about earnings surprises and post-announcement returns?

Froot, Kenneth; Kang, Namho; Ozik, Gideon; Sadka, Ronnie. Journal of Financial Economics 125 (1), pp. 143–162. doi:10.1016/j.jfineco.2017.04.008

Real-time measures of retailers' sales, based in part on mobile device data, explain revenue and earnings surprises and the share price reaction to quarterly results.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Glossary: Geolocation data

Froot and Thaler (1990) · Anomalies: Foreign Exchange

Froot, Kenneth A.; Thaler, Richard H.. Journal of Economic Perspectives 4 (3), pp. 179–192. doi:10.1257/jep.4.3.179

Survey of the test for forward discount bias, which clearly rejects the null hypothesis, and of possible explanations.

Cited in: Carry trade: earning interest with currencies and bonds · Glossary: Uncovered interest parity · Glossary: Forward premium puzzle

Froot (1993) · Currency Hedging over Long Horizons

Froot, Kenneth A.. National Bureau of Economic Research, Working Paper 4355. doi:10.3386/w4355

Full currency hedging reduces volatility over short horizons, but hardly at all over several years, and sometimes even increases it.

Cited in: Currency risk: how exchange rates change your return · Asset classes with a long history: methodology

FTSE Russell GEIS Dates (2023) · FTSE Global Equity Index Series: Index review reference data and dates 2023

FTSE Russell. LSEG/FTSE Russell, Januar 2023; abgerufen am 25.10.2026. Source

Semi-annual reviews in March and September and quarterly reviews in June and December, effective from the Monday after the third Friday; monthly preview lists.

Cited in: MSCI World vs ACWI vs FTSE All-World: structure, concentration and combinations · Index providers and valuation points: why the same index is calculated differently · Smart Indexing: Mehrwert für Indexfonds rund um Corporate Actions und Indexänderungen

FTSE All-World Factsheet (2026) · FTSE All-World Index, Factsheet, Stand 27. Februar 2026

FTSE Russell. LSEG/FTSE Russell; abgerufen am 26.10.2026. Source

4,254 large and mid cap constituents; US 59.77%, Japan 6.30%, the ten largest constituents 22.12%, technology (ICB) 29.47%.

Cited in: MSCI World vs ACWI vs FTSE All-World: structure, concentration and combinations

FTSE Russell Country Classification (2026) · FTSE Equity Country Classification – Annual Announcement (September 2026 Review)

FTSE Russell. LSEG/FTSE Russell, 6.10.2026; abgerufen am 25.10.2026. Source

FTSE Russell's list of developed and emerging markets; South Korea and Poland count as developed markets, and Greece has done so since 21 September 2026.

Cited in: MSCI World vs ACWI vs FTSE All-World: structure, concentration and combinations · Index providers and valuation points: why the same index is calculated differently · Glossary: Country classification

FTSE Russell Calculation Guide (2026) · Guide to Calculation FTSE Global Equity Index Series, v3.9

FTSE Russell. LSEG/FTSE Russell, August 2026; abgerufen am 25.10.2026. Source

Index formulas of the FTSE equity indices, with exchange rates at 16:00 London time and total return indices net of withholding tax for investors without treaty benefits.

Cited in: Index providers and valuation points: why the same index is calculated differently · Glossary: FX fixing

FTSE Russell Reconstitution (2026) · Russell US Indexes Reconstitution 2026 Schedule

FTSE Russell. LSEG/FTSE Russell, Pressemitteilung vom 2.3.2026; abgerufen am 25.10.2026. Source

Schedule of the 2026 Russell reconstitution with rank day on 30 April, preliminary lists from 22 May and implementation on 26 June; semi-annual in June and December in future.

Cited in: Smart Indexing: Mehrwert für Indexfonds rund um Corporate Actions und Indexänderungen

Fung and Hsieh (1997) · Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds

Fung, William; Hsieh, David A.. Review of Financial Studies 10 (2), pp. 275–302. doi:10.1093/rfs/10.2.275

Hedge funds follow dynamic strategies that differ sharply from those of mutual funds; five dominant styles complement Sharpe's style analysis.

Cited in: Short selling, hedge funds and hedging: types and how they work · Glossary: Hedge fund

Fung and Hsieh (2001) · The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers

Fung, William; Hsieh, David A.. Review of Financial Studies 14 (2), pp. 313–341. doi:10.1093/rfs/14.2.313

Replicates trend followers with lookback straddles: these explain their option-like returns better than linear models with market indices.

Cited in: CTAs and managed futures: industry, position sizing, costs and crisis protection · Short selling, hedge funds and hedging: types and how they work · Glossary: Managed futures · Glossary: Crisis alpha

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SPIVA U.S. (2026) · SPIVA U.S. Year-End 2025

Ganti, Anu R.; Di Gioia, Davide; Didio, Nick; Flaherty, Liam. S&P Dow Jones Indices, 3.3.2026; abgerufen am 25.10.2026. Source

A comparison of active US funds with their benchmarks at year-end 2025, including bond funds by category.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities

Gârleanu and Pedersen (2011) · Margin-based Asset Pricing and Deviations from the Law of One Price

Gârleanu, Nicolae; Pedersen, Lasse Heje. Review of Financial Studies 24 (6), pp. 1980–2022. doi:10.1093/rfs/hhr027

Margin requirements raise the required return; in funding crises, bases open up between securities with identical cash flows, tested on the CDS-bond basis.

Cited in: Basis trades: positive and negative basis in bonds, CDS and futures

Garman and Kohlhagen (1983) · Foreign currency option values

Garman, Mark B.; Kohlhagen, Steven W.. Journal of International Money and Finance 2 (3), pp. 231–237. doi:10.1016/S0261-5606(83)80001-1

Black-Scholes for currency options with domestic and foreign interest rates (the Garman-Kohlhagen model).

Cited in: Optionsbewertung: wie faire Optionspreise entstehen · Option pricer: how Portfolio Lab values options · Glossary: Garman-Kohlhagen model

Gaspar et al. (2006) · Favoritism in Mutual Fund Families? Evidence on Strategic Cross-Fund Subsidization

Gaspar, José-Miguel; Massa, Massimo; Matos, Pedro. The Journal of Finance 61 (1), pp. 73–104. doi:10.1111/j.1540-6261.2006.00830.x

Fund families shift returns to funds with high fees or good past performance, among other ways through the allocation of new issues and opposite trades between the funds.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing

Gastineau (2002) · Equity Index Funds Have Lost Their Way

Gastineau, Gary L.. The Journal of Portfolio Management 28 (2), pp. 55–64. doi:10.3905/jpm.2002.319832

Concentrated trading at index changes makes index funds tracking popular indices more expensive than they need to be.

Cited in: Smart Indexing: Mehrwert für Indexfonds rund um Corporate Actions und Indexänderungen

Gatev et al. (2006) · Pairs Trading: Performance of a Relative-Value Arbitrage Rule

Gatev, Evan; Goetzmann, William N.; Rouwenhorst, K. Geert. Review of Financial Studies 19 (3), pp. 797–827. doi:10.1093/rfs/hhj020

Tests pairs trading with the distance method on US stocks in 1962–2002: pairs with the smallest distance between normalised prices, with trades opened at a divergence of two standard deviations.

Cited in: Pairs-Trading und statistische Arbitrage: Idee, Methoden, Forschung · Long/short and statistical arbitrage: methodology · Glossary: Pairs trading · Glossary: Distance method

Gatheral (2006) · The Volatility Surface: A Practitioner's Guide

Gatheral, Jim. Wiley.

A practitioner's book on the volatility surface: smile and skew, local and stochastic volatility, jumps.

Cited in: Optionsbewertung: wie faire Optionspreise entstehen · Glossary: Volatility smile

Gatheral and Jacquier (2014) · Arbitrage-free SVI volatility surfaces

Gatheral, Jim; Jacquier, Antoine. Quantitative Finance 14 (1), pp. 59–71. doi:10.1080/14697688.2013.819986

An SVI parametrisation of the smile free of static arbitrage: conditions that rule out butterfly and calendar arbitrage, and a calibration method.

Cited in: Optionsbewertung: wie faire Optionspreise entstehen · Option pricer: how Portfolio Lab values options · Glossary: SVI parametrisation · Glossary: Butterfly arbitrage

Geanakoplos (2010) · The Leverage Cycle

Geanakoplos, John. NBER Macroeconomics Annual 24 (1), pp. 1–66. doi:10.1086/648285

Theory of the leverage cycle: in good times lenders demand little collateral and leverage rises; in a crisis margins rise and force sales.

Cited in: Leverage in a portfolio: return, risk, costs and margin calls · Glossary: Lending value · Glossary: Deleveraging

SEC, bitcoin ETPs (2024) · Statement on the Approval of Spot Bitcoin Exchange-Traded Products (10. Januar 2024)

Gensler, Gary. U.S. Securities and Exchange Commission; abgerufen am 25.10.2026. Source

The SEC approved the listing and trading of several spot bitcoin ETPs, limited to products that hold bitcoin, without endorsing bitcoin, which it called primarily a speculative, volatile asset.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

CJEU (2026) · Urteil vom 16. April 2026, C-229/24 (Brännelius), ECLI:EU:C:2026:298

Gerichtshof der Europäischen Union. Gerichtshof der Europäischen Union, Vierte Kammer; vorläufige deutsche Fassung, abgerufen am 25.10.2026. Source

Information is only considered public within the meaning of Art. 7 MAR once it has been disclosed under Art. 17 MAR; disclosure to a limited group or mere availability on request is not enough.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Insider trading: what is prohibited, what is allowed and what directors' dealings reveal · Glossary: Inside information

Gerlach et al. (2019) · Dissection of Bitcoin's multiscale bubble history from January 2012 to February 2018

Gerlach, J. C.; Demos, Guilherme; Sornette, Didier. Royal Society Open Science 6 (7), pp. 180643. doi:10.1098/rsos.180643

Bitcoin bubbles from 2012 to 2018 measured with LPPLS confidence, defined as the share of qualified fits across many time windows.

Cited in: Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht · Bubble indicator (LPPLS): methodology · Glossary: LPPLS confidence

Getmansky et al. (2004) · An econometric model of serial correlation and illiquidity in hedge fund returns

Getmansky, Mila; Lo, Andrew W.; Makarov, Igor. Journal of Financial Economics 74 (3), pp. 529–609. doi:10.1016/j.jfineco.2004.04.001

Smoothed returns of illiquid assets: a distributed lag model, an estimate of the degree of smoothing and an adjusted Sharpe ratio.

Cited in: Private credit and public credit compared: returns, risks and what the research shows · Short selling, hedge funds and hedging: types and how they work · Private Markets messen: J-Kurve, Cashflows, Glättung und Public Proxy · Private markets methodology: analysing funds, forecasting cash flows, planning commitments · Glossary: Return smoothing

GIC (2013) · GIC's New Investment Framework

GIC Private Limited. GIC, Singapur; abgerufen am 25.10.2026. Source

Since 1 April 2013, a reference portfolio of 65% global equities and 35% global bonds, beneath it a policy portfolio of six core asset classes and an active portfolio within risk limits.

Cited in: Strategic and tactical asset allocation and the total portfolio approach · Glossary: Policy portfolio

Gilson (1995) · Investing in Distressed Situations: A Market Survey

Gilson, Stuart C.. Financial Analysts Journal 51 (6), pp. 8–27. doi:10.2469/faj.v51.n6.1946

A survey of investing in distressed companies: the risks are highly firm-specific, and those who understand insolvency law and recognise or create value in a crisis earn the most.

Cited in: Distressed debt: strategies, insolvency law, recovery rates and returns when investing in crises

GKV-Spitzenverband (2022) · Grundsätzliche Hinweise zum Gesamteinkommen vom 29. September 2022

GKV-Spitzenverband. GKV-Spitzenverband, gültig ab 1.10.2022; über den Verband der Ersatzkassen abgerufen am 26.10.2026. Source

Investment income counts towards total income even when it is subject to the flat-rate withholding tax (Abgeltungsteuer), reduced by the saver's allowance (Sparer-Pauschbetrag).

Cited in: Kinderdepot or parents' account? Tax, gifts, BAföG and family health insurance · Glossary: Familienversicherung (family health insurance)

Glasserman et al. (2015) · Stress scenario selection by empirical likelihood

Glasserman, Paul; Kang, Chulmin; Kang, Wanmo. Quantitative Finance 15 (1), pp. 25–41. doi:10.1080/14697688.2014.926019

Method for reverse stress tests: it finds the most likely combinations of factor moves that lead to a loss above a threshold, using the conditional expectation of the factors given large losses.

Cited in: Szenarioanalyse und Sensitivitätsanalyse: Aktien-, Zins-, Kredit- und Währungsrisiko im Stresstest · Scenario methodology: how Portfolio Lab runs stress tests · Glossary: Reverse stress test

Gleiss Lutz (2026) · Änderungen der Marktmissbrauchsverordnung (MAR) durch den EU Listing Act – Inkrafttreten am 5. Juni 2026

Gleiss Lutz. Gleiss Lutz, Know-how; abgerufen am 25.10.2026. Source

Since 5 June 2026, issuers need only disclose the final event of a protracted process ad hoc; intermediate steps can still be inside information, and insider dealing prohibitions and insider lists continue to apply to them.

Cited in: Insider trading: what is prohibited, what is allowed and what directors' dealings reveal · Glossary: Ad hoc disclosure

Glosten and Milgrom (1985) · Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

Glosten, Lawrence R.; Milgrom, Paul R.. Journal of Financial Economics 14 (1), pp. 71–100. doi:10.1016/0304-405X(85)90044-3

A bid-ask spread arises simply because the market maker loses to better-informed traders (adverse selection), even without costs, risk aversion or profit.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing · Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC · Glossary: Adverse selection

Goetzmann (1993) · Accounting for Taste: Art and the Financial Markets over Three Centuries

Goetzmann, William N.. American Economic Review 83 (5), pp. 1370–1376. Source

Early long-term study comparing art prices with the financial markets over three centuries (details checked via RePEc, no abstract available).

Cited in: Collectibles as an investment: what art, wine, watches and classic cars really return

Goetzmann et al. (2011) · Art and Money

Goetzmann, William N.; Renneboog, Luc; Spaenjers, Christophe. American Economic Review 101 (3), pp. 222–226. doi:10.1257/aer.101.3.222

Over two centuries, stock returns had a marked influence on art prices; top incomes and art prices are linked in the long run.

Cited in: Collectibles as an investment: what art, wine, watches and classic cars really return

Goldman et al. (1979) · Path Dependent Options: “Buy at the Low, Sell at the High”

Goldman, M. Barry; Sosin, Howard B.; Gatto, Mary Ann. The Journal of Finance 34 (5), pp. 1111–1127. doi:10.1111/j.1540-6261.1979.tb00059.x

Closed-form valuation of lookback options with a floating strike.

Cited in: Optionsbewertung: wie faire Optionspreise entstehen · Option pricer: how Portfolio Lab values options · Glossary: Lookback option

Gompers and Lerner (2001) · The Venture Capital Revolution

Gompers, Paul; Lerner, Josh. Journal of Economic Perspectives 15 (2), pp. 145–168. doi:10.1257/jep.15.2.145

A survey of venture capital research: mechanisms against information and incentive problems at each stage of financing, and the ways they go wrong.

Cited in: Venture capital: funding rounds, valuation, the power law and what research knows about returns

Gordon (1959) · Dividends, Earnings, and Stock Prices

Gordon, Myron J.. The Review of Economics and Statistics 41 (2). doi:10.2307/1927792

Tests whether investors buying shares pay for dividends, earnings or both, and values shares as a stream of growing dividends; this is the basis of the Gordon growth model.

Cited in: Dividend strategies and dividend ETFs under scrutiny: irrelevance, taxes, factors · Fundamental analysis: valuing a company like an investor · Glossary: Gordon growth model

Gornall and Strebulaev (2020) · Squaring venture capital valuations with reality

Gornall, Will; Strebulaev, Ilya A.. Journal of Financial Economics 135 (1), pp. 120–143. doi:10.1016/j.jfineco.2018.04.015

Revalues 135 US unicorns taking account of their preferred-share terms: reported post-money valuations are on average 48% above fair value, and common shares are overvalued by 56%.

Cited in: Venture capital: funding rounds, valuation, the power law and what research knows about returns · Glossary: Liquidation preference

Gorton and Rouwenhorst (2006) · Facts and Fantasies about Commodity Futures

Gorton, Gary; Rouwenhorst, K. Geert. Financial Analysts Journal 62 (2), pp. 47–68. doi:10.2469/faj.v62.n2.4083

An equally weighted index of fully collateralised commodity futures delivered a return and Sharpe ratio similar to US equities from 1959 to 2004, with negative correlation to equities and bonds.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities · Liquid real assets: inflation protection with tradable real assets in a portfolio

Gorton and Zhang (2023) · Taming Wildcat Stablecoins

Gorton, Gary B.; Zhang, Jeffery Y.. University of Chicago Law Review 90 (3). Source

Stablecoins resemble the private banknotes of the 19th century: their issuers are unregulated banks vulnerable to runs; the options discussed are issuance by banks only, one-to-one backing with safe assets, and public digital money.

Cited in: Digital assets: tokenisation, stablecoins, crypto securities and the digital euro · Glossary: Stablecoin

Goyal and Wahal (2008) · The Selection and Termination of Investment Management Firms by Plan Sponsors

Goyal, Amit; Wahal, Sunil. The Journal of Finance 63 (4), pp. 1805–1847. doi:10.1111/j.1540-6261.2008.01375.x

Across 3,400 pension plans from 1994 to 2003, managers are hired after high excess returns that do not continue afterwards, and fired managers would have done as well as their successors.

Cited in: RFP and mandate awards: how institutional investors select asset managers

von Bothmer and Meister (2003) · Predicting critical crashes? A new restriction for the free variables

Graf von Bothmer, Hans-Christian; Meister, Christian. Physica A: Statistical Mechanics and its Applications 320, pp. 539–547. doi:10.1016/S0378-4371(02)01535-2

Additional constraint on the model's parameters so that the crash hazard rate cannot become negative (damping).

Cited in: Bubble indicator (LPPLS): methodology

Graham (2003) · The Intelligent Investor

Graham, Benjamin. HarperBusiness Essentials, revised edition with commentary by Jason Zweig (first published 1949).

Graham's guide for private investors: defensive and enterprising investing, Mr. Market and the margin of safety as the core of investing.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Fundamental analysis: valuing a company like an investor · Glossary: Margin of safety · Glossary: Value investing

Graham and Dodd (2008) · Security Analysis

Graham, Benjamin; Dodd, David L.. McGraw-Hill, 6th edition (first published 1934).

The foundational work of security analysis: the intrinsic value of a security can be estimated from assets, earning power and distributions, and the price can deviate from it for a long time.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Fundamental analysis: valuing a company like an investor · Glossary: Value investing

Gredil et al. (2023) · Benchmarking private equity: The direct alpha method

Gredil, Oleg R.; Griffiths, Barry; Stucke, Rüdiger. Journal of Corporate Finance 81, pp. 102360. doi:10.1016/j.jcorpfin.2023.102360

Proposes direct alpha, a fund's annual excess return over an index calculated from cash flows compounded at the index return, and compares it with the common PME methods.

Cited in: Private Markets messen: J-Kurve, Cashflows, Glättung und Public Proxy · Takahashi-Alexander-Modell: Cashflows von Private-Markets-Fonds planen · Private markets methodology: analysing funds, forecasting cash flows, planning commitments · Glossary: Public market equivalent

Greenblatt (2005) · The Little Book That Beats the Market

Greenblatt, Joel. Wiley.

The “Magic Formula”: rank stocks by high earnings yield and high return on capital and buy the best.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Glossary: Magic formula

Greenwood, Shleifer and You (2019) · Bubbles for Fama

Greenwood, Robin; Shleifer, Andrei; You, Yang. Journal of Financial Economics 131 (1), pp. 20–43. doi:10.1016/j.jfineco.2018.09.002

Sharp price run-ups in industries do not on average predict low subsequent returns, but they substantially raise the probability of a crash.

Cited in: MSCI World vs ACWI vs FTSE All-World: structure, concentration and combinations · Thematic ETFs and hype: what studies, costs and overlaps reveal · Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht

Greenwood and Sammon (2022) · The Disappearing Index Effect

Greenwood, Robin; Sammon, Marco. NBER Working Paper 30748 (Fassung der späteren Veröffentlichung im Journal of Finance). doi:10.3386/w30748

The decline of the S&P 500 effect is explained mainly by promotions from the S&P MidCap 400 and the market's greater ability to meet demand on the effective date.

Cited in: Index-Effekt: Was bei Aufnahmen in einen Index und Streichungen mit den Kursen passiert

Greenwood and Sammon (2025) · The Disappearing Index Effect

Greenwood, Robin; Sammon, Marco. The Journal of Finance 80 (2), pp. 657–698. doi:10.1111/jofi.13410

The abnormal return on S&P 500 additions has fallen from 7.4% in the 1990s to below 1% in the last decade, even though more and more money is tied to the index.

Cited in: Index-Effekt: Was bei Aufnahmen in einen Index und Streichungen mit den Kursen passiert · Smart Indexing: Mehrwert für Indexfonds rund um Corporate Actions und Indexänderungen · Glossary: Index effect

Gregnanin et al. (2024) · Signature-based portfolio allocation: a network approach

Gregnanin, Marco; Zhang, Yanyi; De Smedt, Johannes; Gnecco, Giorgio; Parton, Maurizio. Applied Network Science 9, pp. Artikel 54. doi:10.1007/s41109-024-00651-1

Replaces the correlation matrix in portfolio optimisation with a similarity matrix built from path signatures; on the S&P 500, this produced higher cumulative log returns and Sharpe ratios in the authors' tests than the network approach with Pearson correlations.

Cited in: Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Glossary: Path signature

Gregory (2020) · The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin

Gregory, Jon. Wiley.

The standard work on counterparty risk, exposure, collateralisation, central clearing and the valuation adjustments CVA, DVA, FVA, ColVA, KVA and MVA.

Cited in: Basket Swaps, Total Return Swaps oder Futures: Markt-Exposure effizient aufbauen · Counterparty and issuer risk: CVA, ETCs, certificates and swaps · Glossary: Counterparty risk · Glossary: Expected exposure

Griffin and Shams (2020) · Is Bitcoin Really Untethered?

Griffin, John M.; Shams, Amin. The Journal of Finance 75 (4), pp. 1913–1964. doi:10.1111/jofi.12903

Purchases with the stablecoin Tether followed price declines during the 2017 boom, came from a single actor and pushed up the bitcoin price considerably, which points to unbacked digital money rather than investor demand.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget · Digital assets: tokenisation, stablecoins, crypto securities and the digital euro

Grinold (1989) · The fundamental law of active management

Grinold, Richard C.. The Journal of Portfolio Management 15 (3), pp. 30–37. doi:10.3905/jpm.1989.409211

The fundamental law of active management: information ratio ≈ forecasting skill × the square root of the number of independent decisions.

Cited in: Sharpe ratio: return per unit of risk · Alternative data: job ads, Reddit, X, satellites and card payments · Stock picking: why individual stocks are so hard to get right · Strategic and tactical asset allocation and the total portfolio approach · Tracking error and information ratio: deviation from the index · Glossary: Fundamental law of active management

Gross (1998) · Bill Gross on Investing

Gross, William H.. Wiley.

The co-founder of PIMCO on active bond management with a focus on total return from interest and price gains.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Grossman LLP (2026) · Spring 2026 Auction Season: Examining Recent Changes in Buyer's Premiums

Grossman LLP. Grossman LLP (Kanzlei für Kunstrecht), 14.5.2026; abgerufen am 25.10.2026. Source

Buyer's premiums at major international auction houses in spring 2026: 27 to 29% of the hammer price in the lowest price tier, 22% in the middle tier and 15% above $8 million.

Cited in: Collectibles as an investment: what art, wine, watches and classic cars really return · Glossary: Buyer's premium

Grossman and Zhou (1993) · Optimal Investment Strategies for Controlling Drawdowns

Grossman, Sanford J.; Zhou, Zhongquan. Mathematical Finance 3 (3), pp. 241–276. doi:10.1111/j.1467-9965.1993.tb00044.x

Optimal investment strategy when a drawdown must not exceed a fixed limit.

Cited in: Maximum drawdown: the largest loss from a peak

Grullon and Michaely (2002) · Dividends, Share Repurchases, and the Substitution Hypothesis

Grullon, Gustavo; Michaely, Roni. The Journal of Finance 57 (4), pp. 1649–1684. doi:10.1111/1540-6261.00474

US companies have gradually replaced dividends with share buybacks, which have become the preferred way to start paying out cash.

Cited in: Dividend strategies and dividend ETFs under scrutiny: irrelevance, taxes, factors · Glossary: Share buyback

Grundy and Martin (2001) · Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing

Grundy, Bruce D.; Martin, J. Spencer. The Review of Financial Studies 14 (1), pp. 29–78. doi:10.1093/rfs/14.1.29

Buying winners and selling losers creates time-varying factor loadings, depending on how the factors performed in the ranking period; adjusted for these loadings, momentum profits have been remarkably stable since 1926.

Cited in: Momentum-Crashes: warum Momentum selten, aber heftig einbricht und was Volatilitätssteuerung und Crowding-Maße zeigen

Gu et al. (2020) · Empirical Asset Pricing via Machine Learning

Gu, Shihao; Kelly, Bryan; Xiu, Dacheng. The Review of Financial Studies 33 (5), pp. 2223–2273. doi:10.1093/rfs/hhaa009

A comparison of machine learning methods for the risk premiums of individual stocks; trees and neural networks perform best, mainly because they capture nonlinear interactions.

Cited in: Prognosemodelle für Renditen: ARIMA, GARCH, LSTM und Machine Learning

NZ Super Fund (2023) · Reference Portfolio (Webseite, Aufteilung Stand September 2023)

Guardians of New Zealand Superannuation. Guardians of New Zealand Superannuation; abgerufen am 25.10.2026. Source

The New Zealand sovereign fund's notional, passive reference portfolio of 80% growth assets and 20% bonds, the yardstick for value added after all costs and the hurdle for active investments.

Cited in: Strategic and tactical asset allocation and the total portfolio approach · Glossary: Reference portfolio

Guidolin and Timmermann (2007) · Asset allocation under multivariate regime switching

Guidolin, Massimo; Timmermann, Allan. Journal of Economic Dynamics and Control 31 (11), pp. 3503–3544. doi:10.1016/j.jedc.2006.12.004

Four regimes for stocks and bonds (crash, slow growth, bull, recovery); the optimal weights depend strongly on the state and on the investment horizon.

Cited in: Regime-Modelle: Hidden Markov, Markov-Switching und Co.

Guo et al. (2011) · Do Buyouts (Still) Create Value?

Guo, Shourun; Hotchkiss, Edith S.; Song, Weihong. The Journal of Finance 66 (2), pp. 479–517. doi:10.1111/j.1540-6261.2010.01640.x

Public-to-private buyouts from 1990 to 2006: more conservatively priced and less levered than in the 1980s, with returns coming in similar measure from industry multiples, tax benefits of leverage and operating improvements.

Cited in: Buyout funds and management buyouts: how LBOs, MBOs and MBIs work

Gürkaynak et al. (2010) · The TIPS Yield Curve and Inflation Compensation

Gürkaynak, Refet S.; Sack, Brian; Wright, Jonathan H.. American Economic Journal: Macroeconomics 2 (1), pp. 70–92. doi:10.1257/mac.2.1.70

Estimates a daily yield curve for US inflation-protected Treasuries and derives inflation compensation from it; this is not a pure measure of inflation expectations but is distorted by an inflation risk premium and a liquidity premium.

Cited in: Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Macro dashboard and regime analysis: methodology · Glossary: TIPS

Gutiérrez et al. (2020) · Are Online Job Postings Informative to Investors?

Gutiérrez, Elizabeth; Lourie, Ben; Nekrasov, Alexander; Shevlin, Terry. Management Science 66 (7), pp. 3133–3141. doi:10.1287/mnsc.2019.3450

More online job postings are associated with better future business performance, especially for growth rather than replacement hiring; investors react positively to them.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments

H

Hagan and West (2006) · Interpolation Methods for Curve Construction

Hagan, Patrick S.; West, Graeme. Applied Mathematical Finance 13 (2), pp. 89–129. doi:10.1080/13504860500396032

A survey of interpolation methods for yield curves, their relationship with bootstrapping and their weaknesses.

Cited in: Bond math: calculating price, yield, duration, convexity and spreads

Hall and Woodward (2010) · The Burden of the Nondiversifiable Risk of Entrepreneurship

Hall, Robert E.; Woodward, Susan E.. American Economic Review 100 (3), pp. 1163–1194. doi:10.1257/aer.100.3.1163

Payouts to founders of venture-backed companies: an average of US$5.8 million at exit, but almost three quarters receive nothing and a few receive more than a billion.

Cited in: Venture capital: funding rounds, valuation, the power law and what research knows about returns · Glossary: Power law

Hallerbach (2003) · Decomposing portfolio value-at-risk: a general analysis

Hallerbach, Winfried. The Journal of Risk 5 (2), pp. 1–18. doi:10.21314/jor.2003.076

Examines marginal, component and incremental VaR beyond the normal distribution and shows how to estimate them from simulations.

Cited in: Risk & attribution: methodology of risk decomposition and Brinson attribution

Hamilton (1989) · A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

Hamilton, James D.. Econometrica 57 (2), pp. 357–384. doi:10.2307/1912559

A regime-switching model (Markov switching) that statistically estimates expansions and recessions from GDP growth.

Cited in: Regime-Modelle: Hidden Markov, Markov-Switching und Co. · Tactical allocation methodology: how the eleven tactical models work · Macro dashboard and regime analysis: methodology · Regime methodology: how the hidden Markov model works · Glossary: Transition matrix · Glossary: Markov switching model · Glossary: Hamilton filter

Hamilton (1994) · Time Series Analysis

Hamilton, James D.. Princeton University Press.

Textbook on time series analysis: autocorrelation, unit roots, cointegration, regime switching.

Cited in: Regime-Modelle: Hidden Markov, Markov-Switching und Co. · Asset analysis: methodology from correlation to cointegration · Glossary: Markov switching model

EIA (2014) · Oil tanker sizes range from general purpose to ultra-large crude carriers on AFRA scale

Hamilton, T. Mason. U.S. Energy Information Administration, Today in Energy, 16.09.2014. Source

Size classes of oil tankers on the AFRA scale with their capacity in barrels, plus the Aframax class.

Cited in: Ship tracking data and satellite images: what they reveal about commodities · Glossary: VLCC · Glossary: Aframax

Hanke and Hauser (2008) · On the effects of stock spam e-mails

Hanke, Michael; Hauser, Florian. Journal of Financial Markets 11 (1), pp. 57–83. doi:10.1016/j.finmar.2007.10.001

Spam emails raise the abnormal return, trading volume and intraday volatility of touted stocks in the short term, without a lasting price effect; repeated spam extends the window for selling.

Cited in: Pump and dump and penny stocks: how the scam works

Hansen and Hodrick (1980) · Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis

Hansen, Lars Peter; Hodrick, Robert J.. Journal of Political Economy 88 (5), pp. 829–853. doi:10.1086/260910

Rejects, for both the 1970s and the 1920s, the hypothesis that the forward rate is the market's expectation of the future spot rate.

Cited in: Carry trade: earning interest with currencies and bonds · Glossary: Uncovered interest parity

Hansen and Lunde (2005) · A forecast comparison of volatility models: does anything beat a GARCH(1,1)?

Hansen, Peter R.; Lunde, Asger. Journal of Applied Econometrics 20 (7), pp. 873–889. doi:10.1002/jae.800

An out-of-sample comparison of 330 volatility models: for exchange rates hardly anything beats a GARCH(1,1), while for stocks models with a leverage effect help.

Cited in: Prognosemodelle für Renditen: ARIMA, GARCH, LSTM und Machine Learning

Hansen (2005) · A Test for Superior Predictive Ability

Hansen, Peter Reinhard. Journal of Business & Economic Statistics 23 (4), pp. 365–380. doi:10.1198/073500105000000063

The SPA test: checks whether the best of many models really beats a benchmark; more powerful than the Reality Check.

Cited in: Technical analysis, chart patterns and candlesticks from a quant perspective · Probability of Backtest Overfitting: Hält die beste Variante, was der Backtest verspricht? · Prognosemodelle für Renditen: ARIMA, GARCH, LSTM und Machine Learning · Glossary: White's Reality Check

Hanson (2003) · Combinatorial Information Market Design

Hanson, Robin. Information Systems Frontiers 5 (1), pp. 107–119. doi:10.1023/a:1022058209073

Proposes market scoring rules, an automated market maker for information markets, including the logarithmic variant (LMSR).

Cited in: Prediction markets as bets on events: what they can and cannot do · Glossary: LMSR

Harati-Mokhtari et al. (2007) · Automatic Identification System (AIS): Data Reliability and Human Error Implications

Harati-Mokhtari, Abbas; Wall, Alan; Brooks, Philip; Wang, Jin. The Journal of Navigation 60 (3), pp. 373–389. doi:10.1017/S0373463307004298

Draws on three AIS studies to examine how reliable the data are and what role equipment operation and human error on board play.

Cited in: Ship tracking data and satellite images: what they reveal about commodities

Harding (2016) · Keeping members on track with index investing

Harding, Julian. Portfolio Institutional, 28.10.2016; abgerufen am 25.10.2026. Source

A State Street index manager on adding value in implementation: trading around index changes, choices in corporate actions and skipping small changes.

Cited in: Smart Indexing: Mehrwert für Indexfonds rund um Corporate Actions und Indexänderungen · Glossary: Smart indexing

Harris (2002) · Trading and Exchanges: Market Microstructure for Practitioners

Harris, Larry. Oxford University Press.

A practitioner's textbook on market microstructure: order types, market structures, dealers and brokers, liquidity, information and transaction costs.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing · Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC · Glossary: Limit order

Harris and Gurel (1986) · Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures

Harris, Lawrence; Gurel, Eitan. The Journal of Finance 41 (4), pp. 815–829. doi:10.1111/j.1540-6261.1986.tb04550.x

After an S&P 500 inclusion is announced, prices rise by more than 3%, and the rise almost completely reverses within two weeks (price pressure).

Cited in: Index-Effekt: Was bei Aufnahmen in einen Index und Streichungen mit den Kursen passiert · Smart Indexing: Mehrwert für Indexfonds rund um Corporate Actions und Indexänderungen

Harris et al. (2014) · Private Equity Performance: What Do We Know?

Harris, Robert S.; Jenkinson, Tim; Kaplan, Steven N.. The Journal of Finance 69 (5), pp. 1851–1882. doi:10.1111/jofi.12154

Using cash flow data from almost 1,400 US funds: buyout funds outperformed the S&P 500 by 20 to 27% over their lifetime, more than 3% a year; venture capital did so only in the 1990s.

Cited in: Buyout funds and management buyouts: how LBOs, MBOs and MBIs work · ELTIFs: private markets for private investors under the ELTIF 2.0 rules · Private equity explained: strategies, fund structure, fees and what research shows about returns · Venture capital: funding rounds, valuation, the power law and what research knows about returns · Private Markets messen: J-Kurve, Cashflows, Glättung und Public Proxy

Harris et al. (2023) · Has persistence persisted in private equity? Evidence from buyout and venture capital funds

Harris, Robert S.; Jenkinson, Tim; Kaplan, Steven N.; Stucke, Ruediger. Journal of Corporate Finance 81, pp. 102361. doi:10.1016/j.jcorpfin.2023.102361

Performance persistence across successor funds remains marked in venture capital but has been barely detectable in buyout funds since 2000 when only the interim results known at the time of fundraising are used.

Cited in: Private equity explained: strategies, fund structure, fees and what research shows about returns · Venture capital: funding rounds, valuation, the power law and what research knows about returns

Hartzmark and Solomon (2019) · The Dividend Disconnect

Hartzmark, Samuel M.; Solomon, David H.. The Journal of Finance 74 (5), pp. 2153–2199. doi:10.1111/jofi.12785

Many investors treat dividends and price gains as separate things and overlook the fact that a payout lowers the share price.

Cited in: Accumulating or distributing: which ETF suits you better? · Dividend strategies and dividend ETFs under scrutiny: irrelevance, taxes, factors · Glossary: Free dividends fallacy

Harvey (1988) · The real term structure and consumption growth

Harvey, Campbell R.. Journal of Financial Economics 22 (2), pp. 305–333. doi:10.1016/0304-405x(88)90073-6

The real term structure predicts consumption growth; inverted curves preceded recessions.

Cited in: Yield curve: what the term structure reveals and why an inverted curve is seen as a warning sign · Glossary: Inverted yield curve

Harvey and Siddique (2000) · Conditional Skewness in Asset Pricing Tests

Harvey, Campbell R.; Siddique, Akhtar. The Journal of Finance 55 (3), pp. 1263–1295. doi:10.1111/0022-1082.00247

Shows that investors price skewness: assets with negative skewness must offer a higher return.

Cited in: Skewness and kurtosis: why market crashes are more frequent than the normal distribution says · Sortino ratio and Calmar ratio: measuring downside risk · Glossary: Skewness

Harvey et al. (2008) · Bayes vs. Resampling: A Rematch

Harvey, Campbell R.; Liechty, John C.; Liechty, Merrill W.. Journal of Investment Management 6 (1), pp. 29–45. Source

Repeats the Markowitz and Usmen game with a standard Bayesian method; the results reverse, and in the game with a one-period forecast Bayes always wins.

Cited in: Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Resampling-Optimierung nach Michaud: stabilere Portfoliogewichte durch Simulation · Glossary: Predictive distribution

Harvey and Liu (2015) · Backtesting

Harvey, Campbell R.; Liu, Yan. The Journal of Portfolio Management 42 (1), pp. 13–28. doi:10.3905/jpm.2015.42.1.013

Applies a haircut to a backtest's Sharpe ratio using multiple-testing methods and gives a profit hurdle above which a strategy can be considered significant.

Cited in: Deflated Sharpe ratio: how much skill is in a Sharpe ratio? · Probability of Backtest Overfitting: Hält die beste Variante, was der Backtest verspricht? · Overfitting check and diversification return: the calculations in Backtest and Tactical · Glossary: Haircut Sharpe ratio

Harvey et al. (2016) · … and the Cross-Section of Expected Returns

Harvey, Campbell R.; Liu, Yan; Zhu, Heqing. Review of Financial Studies 29 (1), pp. 5–68. doi:10.1093/rfs/hhv059

With hundreds of factors tested, the usual significance threshold is not enough: a new factor needs a t-statistic above 3.0, and many discoveries are probably false.

Cited in: Sharpe ratio: return per unit of risk · Alternative data: job ads, Reddit, X, satellites and card payments · Factor investing: understanding the Fama-French factors · Backtest overfitting: when the past looks too good · Deflated Sharpe ratio: how much skill is in a Sharpe ratio? · Prognosemodelle für Renditen: ARIMA, GARCH, LSTM und Machine Learning · Factor regression, factor allocation and factor statistics: methodology · Glossary: Factor zoo · Glossary: t-statistic · Glossary: Multiple testing

Harvey et al. (2018) · The Impact of Volatility Targeting

Harvey, Campbell R.; Hoyle, Edward; Korgaonkar, Russell; Rattray, Sandy; Sargaison, Matthew; Hemert, Otto Van. The Journal of Portfolio Management 45 (1), pp. 14–33. doi:10.3905/jpm.2018.45.1.014

Volatility targeting reduces extreme losses and improves the Sharpe ratio for equities, but hardly at all for bonds.

Cited in: Carry trade: earning interest with currencies and bonds · Tactical allocation: momentum, dual momentum and trend following · Tactical allocation methodology: how the eleven tactical models work

Harvey et al. (2022) · An Investor’s Guide to Crypto

Harvey, Campbell R.; Abou Zeid, Tarek; Draaisma, Teun; Luk, Martin; Neville, Henry; Rzym, Andre et al.. The Journal of Portfolio Management 49 (1), pp. 146–171. doi:10.3905/jpm.2022.1.428

An overview for investors: tokens and their functions, valuation, volatility targeting and trend following, a correlation with risky assets that rises during their drawdowns, and custody and regulation.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

Haug (2007) · The Complete Guide to Option Pricing Formulas

Haug, Espen Gaarder. McGraw-Hill, 2nd edition.

A compendium of option pricing formulas: Black-Scholes with cost of carry, trees, barriers, Asian, lookback and other exotic options.

Cited in: Optionsbewertung: wie faire Optionspreise entstehen · Option pricer: how Portfolio Lab values options · Glossary: Cost of carry

Haug and Hirschey (2006) · The January Effect

Haug, Mark; Hirschey, Mark. Financial Analysts Journal 62 (5), pp. 78–88. doi:10.2469/faj.v62.n5.4284

Unusually high January returns of small US stocks persist and were unaffected by the 1986 tax reform, which also points to behavioural explanations.

Cited in: Stock market seasonality: Sell in May, the January effect and how to test calendar effects

Hazelkorn et al. (2023) · Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price

Hazelkorn, Todd M.; Moskowitz, Tobias J.; Vasudevan, Kaushik. The Journal of Finance 78 (1), pp. 301–345. doi:10.1111/jofi.13198

The gap between equity index futures and the cash market reflects demand for equity exposure, moves with the positions of dealers and investors and negatively predicts returns, which implies a premium of 5 to 6% per year.

Cited in: Basket Swaps, Total Return Swaps oder Futures: Markt-Exposure effizient aufbauen

He and Litterman (1999) · The Intuition Behind Black-Litterman Model Portfolios

He, Guangliang; Litterman, Robert. Goldman Sachs Asset Management (SSRN). doi:10.2139/ssrn.334304

Explains intuitively how views shift the weights in the Black-Litterman model (a Goldman Sachs Asset Management working paper).

Cited in: Black-Litterman: incorporating your own views cleanly · Optimisation methodology: estimation, objectives, Black-Litterman, resampling and walk-forward

Heaton and Lucas (2000) · Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk

Heaton, John; Lucas, Deborah. The Journal of Finance 55 (3), pp. 1163–1198. doi:10.1111/0022-1082.00244

Households with high, volatile entrepreneurial income hold fewer equities, and shares of one's own employer crowd out other stocks.

Cited in: Your whole wealth: total wealth from portfolio, home, human capital and car

BaFin, MiCAR (2024) · Neue Spielregeln für einen neuen Markt (BaFinJournal, 01.07.2024)

Heine-Dickau, Markus; Schaffors, Robert; Beikircher, Jessica. Bundesanstalt für Finanzdienstleistungsaufsicht; abgerufen am 25.10.2026. Source

An overview of MiCAR: application since 30 June and 30 December 2024 respectively, e-money tokens, asset-referenced and other tokens, issuers' obligations and BaFin's role.

Cited in: Digital assets: tokenisation, stablecoins, crypto securities and the digital euro · Glossary: Crypto-asset · Glossary: E-money token · Glossary: Utility token

Freshfields (2024) · Grandfathering under MiCA: how member states approach the transitional regime (30.12.2024)

Heinz, Janina; van der Houwen, Daphne; Klingenbrunn, Daniel; Schneider, Eva; De Backer, Steffie. Freshfields Bruckhaus Deringer, Blog Technology Quotient; abgerufen am 25.10.2026. Source

Art. 143(3) MiCA permits transitional periods for existing providers until 1 July 2026; Germany has shortened them to 31 December 2025 under § 50 (2) no. 3 KMAG.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

Hendershott et al. (2026) · Quote Competition in Corporate Bonds

Hendershott, Terrence; Li, Dan; Livdan, Dmitry; Schürhoff, Norman; Venkataraman, Kumar. The Journal of Finance 81 (4), pp. 2165–2216. doi:10.1111/jofi.70048

Even merely indicative dealer quotes reduce trading costs in corporate bonds; dealers use them to manage their inventory, but competition through quotes is imperfect.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing

Henderson and Pearson (2011) · The dark side of financial innovation: A case study of the pricing of a retail financial product

Henderson, Brian J.; Pearson, Neil D.. Journal of Financial Economics 100 (2), pp. 227–247. doi:10.1016/j.jfineco.2010.12.006

64 issues of a popular US structured product for retail investors: issue prices on average almost 8% above the fair value from option models, and an expected return slightly below zero.

Cited in: Warrants, turbos and certificates: what they are and what you pay on top · Glossary: Issuer margin

Henderson et al. (2012) · Measuring Economic Growth from Outer Space

Henderson, J. Vernon; Storeygard, Adam; Weil, David N.. American Economic Review 102 (2), pp. 994–1028. doi:10.1257/aer.102.2.994

Night lights in satellite images as a measure of economic growth, especially for countries and regions with weak official statistics.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Glossary: Night lights data

Heuking (2023) · ELTIF II: Novellierung der ELTIF-Verordnung – neuer Handlungsspielraum für Anbieter alternativer Investmentfonds

Heuking Kühn Lüer Wojtek. Heuking Kühn Lüer Wojtek, Update Investmentfonds Nr. 31 vom 13.01.2023; abgerufen am 25.10.2026. Source

Comparison of the old and new ELTIF rules: the €10,000 minimum investment and the 10% limit for retail investors with portfolios of up to €500,000 are abolished, the minimum share of eligible investments falls from 70 to 55%, and the borrowing limit rises from 30% to 50%.

Cited in: ELTIFs: private markets for private investors under the ELTIF 2.0 rules

ICMA and FIX Trading Community (2025) · Bond Market Axe Distribution in Europe: An ICMA and FIX Trading Community White Paper

Hill, Andy; Suhaib-Wolf, Nina; Coupe, Matt; Wang, Yuhang. International Capital Market Association und FIX Trading Community, Dezember 2025; abgerufen am 25.10.2026. Source

A definition and standard for axes in European bond trading, their electronic distribution, and buy-side complaints about unreliable or two-way axes and information leakage.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing · Glossary: Axe

Himmelberg et al. (2005) · Assessing High House Prices: Bubbles, Fundamentals and Misperceptions

Himmelberg, Charles; Mayer, Christopher; Sinai, Todd. Journal of Economic Perspectives 19 (4), pp. 67–92. doi:10.1257/089533005775196769

Price-to-rent and price-to-income ratios alone are misleading; the authors measure the annual cost of ownership as a variant of user cost and find little evidence of a bubble at the end of 2004.

Cited in: Rent or buy: user cost, purchase costs in 2026 and a 20-year wealth comparison · Glossary: User cost of housing

Ho and Stoll (1981) · Optimal dealer pricing under transactions and return uncertainty

Ho, Thomas; Stoll, Hans R.. Journal of Financial Economics 9 (1), pp. 47–73. doi:10.1016/0304-405X(81)90020-9

A risk-averse dealer who does not know when orders will arrive or how their inventory will develop sets bid and ask prices around their own indifference price, so inventory risk becomes part of the spread.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing

Hochberg et al. (2018) · Patent collateral, investor commitment, and the market for venture lending

Hochberg, Yael V.; Serrano, Carlos J.; Ziedonis, Rosemarie H.. Journal of Financial Economics 130 (1), pp. 74–94. doi:10.1016/j.jfineco.2018.06.003

Loans to start-ups (venture debt) depend on redeployable patents as collateral and on the commitment of equity investors; after the 2000 crash, lenders mainly continued to finance firms whose investors were able to provide follow-on funding.

Cited in: Venture capital: funding rounds, valuation, the power law and what research knows about returns · Glossary: Venture debt

Hochreiter and Schmidhuber (1997) · Long Short-Term Memory

Hochreiter, Sepp; Schmidhuber, Jürgen. Neural Computation 9 (8), pp. 1735–1780. doi:10.1162/neco.1997.9.8.1735

Introduces LSTM networks: recurrent networks with memory cells and gates that learn dependencies over long time lags.

Cited in: Prognosemodelle für Renditen: ARIMA, GARCH, LSTM und Machine Learning · Glossary: LSTM

Hong and Stein (1999) · A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets

Hong, Harrison; Stein, Jeremy C.. The Journal of Finance 54 (6), pp. 2143–2184. doi:10.1111/0022-1082.00184

A model with news watchers and momentum traders: information that spreads slowly first leads to underreaction and trends, and later to overreaction.

Cited in: Technical analysis, chart patterns and candlesticks from a quant perspective

Hong and Kacperczyk (2009) · The price of sin: The effects of social norms on markets

Hong, Harrison; Kacperczyk, Marcin. Journal of Financial Economics 93 (1), pp. 15–36. doi:10.1016/j.jfineco.2008.09.001

Stocks of alcohol, tobacco and gambling companies are shunned by norm-constrained investors, followed less by analysts and had higher expected returns.

Cited in: ESG ETFs: SFDR, ratings, returns and the limits of sustainable funds

Hotchkiss and Mooradian (1997) · Vulture investors and the market for control of distressed firms

Hotchkiss, Edith S.; Mooradian, Robert M.. Journal of Financial Economics 43 (3), pp. 401–432. doi:10.1016/S0304-405X(96)00900-2

Distressed debt investors in 288 defaulted firms: operating performance improves more when they take control, and stocks and bonds rise when their involvement becomes known.

Cited in: Distressed debt: strategies, insolvency law, recovery rates and returns when investing in crises · Glossary: Loan-to-own

Hotchkiss et al. (2021) · Private Equity and the Resolution of Financial Distress

Hotchkiss, Edith S.; Smith, David C.; Strömberg, Per. The Review of Corporate Finance Studies 10 (4), pp. 694–747. doi:10.1093/rcfs/cfab015

Firms owned by private equity are more indebted and default more often, but they restructure faster, avoid bankruptcy court more often and are liquidated less often.

Cited in: Buyout funds and management buyouts: how LBOs, MBOs and MBIs work · Distressed debt: strategies, insolvency law, recovery rates and returns when investing in crises

Hou et al. (2015) · Digesting Anomalies: An Investment Approach

Hou, Kewei; Xue, Chen; Zhang, Lu. Review of Financial Studies 28 (3), pp. 650–705. doi:10.1093/rfs/hhu068

The q-factor model with investment and profitability, derived from investment theory.

Cited in: Factor investing: understanding the Fama-French factors · Glossary: CMA · Glossary: Q-factor model

Huang et al. (2020) · Time Series Momentum: Is It There?

Huang, Dashan; Li, Jiangyuan; Wang, Liyao; Zhou, Guofu. Journal of Financial Economics 135 (3), pp. 774–794. doi:10.1016/j.jfineco.2019.08.004

Asset-by-asset regressions show little predictive power of the 12-month return; the strategy earns about as much as a rule based on historical means.

Cited in: CTAs and managed futures: industry, position sizing, costs and crisis protection

Huang (2018) · The customer knows best: The investment value of consumer opinions

Huang, Jiekun. Journal of Financial Economics 128 (1), pp. 164–182. doi:10.1016/j.jfineco.2018.02.001

Unusually good or bad customer reviews on Amazon predict sales, earnings surprises and stock returns.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments

Huang et al. (2014) · Effects of Child Development Accounts on Early Social-Emotional Development

Huang, Jin; Sherraden, Michael; Kim, Youngmi; Clancy, Margaret. JAMA Pediatrics 168 (3), pp. 265. doi:10.1001/jamapediatrics.2013.4643

Randomised experiment in Oklahoma (SEED OK) with accounts for newborns: small positive effects on social-emotional development at around age four, stronger in low-income families.

Cited in: Kinderdepot or parents' account? Tax, gifts, BAföG and family health insurance

Huang et al. (2000) · Artifactual log-periodicity in finite size data: Relevance for earthquake aftershocks

Huang, Y.; Johansen, A.; Lee, M. W.; Saleur, H.; Sornette, D.. Journal of Geophysical Research: Solid Earth 105 (B11), pp. 25451–25471. doi:10.1029/2000JB900195

Log-periodic patterns can arise purely from the way data are processed, for example by smoothing or cumulating, as shown for earthquake aftershocks.

Cited in: Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht · Bubble indicator (LPPLS): methodology

Hull and White (2012) · CVA and Wrong-Way Risk

Hull, John; White, Alan. Financial Analysts Journal 68 (5), pp. 58–69. doi:10.2469/faj.v68.n5.6

How banks calculate CVA and DVA over time steps from default probabilities and expected exposure, and how wrong-way risk can be built into the simulation.

Cited in: Counterparty and issuer risk: CVA, ETCs, certificates and swaps · Glossary: Credit valuation adjustment · Glossary: Wrong-way risk

Hurst et al. (2017) · A Century of Evidence on Trend-Following Investing

Hurst, Brian; Ooi, Yao Hua; Pedersen, Lasse Heje. The Journal of Portfolio Management 44 (1), pp. 15–29. doi:10.3905/jpm.2017.44.1.015

Trend following across more than a century and many markets: positive returns in almost every decade and good results in crises.

Cited in: CTAs and managed futures: industry, position sizing, costs and crisis protection · Trendfolge: dem eigenen Trend jeder Anlage folgen · Tactical allocation methodology: how the eleven tactical models work · Glossary: Time-series momentum · Glossary: Managed futures

Hutchinson and O’Brien (2014) · Is This Time Different? Trend-Following and Financial Crises

Hutchinson, Mark C.; O’Brien, John. The Journal of Alternative Investments 17 (2), pp. 82–102. doi:10.3905/jai.2014.17.2.082

With almost a century of data: in the years after financial crises, trend following earns on average less than half the return of crisis-free periods.

Cited in: CTAs and managed futures: industry, position sizing, costs and crisis protection

I

Ibbotson and Kaplan (2000) · Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance?

Ibbotson, Roger G.; Kaplan, Paul D.. Financial Analysts Journal 56 (1), pp. 26–33. doi:10.2469/faj.v56.n1.2327

Clarifies Brinson et al.: asset allocation explains about 90% of the variation over time, but only about 40% of the differences between funds.

Cited in: 60/40 portfolio: the classic mix of equities and bonds · Strategic and tactical asset allocation and the total portfolio approach · Performance-Attribution: Brinson-Zerlegung, Faktoren und Verkettung über die Zeit · Stilanalyse nach Sharpe: was ein Fonds wirklich macht · Glossary: Strategic asset allocation

Ibbotson et al. (2007) · Lifetime Financial Advice: Human Capital, Asset Allocation, and Insurance

Ibbotson, Roger G.; Milevsky, Moshe A.; Chen, Peng; Zhu, Kevin X.. Research Foundation of CFA Institute. doi:10.2470/rf.v2007.n1.4580

Monograph on financial planning over the life cycle: human capital, mortality risk and longevity risk jointly determine asset allocation, life insurance and annuities.

Cited in: Your whole wealth: total wealth from portfolio, home, human capital and car · Glossary: Household balance sheet

ICE Index Rules (2023) · ICE BofA Diversified High Yield US Emerging Markets Corporate Plus Index – Rules & Methodology

ICE Data Indices. ICE Data Indices, 29.9.2023; abgerufen am 25.10.2026. Source

Rules of an ICE BofA index: a minimum size of $300 million, monthly rebalancing on the last calendar day, and coupons held as cash without earning interest until month end.

Cited in: Index providers and valuation points: why the same index is calculated differently

Idzorek (2007) · A step-by-step guide to the Black-Litterman model

Idzorek, Thomas. Elsevier (Satchell, Hrsg.: Forecasting Expected Returns in the Financial Markets). doi:10.1016/b978-075068321-0.50003-0

A step-by-step guide to the Black-Litterman model with a method for specifying confidence as a percentage.

Cited in: Black-Litterman: incorporating your own views cleanly · Optimisation methodology: estimation, objectives, Black-Litterman, resampling and walk-forward

Ilmanen (2003) · Stock-Bond Correlations

Ilmanen, Antti. The Journal of Fixed Income 13 (2), pp. 55–66. doi:10.3905/jfi.2003.319353

The correlation between stocks and government bonds was mostly positive in the 20th century and negative only in the early 1930s, the late 1950s and around 2000; growth and volatility shocks drive the two apart, while inflation shocks move them in the same direction through the common discount rate.

Cited in: Stock-bond correlation: regimes, drivers and what it means for 60/40, risk parity and hedging

Ilmanen (2011) · Expected Returns: An Investor's Guide to Harvesting Market Rewards

Ilmanen, Antti. Wiley.

A comprehensive book on the expected returns of asset classes, style premiums and risk factors.

Cited in: Carry trade: earning interest with currencies and bonds · Equity risk premium: how much more equities return and why it is a puzzle · Gold in a portfolio: safe haven, inflation hedge or just shiny? · Glossary: Factor premium · Glossary: Carry

Ilmanen (2012) · Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets?

Ilmanen, Antti. Financial Analysts Journal 68 (5), pp. 26–36. doi:10.2469/faj.v68.n5.7

Selling insurance and lottery tickets earned positive long-run premiums in many markets, while buying catastrophe protection and lottery-like assets produced weak returns: small risks are often well rewarded, large ones are not.

Cited in: Tail Hedging: Was Put-Absicherung kostet, wann sie zahlt und was Short-Vol-Strategien lehren

Ilmanen et al. (2020) · Demystifying Illiquid Assets: Expected Returns for Private Equity

Ilmanen, Antti; Chandra, Swati; McQuinn, Nicholas. The Journal of Alternative Investments 22 (3), pp. 8–22. doi:10.3905/jai.2019.1.086

Expected returns on private equity: a levered small-cap index is a better benchmark, smoothed returns understate risk, and the edge over public equities has shrunk over time.

Cited in: Private equity explained: strategies, fund structure, fees and what research shows about returns · Private Markets messen: J-Kurve, Cashflows, Glättung und Public Proxy

Ilmanen et al. (2021) · Tail Risk Hedging: Contrasting Put and Trend Strategies

Ilmanen, Antti; Thapar, Ashwin; Tummala, Harsha; Villalon, Dan. Journal of Systematic Investing 1 (1), pp. 111–124. doi:10.52354/jsi.1.1.vi

A comparison of regularly bought index puts and trend following across many asset classes as tail hedges: the common view that puts cost more but protect more reliably has a kernel of truth but falls short, and on cost, trend following comes out ahead. Also published as an AQR working paper (28 February 2021).

Cited in: Tail Hedging: Was Put-Absicherung kostet, wann sie zahlt und was Short-Vol-Strategien lehren

Indeed Hiring Lab (2026) · Indeed Job Postings Index (Datenarchiv auf GitHub, hiring-lab/data)

Indeed Hiring Lab. Indeed Hiring Lab; Daten bis 16.10.2026, abgerufen am 27.10.2026. Source

Daily indices of job postings by country since 1 February 2020 (= 100), seasonally adjusted with the Bundesbank's method for daily data and as a 7-day average, updated weekly; licence CC BY 4.0.

Cited in: Economic pulse: how Portfolio Lab calculates early indicators · Glossary: Job postings index

ILPA (2017) · Subscription Lines of Credit and Alignment of Interests: Considerations and Best Practices for Limited and General Partners

Institutional Limited Partners Association. ILPA, Juni 2017; abgerufen am 25.10.2026. Source

How subscription lines of credit raise the IRR, especially early on, and lower the multiple; recommendations include reporting the IRR with and without the credit line and a maximum of 180 days per drawdown.

Cited in: Private equity explained: strategies, fund structure, fees and what research shows about returns · Private Markets messen: J-Kurve, Cashflows, Glättung und Public Proxy · Glossary: J-curve · Glossary: Subscription line

ILPA DDQ (2021) · Due Diligence Questionnaire and Diversity Metrics Template (ILPA DDQ 2.0)

Institutional Limited Partners Association. ILPA, Fassung 2021, Webseite geändert am 18.11.2025; abgerufen am 25.10.2026. Source

Standardises the most common due diligence questions that investors put to private markets managers; earlier versions date from 2013, 2016 and 2018, and the ESG section is based on the PRI questionnaire.

Cited in: RFP and mandate awards: how institutional investors select asset managers · Glossary: Due diligence questionnaire

ILPA (2023) · Continuation Funds: Considerations for Limited Partners and General Partners

Institutional Limited Partners Association. ILPA, Mai 2023; abgerufen am 25.10.2026. Source

Guidance on continuation funds: the manager's conflict of interest from sitting on both sides, a fairness opinion, at least 30 calendar days or 20 business days to decide, and an option with unchanged terms.

Cited in: Buyout funds and management buyouts: how LBOs, MBOs and MBIs work · Private equity explained: strategies, fund structure, fees and what research shows about returns · Glossary: Secondaries

ILPA (2024) · NAV-Based Facilities: Guidance for Limited Partners and General Partners

Institutional Limited Partners Association. ILPA, Juli 2024; abgerufen am 25.10.2026. Source

Loans against the value of fund holdings: mostly used for early distributions, which significantly affect IRR and DPI; ILPA counts them as fund-level leverage and recommends approval by the LP advisory committee.

Cited in: Private equity explained: strategies, fund structure, fees and what research shows about returns · Private Debt in der Praxis: Direct Lending, Unitranche, Mezzanine, Kreditstruktur und Fondsvehikel · Private Markets messen: J-Kurve, Cashflows, Glättung und Public Proxy · Glossary: DPI · Glossary: NAV financing

IFRS 13 (2011) · IFRS 13 Fair Value Measurement, Anhang B (Anwendungsleitlinien), Tz. B5–B7

International Accounting Standards Board. IASB; wortgleiche australische Fassung AASB 13 beim Australian Accounting Standards Board, abgerufen am 25.10.2026. Source

Classifies matrix pricing as a market-based valuation technique: financial instruments such as bonds are valued by their relationship to quoted benchmark securities rather than solely by their own prices.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing · Glossary: Matrix pricing

IMO (2015) · Revised Guidelines for the Onboard Operational Use of Shipborne Automatic Identification Systems (AIS), Resolution A.1106(29)

International Maritime Organization. International Maritime Organization, angenommen am 2. Dezember 2015. Source

IMO guidelines on the use of AIS on board: the requirement under SOLAS V/19, static, dynamic and voyage-related data, reporting intervals, typical range and switching off by the master.

Cited in: Ship tracking data and satellite images: what they reveal about commodities · Ships at chokepoints (beta): methodology · Glossary: AIS · Glossary: IMO number · Glossary: Draught

IOSCO (2023) · Anti-dilution Liquidity Management Tools – Guidance for Effective Implementation of the Recommendations for Liquidity Risk Management for Collective Investment Schemes, Final Report (FR/15/2023)

International Organization of Securities Commissions. IOSCO, Dezember 2023; abgerufen am 26.10.2026. Source

Guidance on swing pricing, anti-dilution levies, dual pricing and redemption fees: investors entering and exiting should bear the estimated liquidity costs, both explicit and implicit, including market impact, and thresholds should be set prudently.

Cited in: Liquiditätsrisiko: Marktliquidität messen, Liquiditätsprämien und die Werkzeuge offener Fonds · Glossary: Anti-dilution levy

IOSCO (2025) · IOSCO Issues Final Report on Updated Liquidity Risk Management Recommendations for Collective Investment Schemes (Pressemitteilung IOSCO/MR/12/2025)

International Organization of Securities Commissions. IOSCO, Madrid, 26.5.2025; abgerufen am 26.10.2026. Source

A set of 17 revised recommendations on the liquidity risk of open-ended funds in six areas, from fund design to stress testing, implementing the Financial Stability Board's recommendations of December 2023.

Cited in: Liquiditätsrisiko: Marktliquidität messen, Liquiditätsprämien und die Werkzeuge offener Fonds

ITU (2026) · Recommendation ITU-R M.1371-6: Technical characteristics for VHF automatic identification system using time division multiple access in the maritime mobile service

International Telecommunication Union. ITU-R, Februar 2026. Source

The technical standard for AIS: message structure, reporting intervals, identifiers (MMSI, IMO number), dimensions, draught and the table of ship types.

Cited in: Ship tracking data and satellite images: what they reveal about commodities · Ships at chokepoints (beta): methodology · Glossary: AIS · Glossary: MMSI · Glossary: IMO number

IMF (2024) · Global Financial Stability Report, April 2024, Kapitel 2: The Rise and Risks of Private Credit

Internationaler Währungsfonds. International Monetary Fund, Washington, 16.4.2024; abgerufen am 25.10.2026. Source

The growth of private credit to about US$2.1 trillion (2023) and the risks from the IMF's perspective: valuation, hidden leverage, interconnections and the liquidity of semi-liquid funds.

Cited in: Private credit and public credit compared: returns, risks and what the research shows · Private Debt in der Praxis: Direct Lending, Unitranche, Mezzanine, Kreditstruktur und Fondsvehikel · Glossary: Private credit · Glossary: Payment in kind (PIK)

ICI (2026) · The US ETF Market: FAQs

Investment Company Institute. Investment Company Institute, 22.4.2026; abgerufen am 25.10.2026. Source

Questions and answers on the US ETF market, including the number of mutual funds converted into ETFs since 2021.

Cited in: Active ETFs: how they work and what they deliver

Israelov (2018) · Pathetic Protection: The Elusive Benefits of Protective Puts

Israelov, Roni. The Journal of Alternative Investments 21 (3), pp. 6–33. doi:10.3905/jai.2018.1.066

In typical use, bought puts reduce drawdowns hardly any better than a permanently lower equity allocation; without lucky timing of purchase and maturity, they can even increase drawdowns and volatility per unit of expected return.

Cited in: Tail Hedging: Was Put-Absicherung kostet, wann sie zahlt und was Short-Vol-Strategien lehren

Ivanov and Lenkey (2018) · Do Leveraged ETFs Really Amplify Late-Day Returns and Volatility?

Ivanov, Ivan T.; Lenkey, Stephen L.. Journal of Financial Markets 41, pp. 36–56. doi:10.1016/j.finmar.2018.09.001

Inflows and outflows offset a large part of the rebalancing, which leaves an economically insignificant effect on end-of-day returns and volatility.

Cited in: Gehebelte ETFs und Return Stacking: Pfadabhängigkeit, Kosten und Forschung

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J.P. Morgan EMBI Methodology (2024) · J.P. Morgan Emerging Markets Bond Index Global Diversified – Custom Defaults

J.P. Morgan. J.P. Morgan Global Index Research, 31.5.2024; abgerufen am 25.10.2026. Source

Variant of the EMBI Global Diversified: US dollar sovereign bonds, bid prices from an external pricing service, a minimum size of $500 million and monthly rebalancing.

Cited in: Index providers and valuation points: why the same index is calculated differently

J.P. Morgan Asset Management (2024) · ETF trading strategies: What you need to know to trade ETFs successfully

J.P. Morgan Asset Management. J.P. Morgan Asset Management, Juli 2024, Material für professionelle Anleger; abgerufen am 25.10.2026. Source

Distinguishes between ETF trades at the future NAV plus or minus a number of basis points, risk trades at an immediate fixed price, and execution via a broker or an algorithm.

Cited in: Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC

J.P. Morgan Asset Management (2025) · Was the yield curve inversion wrong in predicting a US recession? (On the Minds of Investors)

J.P. Morgan Asset Management. J.P. Morgan Asset Management, ohne Datum (2025); abgerufen am 27.10.2026. Source

The US yield curve between three months and ten years inverted in October 2022 and stayed inverted until December 2024 (the longest inversion in recent history), with no recession following.

Cited in: Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Macro dashboard and regime analysis: methodology

Jagannathan and Ma (2003) · Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps

Jagannathan, Ravi; Ma, Tongshu. The Journal of Finance 58 (4), pp. 1651–1683. doi:10.1111/1540-6261.00580

Explains why weight limits (such as no short sales) act like shrinkage of the covariance matrix and reduce risk.

Cited in: Efficient frontier: Markowitz portfolio optimisation · Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Kovarianzschätzung: Warum Optimierer Shrinkage brauchen · Resampling-Optimierung nach Michaud: stabilere Portfoliogewichte durch Simulation · Optimisation methodology: estimation, objectives, Black-Litterman, resampling and walk-forward · Glossary: Weight limits

Jansen and van Dijk (2002) · Optimal Benchmark Tracking with Small Portfolios

Jansen, Roel; van Dijk, Ronald. The Journal of Portfolio Management 28 (2), pp. 33–39. doi:10.3905/jpm.2002.319830

Optimisation methods for tracking an index with relatively few stocks and a small tracking error.

Cited in: Index-Replikation: vollständige Replikation, optimiertes Sampling und Swap

Jegadeesh (1990) · Evidence of Predictable Behavior of Security Returns

Jegadeesh, Narasimhan. The Journal of Finance 45 (3), pp. 881–898. doi:10.1111/j.1540-6261.1990.tb05110.x

Monthly returns of individual stocks are negatively autocorrelated: the previous month's losers beat its winners (short-term reversal).

Cited in: Equal weight vs cap weight: weighting, rebalancing and factor tilts · Pairs-Trading und statistische Arbitrage: Idee, Methoden, Forschung · Long/short and statistical arbitrage: methodology · Glossary: Reversal effect

Jegadeesh et al. (2015) · Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices

Jegadeesh, Narasimhan; Kräussl, Roman; Pollet, Joshua M.. Review of Financial Studies 28 (12), pp. 3269–3302. doi:10.1093/rfs/hhv046

From the market prices of listed private equity firms: a beta close to one, a positive loading on small companies and more systematic risk than an index of reported fund values.

Cited in: Private equity explained: strategies, fund structure, fees and what research shows about returns · Private Markets messen: J-Kurve, Cashflows, Glättung und Public Proxy

Jenkinson et al. (2016) · Picking Winners? Investment Consultants' Recommendations of Fund Managers

Jenkinson, Tim; Jones, Howard; Martinez, Jose Vicente. The Journal of Finance 71 (5), pp. 2333–2370. doi:10.1111/jofi.12289

Investment consultants' recommendations of US equity products from 1999 to 2011 are based mainly on soft factors and drive flows, but add no demonstrable value.

Cited in: RFP and mandate awards: how institutional investors select asset managers · Glossary: Investment consultant

Jensen (1968) · The Performance of Mutual Funds in the Period 1945–1964

Jensen, Michael C.. The Journal of Finance 23 (2), pp. 389–416. doi:10.1111/j.1540-6261.1968.tb00815.x

Measures the performance of mutual funds by the alpha of a regression against the market; most funds do not beat the market.

Cited in: Beta and alpha: how closely a fund moves with the market · CAPM: the capital asset pricing model and the security market line · Stock picking: why individual stocks are so hard to get right · Metrics methodology: how Portfolio Lab measures return and risk

Jiang et al. (2012) · Hedge Funds and Chapter 11

Jiang, Wei; Li, Kai; Wang, Wei. The Journal of Finance 67 (2), pp. 513–560. doi:10.1111/j.1540-6261.2012.01724.x

Hedge funds choose positions in the capital structure strategically in Chapter 11; as unsecured creditors they strengthen those creditors' bargaining power, and as secured creditors they increase the chance that the firm continues as a going concern.

Cited in: Distressed debt: strategies, insolvency law, recovery rates and returns when investing in crises · Glossary: Loan-to-own

Jin et al. (2021) · Swing Pricing and Fragility in Open-End Mutual Funds

Jin, Dunhong; Kacperczyk, Marcin; Kahraman, Bige; Suntheim, Felix. The Review of Financial Studies 35 (1), pp. 1–50. doi:10.1093/rfs/hhab022

Swing pricing in UK bond funds removes the first-mover advantage and reduces outflows in periods of stress.

Cited in: Index providers and valuation points: why the same index is calculated differently · Liquiditätsrisiko: Marktliquidität messen, Liquiditätsprämien und die Werkzeuge offener Fonds · Glossary: Swing pricing

Johansen, Sornette and Ledoit (1999) · Predicting financial crashes using discrete scale invariance

Johansen, Anders; Sornette, Didier; Ledoit, Olivier. The Journal of Risk 1 (4), pp. 5–32. doi:10.21314/JOR.1999.014

Log-periodic signatures before eight crashes from 1929 to 1998 in stock and currency markets.

Cited in: Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht · Glossary: Discrete scale invariance

Johansen, Ledoit and Sornette (2000) · Crashes as critical points

Johansen, Anders; Ledoit, Olivier; Sornette, Didier. International Journal of Theoretical and Applied Finance 3 (2), pp. 219–255. doi:10.1142/S0219024900000115

The JLS model: a rational bubble with crash risk arising from imitation among noise traders, a hazard rate and log-periodic patterns before crashes.

Cited in: Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht · Bubble indicator (LPPLS): methodology · Glossary: LPPLS model · Glossary: Critical time (tc) · Glossary: Hazard rate

Johnson (2010) · Algorithmic Trading & DMA: An Introduction to Direct Access Trading Strategies

Johnson, Barry. 4Myeloma Press.

An introduction to direct market access and execution algorithms: order types, VWAP, TWAP, percentage of volume, implementation shortfall, liquidity seeking and transaction cost analysis.

Cited in: Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC · Glossary: TWAP

Jordà et al. (2019) · The Rate of Return on Everything, 1870–2015

Jordà, Òscar; Knoll, Katharina; Kuvshinov, Dmitry; Schularick, Moritz; Taylor, Alan M.. The Quarterly Journal of Economics 134 (3), pp. 1225–1298. doi:10.1093/qje/qjz012

Total returns on equities, housing, bonds and bills in 16 advanced economies since 1870: housing and equities delivered similar real returns of about 7% a year, with housing far less volatile.

Cited in: Rent or buy: user cost, purchase costs in 2026 and a 20-year wealth comparison · Real estate as an investment: rental flat, REITs, open-ended funds and private real estate

Jorion (1986) · Bayes-Stein Estimation for Portfolio Analysis

Jorion, Philippe. The Journal of Financial and Quantitative Analysis 21 (3). doi:10.2307/2331042

In simulations, an empirical Bayes-Stein estimator of expected returns clearly beats the simple sample mean for portfolio selection.

Cited in: Resampling-Optimierung nach Michaud: stabilere Portfoliogewichte durch Simulation · Glossary: Bayes-Stein estimator

Jorion (1994) · Mean/Variance Analysis of Currency Overlays

Jorion, Philippe. Financial Analysts Journal 50 (3), pp. 48–56. doi:10.2469/faj.v50.n3.48

A separately managed currency overlay is inherently suboptimal because it ignores the relationship between assets and exchange rates; historically, the efficiency loss was about 40 basis points for equity portfolios.

Cited in: Overlay-Management mit Futures: Beta-, Duration- und Währungs-Overlay, Kontraktzahlen und Liquiditätsbedarf

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Kaas et al. (2021) · Low Homeownership in Germany—a Quantitative Exploration

Kaas, Leo; Kocharkov, Georgi; Preugschat, Edgar; Siassi, Nawid. Journal of the European Economic Association 19 (1), pp. 128–164. doi:10.1093/jeea/jvaa004

In a life-cycle model, extensive social housing, high real estate transfer tax and the lack of a mortgage interest deduction explain about two thirds of the gap in homeownership rates between Germany and the US.

Cited in: Rent or buy: user cost, purchase costs in 2026 and a 20-year wealth comparison

Kacperczyk et al. (2005) · On the Industry Concentration of Actively Managed Equity Mutual Funds

Kacperczyk, Marcin; Sialm, Clemens; Zheng, Lu. The Journal of Finance 60 (4), pp. 1983–2011. doi:10.1111/j.1540-6261.2005.00785.x

Active US equity funds concentrated in a few industries performed better on average from 1984 to 1999 after adjusting for risk and style.

Cited in: Stock picking: why individual stocks are so hard to get right

Kalay (1982) · The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect

Kalay, Avner. The Journal of Finance 37 (4), pp. 1059–1070. doi:10.1111/j.1540-6261.1982.tb03598.x

The ex-day price drop alone does not reveal marginal tax rates; its relationship with dividend yield remains consistent with a tax effect.

Cited in: Cum-ex and cum-cum: how the dividend trades worked and what applies today · Dividend strategies and dividend ETFs under scrutiny: irrelevance, taxes, factors

Kalman (1960) · A New Approach to Linear Filtering and Prediction Problems

Kalman, R. E.. Journal of Basic Engineering 82 (1), pp. 35–45. doi:10.1115/1.3662552

Introduces the Kalman filter: a changing hidden state is estimated step by step from noisy observations.

Cited in: Long/short and statistical arbitrage: methodology · Glossary: Kalman filter

Kamps and Kleinberg (2018) · To the moon: defining and detecting cryptocurrency pump-and-dumps

Kamps, Josh; Kleinberg, Bennett. Crime Science 7 (1). doi:10.1186/s40163-018-0093-5

Defines criteria for cryptocurrency pump-and-dumps and detects suspicious episodes using anomaly detection methods on price and volume data.

Cited in: Pump and dump and penny stocks: how the scam works

Kaplan and Strömberg (2003) · Financial Contracting Theory Meets the Real World: An Empirical Analysis of Venture Capital Contracts

Kaplan, Steven N.; Strömberg, Per. Review of Economic Studies 70 (2), pp. 281–315. doi:10.1111/1467-937X.00245

Analyses actual contracts between venture capitalists and founders: cash flow, voting, board, liquidation and other control rights are allocated separately and change from round to round.

Cited in: Venture capital: funding rounds, valuation, the power law and what research knows about returns

Kaplan and Strömberg (2009) · Leveraged Buyouts and Private Equity

Kaplan, Steven N.; Strömberg, Per. Journal of Economic Perspectives 23 (1), pp. 121–146. doi:10.1257/jep.23.1.121

Overview of buyout funds and their acquisitions: financing with 60 to 90% debt, management ownership, value creation through financial, governance and operational engineering, exit routes and credit cycles.

Cited in: Buyout funds and management buyouts: how LBOs, MBOs and MBIs work · Private equity explained: strategies, fund structure, fees and what research shows about returns · Private Markets messen: J-Kurve, Cashflows, Glättung und Public Proxy · Takahashi-Alexander-Modell: Cashflows von Private-Markets-Fonds planen · Glossary: Dry powder · Glossary: Carried interest · Glossary: Leveraged buyout · Glossary: Management buyout

Karnosky and Singer (1994) · Global Asset Management and Performance Attribution

Karnosky, Denis S.; Singer, Brian D.. Research Foundation of the Institute of Chartered Financial Analysts, Charlottesville. doi:10.2470/rf.v1994.n3.4444

Unified framework for international portfolios: returns as a premium over the local money market rate plus currency return, with the Brinson decomposition applied once to markets and once to currencies.

Cited in: Multi-Asset-Attribution: Gewichtungsschemata, Top-down und Bottom-up, Währungen und Overlays · Glossary: Karnosky-Singer model

Katona et al. (2025) · On the Capital Market Consequences of Big Data: Evidence from Outer Space

Katona, Zsolt; Painter, Marcus O.; Patatoukas, Panos N.; Zeng, Jean. Journal of Financial and Quantitative Analysis 60 (2), pp. 551–579. doi:10.1017/S0022109023001448

Satellite-based car counts in the car parks of 44 US retailers gave paying investors an edge ahead of quarterly results and increased information asymmetry.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Ship tracking data and satellite images: what they reveal about commodities

Kaul et al. (2000) · Demand Curves for Stocks Do Slope Down: New Evidence from an Index Weights Adjustment

Kaul, Aditya; Mehrotra, Vikas; Morck, Randall. The Journal of Finance 55 (2), pp. 893–912. doi:10.1111/0022-1082.00230

An announced, information-free change to the free-float definition of the TSE 300 (1996) gave 31 stocks with higher weights an abnormal return of 2.3% with no later reversal.

Cited in: Index-Effekt: Was bei Aufnahmen in einen Index und Streichungen mit den Kursen passiert

Keim (1983) · Size-related anomalies and stock return seasonality

Keim, Donald B.. Journal of Financial Economics 12 (1), pp. 13–32. doi:10.1016/0304-405X(83)90025-9

A large part of the size effect in US stocks falls in January, especially in its first trading days.

Cited in: Stock market seasonality: Sell in May, the January effect and how to test calendar effects · Glossary: January effect

Keller and Keuning (2016) · Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits

Keller, Wouter J.; Keuning, Jan Willem. SSRN Working Paper 2759734, 05.04.2016. doi:10.2139/ssrn.2759734

Tactical variant of the 60/40 portfolio with dual momentum: market breadth (how many markets show positive momentum) determines the mix of equities and bonds; tested with global multi-asset proxies from December 1970.

Cited in: Tactical allocation methodology: how the eleven tactical models work

Keller and Keuning (2017) · Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less

Keller, Wouter J.; Keuning, Jan Willem. SSRN Working Paper 3002624, eingestellt 19.07.2017. doi:10.2139/ssrn.3002624

Vigilant asset allocation uses breadth momentum as crash protection: the more markets in the investment universe show poor momentum, the more goes into defensive assets.

Cited in: Tactical allocation methodology: how the eleven tactical models work

Keller and Keuning (2018) · Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA)

Keller, Wouter J.; Keuning, Jan Willem. SSRN Working Paper 3212862, 12.07.2018, überarbeitet 2021. doi:10.2139/ssrn.3212862

A separate canary universe (VWO and BND, or EEM and AGG as substitutes) signals crash protection; the cash share depends on the number of canaries with non-positive momentum and is on average often less than half the VAA share.

Cited in: Tactical allocation methodology: how the eleven tactical models work

Keller (2022) · Relative and Absolute Momentum in Times of Rising/Low Yields: Bold Asset Allocation (BAA)

Keller, Wouter J.. SSRN Working Paper 4166845, eingestellt 25.07.2022. doi:10.2139/ssrn.4166845

Bold asset allocation: relative momentum as price / SMA(12) − 1 over 13 month-end prices, a canary signal with 13612W momentum and a defensive universe for periods of rising yields.

Cited in: Tactical allocation methodology: how the eleven tactical models work

Kelly et al. (2024) · The Virtue of Complexity in Return Prediction

Kelly, Bryan; Malamud, Semyon; Zhou, Kangying. The Journal of Finance 79 (1), pp. 459–503. doi:10.1111/jofi.13298

Argues that models with more parameters than observations capture the predictability of the market return better than simple models.

Cited in: Prognosemodelle für Renditen: ARIMA, GARCH, LSTM und Machine Learning

Kelly (1956) · A New Interpretation of Information Rate

Kelly, J. L.. Bell System Technical Journal 35 (4), pp. 917–926. doi:10.1002/j.1538-7305.1956.tb03809.x

Derives the fraction of capital that maximises long-term wealth growth in repeated bets (the Kelly criterion).

Cited in: Kelly-Kriterium: Wie viel setzen für maximales Wachstum? · Glossary: Kelly criterion

Kemna and Vorst (1990) · A pricing method for options based on average asset values

Kemna, A.G.Z.; Vorst, A.C.F.. Journal of Banking & Finance 14 (1), pp. 113–129. doi:10.1016/0378-4266(90)90039-5

Asian options: a closed-form formula for the geometric average, used as a control variate in Monte Carlo pricing of the arithmetic average.

Cited in: Optionsbewertung: wie faire Optionspreise entstehen · Option pricer: how Portfolio Lab values options · Glossary: Asian option · Glossary: Control variate

Kerr et al. (2014) · Entrepreneurship as Experimentation

Kerr, William R.; Nanda, Ramana; Rhodes-Kropf, Matthew. Journal of Economic Perspectives 28 (3), pp. 25–48. doi:10.1257/jep.28.3.25

Entrepreneurship as experimentation: probabilities of success are low, extremely skewed and unknown before investing; the costs of experimentation shape where innovation happens.

Cited in: Venture capital: funding rounds, valuation, the power law and what research knows about returns · Glossary: Power law

Khandani and Lo (2011) · What happened to the quants in August 2007? Evidence from factors and transactions data

Khandani, Amir E.; Lo, Andrew W.. Journal of Financial Markets 14 (1), pp. 1–46. doi:10.1016/j.finmar.2010.07.005

The quant crisis of August 2007: simulated long/short portfolios and a market-making strategy point to market-wide deleveraging and a withdrawal of liquidity.

Cited in: Momentum-Crashes: warum Momentum selten, aber heftig einbricht und was Volatilitätssteuerung und Crowding-Maße zeigen · Pairs-Trading und statistische Arbitrage: Idee, Methoden, Forschung · Glossary: Crowding · Glossary: Quant meltdown

Kilian (2009) · Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market

Kilian, Lutz. American Economic Review 99 (3), pp. 1053–1069. doi:10.1257/aer.99.3.1053

Separates supply, demand and oil-specific shocks; global real economic activity is measured with an index of dry bulk freight rates.

Cited in: Ship tracking data and satellite images: what they reveal about commodities · Glossary: Freight rate index

Kim et al. (2016) · Time Series Momentum and Volatility Scaling

Kim, Abby Y.; Tse, Yiuman; Wald, John K.. Journal of Financial Markets 30, pp. 103–124. doi:10.1016/j.finmar.2016.05.003

The results on time-series momentum depend largely on volatility scaling; without it, the strategy resembles buy and hold.

Cited in: CTAs and managed futures: industry, position sizing, costs and crisis protection

Kim (1994) · Dynamic linear models with Markov-switching

Kim, Chang-Jin. Journal of Econometrics 60 (1–2), pp. 1–22. doi:10.1016/0304-4076(94)90036-1

Filtering and smoothing for state space models with Markov switching, including the smoothed regime probabilities.

Cited in: Regime-Modelle: Hidden Markov, Markov-Switching und Co. · Regime methodology: how the hidden Markov model works · Glossary: Filtered and smoothed probability

Kim and Finger (2000) · A stress test to incorporate correlation breakdown

Kim, Jongwoo; Finger, Christopher. The Journal of Risk 2 (3), pp. 5–19. doi:10.21314/jor.2000.026

Broken-arrow stress test: correlations for stress periods are estimated from a mixture of two normal distributions (quiet and hectic days) and used to calculate the expected loss on the remaining assets; in the example, correlations change markedly under stress in four of 18 markets.

Cited in: Historical stress testing: how to apply past crises to your portfolio today · Scenario methodology: how Portfolio Lab runs stress tests · Glossary: Correlation breakdown

Klarman (1991) · Margin of Safety: Risk-Averse Value Investing Strategies for the Thoughtful Investor

Klarman, Seth A.. HarperBusiness.

Value investing as a risk-averse approach: capital preservation before return, buying only with a margin of safety, patience and holding cash when there are no opportunities.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Kliesen et al. (2012) · Disentangling Diverse Measures: A Survey of Financial Stress Indexes

Kliesen, Kevin L.; Owyang, Michael T.; Vermann, E. Katarina. Federal Reserve Bank of St. Louis Review 94 (5). doi:10.20955/r.94.369-398

A survey of the financial stress indices developed by central banks and private providers after the financial crisis.

Cited in: Sentiment: methodology for the fear and greed index, put/call ratio and COT · Glossary: Financial stress index

Koijen et al. (2018) · Carry

Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, Lasse Heje; Vrugt, Evert B.. Journal of Financial Economics 127 (2), pp. 197–225. doi:10.1016/j.jfineco.2017.11.002

Carry as the expected return if prices stay unchanged: it predicts returns for equity indices, bonds, currencies, commodities, corporate bonds and options, and carry strategies lose together in global recessions.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities · Carry trade: earning interest with currencies and bonds · Bond math: calculating price, yield, duration, convexity and spreads · Carry backtest: methodology for FX and bond carry · Glossary: Bond carry · Glossary: Carry

Kolari and Pynnönen (2010) · Event Study Testing with Cross-sectional Correlation of Abnormal Returns

Kolari, James W.; Pynnönen, Seppo. Review of Financial Studies 23 (11), pp. 3996–4025. doi:10.1093/rfs/hhq072

When events fall on the same days, even slight cross-sectional correlation leads to far too many rejections; the authors adjust the BMP test accordingly.

Cited in: Event-Studien: Wie man Kursreaktionen auf Ereignisse misst und testet · Index-Effekt: Was bei Aufnahmen in einen Index und Streichungen mit den Kursen passiert

Kommer (2018) · Souverän investieren mit Indexfonds und ETFs: Wie Privatanleger das Spiel gegen die Finanzbranche gewinnen

Kommer, Gerd. Campus Verlag, 5th edition.

The standard German-language book on passive investing with index funds, a world portfolio and factor premiums.

Cited in: World portfolio: the whole world in one or two ETFs · Glossary: World portfolio (Weltportfolio)

26 U.S.C. § 1014 (1954) · United States Code, Title 26 (Internal Revenue Code), § 1014 Basis of property acquired from a decedent

Kongress der Vereinigten Staaten. Legal Information Institute, Cornell Law School; abgerufen am 26.10.2026. Source

In the US, the market value on the date of death generally becomes the new cost basis of inherited assets (step-up).

Cited in: Inheriting or gifting a portfolio: inheritance and gift tax, valuation and gifting in tranches

US Bankruptcy Code (1978) · United States Code, Title 11 (Bankruptcy), § 362 (Automatic stay), § 364 (Obtaining credit) und § 1129 (Confirmation of plan)

Kongress der Vereinigten Staaten. Legal Information Institute, Cornell Law School; abgerufen am 25.10.2026. Source

US bankruptcy law: an automatic stay on filing, new financing with priority during the proceedings (DIP financing) and confirmation of the plan, even over the objection of a dissenting class of creditors, if it is “fair and equitable”.

Cited in: Distressed debt: strategies, insolvency law, recovery rates and returns when investing in crises · Glossary: Absolute priority rule

Kopczuk (2012) · Taxation of Intergenerational Transfers and Wealth

Kopczuk, Wojciech. National Bureau of Economic Research, Working Paper 18584 (Kapitel im Handbook of Public Economics, Band 5). doi:10.3386/w18584

Survey of estate and gift taxation: the evidence points to mixed motives, heterogeneous preferences and the high value people place on keeping control of their own wealth.

Cited in: Inheriting or gifting a portfolio: inheritance and gift tax, valuation and gifting in tranches

Korteweg and Sorensen (2010) · Risk and Return Characteristics of Venture Capital-Backed Entrepreneurial Companies

Korteweg, Arthur; Sorensen, Morten. Review of Financial Studies 23 (10), pp. 3738–3772. doi:10.1093/rfs/hhq050

A dynamic sample selection model for valuations of young companies: with the correction, intercepts (alpha) turn out considerably lower and risks higher than in earlier studies.

Cited in: Venture capital: funding rounds, valuation, the power law and what research knows about returns

Korteweg et al. (2016) · Does it Pay to Invest in Art? A Selection-Corrected Returns Perspective

Korteweg, Arthur; Kräussl, Roman; Verwijmeren, Patrick. The Review of Financial Studies 29 (4), pp. 1007–1038. doi:10.1093/rfs/hhv062

20,538 paintings sold repeatedly at auction 1972–2010: paintings that have gained a lot in value are more likely to come up for sale; correcting for this selection lowers the index return from 10% to 6.5% a year and the Sharpe ratio from 0.24 to 0.04.

Cited in: Collectibles as an investment: what art, wine, watches and classic cars really return

Kostolany (1991) · Kostolanys Börsenpsychologie

Kostolany, André. Econ.

Kostolany on stock market psychology: in the short term, money and mood determine prices; in the long term, patient investors with “hard-boiled” rather than “shaky” hands win.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Kothari and O’Doherty (2023) · Job postings and aggregate stock returns

Kothari, Pratik; O’Doherty, Michael S.. Journal of Financial Markets 64, pp. 100804. doi:10.1016/j.finmar.2023.100804

The ratio of job openings to employment predicts the equity risk premium of the overall market better than more than two dozen standard predictors.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments

KPMG (2026) · Altersvorsorgereformgesetz im BGBl. veröffentlicht (Regulatory Update vom 9.6.2026)

KPMG AG Wirtschaftsprüfungsgesellschaft. KPMG Klardenker Financial Services Hub; abgerufen am 25.10.2026. Source

Reports the promulgation of the act reforming tax-subsidised private pension provision in the Federal Law Gazette (BGBl. 2026 I No. 156), with staggered entry into force up to 1 January 2028.

Cited in: Germany's new equity pension (Aktienrente): Frühstart-Rente, Generationenkapital, Altersvorsorgedepot

Kraus and Litzenberger (1976) · Skewness Preference and the Valuation of Risk Assets

Kraus, Alan; Litzenberger, Robert H.. The Journal of Finance 31 (4), pp. 1085–1100. doi:10.1111/j.1540-6261.1976.tb01961.x

Extends the CAPM to include skewness: investors like positive skewness and demand compensation for negative skewness.

Cited in: Skewness and kurtosis: why market crashes are more frequent than the normal distribution says

Krauss (2017) · Statistical Arbitrage Pairs Trading Strategies: Review and Outlook

Krauss, Christopher. Journal of Economic Surveys 31 (2), pp. 513–545. doi:10.1111/joes.12153

A review of research on pairs trading in five groups: distance, cointegration, time series, stochastic control and other approaches.

Cited in: Pairs-Trading und statistische Arbitrage: Idee, Methoden, Forschung · Glossary: Statistical arbitrage

Kritzman and Li (2010) · Skulls, Financial Turbulence, and Risk Management

Kritzman, Mark; Li, Yuanzhen. Financial Analysts Journal 66 (5), pp. 30–41. doi:10.2469/faj.v66.n5.3

Measures financial turbulence with a statistical distance measure originally developed for comparing skulls, and uses it to measure and manage risk.

Cited in: Historical stress testing: how to apply past crises to your portfolio today · Scenario methodology: how Portfolio Lab runs stress tests · Glossary: Mahalanobis distance · Glossary: Financial turbulence

Kritzman et al. (2011) · Principal Components as a Measure of Systemic Risk

Kritzman, Mark; Li, Yuanzhen; Page, Sébastien; Rigobon, Roberto. The Journal of Portfolio Management 37 (4), pp. 112–126. doi:10.3905/jpm.2011.37.4.112

Uses principal components as an early-warning measure: the absorption ratio rises when a few factors drive the market.

Cited in: Correlation and diversification: why mixing assets reduces risk · Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Asset analysis: methodology from correlation to cointegration · Dimensions methodology: how Portfolio Lab counts independent risks · Glossary: Absorption ratio

Kritzman et al. (2012) · Regime Shifts: Implications for Dynamic Strategies

Kritzman, Mark; Page, Sébastien; Turkington, David. Financial Analysts Journal 68 (3), pp. 22–39. doi:10.2469/faj.v68.n3.3

Markov-switching models for market turbulence, inflation and growth; a dynamic allocation based on them beat the static one in a backtest, especially in protecting against large losses.

Cited in: Regime-Modelle: Hidden Markov, Markov-Switching und Co.

Kruttli et al. (2021) · Hedge Fund Treasury Trading and Funding Fragility: Evidence from the COVID-19 Crisis

Kruttli, Mathias S.; Monin, Phillip J.; Petrasek, Lubomir; Watugala, Sumudu W.. Board of Governors of the Federal Reserve System, Finance and Economics Discussion Series 2021-038. doi:10.17016/feds.2021.038

Hedge funds doubled their Treasury positions up to February 2020 and cut them substantially in March 2020; funds with cash-futures basis trades came under the greatest margin pressure.

Cited in: Basis trades: positive and negative basis in bonds, CDS and futures

Kung and Pohlman (2004) · Portable Alpha

Kung, Edward; Pohlman, Lawrence. The Journal of Portfolio Management 30 (3), pp. 78–87. doi:10.3905/jpm.2004.412322

Splits the return of active managers into market return (beta) and selection skill (alpha) and shows how alpha can be transferred from one market to another portfolio.

Cited in: Gehebelte ETFs und Return Stacking: Pfadabhängigkeit, Kosten und Forschung · Glossary: Return stacking · Glossary: Portable alpha

Kunsch (1989) · The Jackknife and the Bootstrap for General Stationary Observations

Kunsch, Hans R.. The Annals of Statistics 17 (3), pp. 1217–1241. doi:10.1214/aos/1176347265

Block bootstrap for dependent data: contiguous blocks are drawn so that autocorrelation is preserved.

Cited in: Monte Carlo simulation: how safe is your plan? · Bootstrap: future scenarios from your own history · Monte Carlo methodology: how Portfolio Lab simulates wealth paths · Glossary: Block bootstrap

Kupiec (1998) · Stress Testing in a Value at Risk Framework

Kupiec, Paul H.. The Journal of Derivatives 6 (1), pp. 7–24. doi:10.3905/jod.1998.408008

Computes stress scenarios with the same conditional distributions of the risk factors as value at risk; historical VaR covariances with a conditional normal distribution then give usable loss estimates in many stress periods (abstract in the Cambridge University Press reprint of 2002).

Cited in: Historical stress testing: how to apply past crises to your portfolio today · Szenarioanalyse und Sensitivitätsanalyse: Aktien-, Zins-, Kredit- und Währungsrisiko im Stresstest · Scenario methodology: how Portfolio Lab runs stress tests · Glossary: Conditional expectation

Kyle (1985) · Continuous Auctions and Insider Trading

Kyle, Albert S.. Econometrica 53 (6), pp. 1315–1335. doi:10.2307/1913210

A model with an insider, uninformed traders and a market maker: the price responds linearly to total order flow; the coefficient (Kyle's lambda) measures price impact, and its reciprocal measures market depth.

Cited in: Insider trading: what is prohibited, what is allowed and what directors' dealings reveal · Prediction markets as bets on events: what they can and cannot do · Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing · Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC · Glossary: Market impact

L

L’Her et al. (2016) · A Bottom-Up Approach to the Risk-Adjusted Performance of the Buyout Fund Market

L’Her, Jean-François; Stoyanova, Rossitsa; Shaw, Kathryn; Scott, William; Lai, Charissa. Financial Analysts Journal 72 (4), pp. 36–48. doi:10.2469/faj.v72.n4.1

Against a levered public market index adjusted for size and industry, buyout funds no longer show a significant money-weighted excess return.

Cited in: Buyout funds and management buyouts: how LBOs, MBOs and MBIs work · Private equity explained: strategies, fund structure, fees and what research shows about returns · Private Markets messen: J-Kurve, Cashflows, Glättung und Public Proxy · Glossary: Public proxy

Lachanski and Pav (2017) · Shy of the Character Limit: “Twitter Mood Predicts the Stock Market” Revisited

Lachanski, Michael; Pav, Steven. Econ Journal Watch 14 (3), pp. 302–345. Source

A re-examination of Bollen, Mao and Zeng (2011): the result could not be reproduced, and an effect appeared only in the original period and not out of sample, which is consistent with data snooping.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments

Lakonishok and Smidt (1988) · Are Seasonal Anomalies Real? A Ninety-Year Perspective

Lakonishok, Josef; Smidt, Seymour. Review of Financial Studies 1 (4), pp. 403–425. doi:10.1093/rfs/1.4.403

90 years of daily Dow Jones data: persistently anomalous returns around the turn of the week, month and year and around holidays.

Cited in: Stock market seasonality: Sell in May, the January effect and how to test calendar effects

Lakonishok and Lee (2001) · Are Insider Trades Informative?

Lakonishok, Josef; Lee, Inmoo. Review of Financial Studies 14 (1), pp. 79–111. doi:10.1093/rfs/14.1.79

Insider trades on the NYSE, AMEX and Nasdaq from 1975 to 1995: little price reaction at the time of the trade or the filing, and insiders trade as contrarians; predictive power lies mainly in purchases and small companies, while sales are uninformative.

Cited in: Insider trading: what is prohibited, what is allowed and what directors' dealings reveal

Laloux et al. (1999) · Noise Dressing of Financial Correlation Matrices

Laloux, Laurent; Cizeau, Pierre; Bouchaud, Jean-Philippe; Potters, Marc. Physical Review Letters 83 (7), pp. 1467–1470. doi:10.1103/PhysRevLett.83.1467

Compares the eigenvalues of empirical correlation matrices of stocks (S&P 500 and other large markets) with the prediction for purely random matrices: the densities agree remarkably well, which casts doubt on the blind use of estimated correlations in risk management.

Cited in: Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Dimensions methodology: how Portfolio Lab counts independent risks · Glossary: Marchenko-Pastur distribution · Glossary: Random matrix theory

Laurs and Renneboog (2019) · My kingdom for a horse (or a classic car)

Laurs, Dries; Renneboog, Luc. Journal of International Financial Markets, Institutions and Money 58, pp. 184–207. doi:10.1016/j.intfin.2018.10.002

29,000 classic car auctions 1998–2017, hedonic indices: before transaction costs, classic cars rose by 3.37% a year in real terms and 5.63% in nominal terms.

Cited in: Collectibles as an investment: what art, wine, watches and classic cars really return · Glossary: Hedonic price index

Ledoit and Wolf (2004) · Honey, I Shrunk the Sample Covariance Matrix

Ledoit, Olivier; Wolf, Michael. The Journal of Portfolio Management 30 (4), pp. 110–119. doi:10.3905/jpm.2004.110

Proposes shrinking the estimated covariance matrix towards a simple target matrix, which gives more stable weights with fewer errors.

Cited in: Efficient frontier: Markowitz portfolio optimisation · Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Kovarianzschätzung: Warum Optimierer Shrinkage brauchen · Resampling-Optimierung nach Michaud: stabilere Portfoliogewichte durch Simulation · Optimisation methodology: estimation, objectives, Black-Litterman, resampling and walk-forward · Dimensions methodology: how Portfolio Lab counts independent risks · Glossary: Ledoit-Wolf shrinkage

Ledoit and Wolf (2004) · A well-conditioned estimator for large-dimensional covariance matrices

Ledoit, Olivier; Wolf, Michael. Journal of Multivariate Analysis 88 (2), pp. 365–411. doi:10.1016/s0047-259x(03)00096-4

The mathematical foundation of shrinkage estimation: the optimal shrinkage intensity for large covariance matrices.

Cited in: Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Kovarianzschätzung: Warum Optimierer Shrinkage brauchen · Risk & attribution: methodology of risk decomposition and Brinson attribution · Glossary: Ledoit-Wolf shrinkage

Lehmann (1990) · Fads, Martingales, and Market Efficiency

Lehmann, Bruce N.. The Quarterly Journal of Economics 105 (1). doi:10.2307/2937816

One week's winners and losers reverse markedly in the following week; the profits survive bid-ask spreads and plausible transaction costs.

Cited in: Pairs-Trading und statistische Arbitrage: Idee, Methoden, Forschung

Leibowitz and Henriksson (1988) · Portfolio Optimization Within a Surplus Framework

Leibowitz, Martin L.; Henriksson, Roy D.. Financial Analysts Journal 44 (2), pp. 43–51. doi:10.2469/faj.v44.n2.43

Markowitz optimisation applied to the surplus of assets over liabilities: the risk-free asset is then an immunised bond portfolio rather than cash, and the optimal mix can differ greatly from the one without liabilities.

Cited in: Liability Driven Investing und Cashflow Driven Investing: Verbindlichkeiten mit Anleihen decken · Glossary: Matching portfolio

Leisen and Reimer (1996) · Binomial models for option valuation - examining and improving convergence

Leisen, Dietmar P. J.; Reimer, Matthias. Applied Mathematical Finance 3 (4), pp. 319–346. doi:10.1080/13504869600000015

Convergence of binomial trees; new trees that converge to Black-Scholes smoothly and with order two (Leisen-Reimer).

Cited in: Optionsbewertung: wie faire Optionspreise entstehen · Option pricer: how Portfolio Lab values options · Glossary: Binomial tree

Leland (1980) · Who Should Buy Portfolio Insurance?

Leland, Hayne E.. The Journal of Finance 35 (2), pp. 581–594. doi:10.1111/j.1540-6261.1980.tb02190.x

Asks for which investors portfolio insurance with limited losses and open-ended gains is worthwhile.

Cited in: CPPI: portfolio insurance with cushion, floor and multiplier · Glossary: Portfolio insurance

Leland (1988) · Portfolio Insurance and October 19th

Leland, Hayne E.. California Management Review 30 (4), pp. 80–89. doi:10.2307/41166528

A provider's look back at the 1987 crash: insurance became more expensive but did protect, and he attributes the crash to a lack of liquidity.

Cited in: CPPI: portfolio insurance with cushion, floor and multiplier · Glossary: Portfolio insurance

Lempérière et al. (2014) · Two Centuries of Trend Following

Lempérière, Yves; Deremble, Cyril; Seager, Philip; Potters, Marc; Bouchaud, Jean-Philippe. The Journal of Investment Strategies 3 (3), pp. 41–61. doi:10.21314/jois.2014.043

Trend following across four asset classes since 1800 (futures since 1960) with very high statistical significance; long-term trends show no decay, while short-term trends have weakened markedly.

Cited in: CTAs and managed futures: industry, position sizing, costs and crisis protection

Lerner and Nanda (2020) · Venture Capital's Role in Financing Innovation: What We Know and How Much We Still Need to Learn

Lerner, Josh; Nanda, Ramana. Journal of Economic Perspectives 34 (3), pp. 237–261. doi:10.1257/jep.34.3.237

The limits of the venture model: only a narrow band of technologies fits, a few investors direct a large share of the capital, and investor oversight has weakened.

Cited in: Venture capital: funding rounds, valuation, the power law and what research knows about returns

Leuz et al. (2017) · Who Falls Prey to the Wolf of Wall Street? Investor Participation in Market Manipulation

Leuz, Christian; Meyer, Steffen; Muhn, Maximilian; Soltes, Eugene; Hackethal, Andreas. National Bureau of Economic Research, Working Paper 24083 (November 2017, überarbeitet Oktober 2023). doi:10.3386/w24083

Examines 470 pump-and-dump schemes in the German market using account data of more than 110,000 clients of a German bank: who takes part, how much is lost and how BaFin warnings work.

Cited in: Pump and dump and penny stocks: how the scam works · Glossary: Penny stock · Glossary: Pump and dump

Levine and Pedersen (2016) · Which Trend Is Your Friend?

Levine, Ari; Pedersen, Lasse Heje. Financial Analysts Journal 72 (3), pp. 51–66. doi:10.2469/faj.v72.n3.3

Time-series momentum and moving-average crossovers are equivalent in their general form; many trend filters can be written as weighted past returns.

Cited in: CTAs and managed futures: industry, position sizing, costs and crisis protection

Levy (1992) · Pricing European average rate currency options

Levy, Edmond. Journal of International Money and Finance 11 (5), pp. 474–491. doi:10.1016/0261-5606(92)90013-N

A lognormal approximation for average options that uses the exact first two moments of the arithmetic average.

Cited in: Option pricer: how Portfolio Lab values options · Glossary: Asian option

Lewis et al. (2022) · Measuring real activity using a weekly economic index

Lewis, Daniel J.; Mertens, Karel; Stock, James H.; Trivedi, Mihir. Journal of Applied Econometrics 37 (4), pp. 667–687. doi:10.1002/jae.2873

Describes the Weekly Economic Index (WEI) for the US, a weekly index of real economic activity built from ten series, eight of which are available on the Thursday after the week; in the first half of 2020 it gave an accurate estimate of GDP growth in the current quarter, and in the second half a less accurate one.

Cited in: Economic pulse: how Portfolio Lab calculates early indicators · Glossary: Leading indicator · Glossary: Weekly Economic Index

Lewis (1999) · Trying to Explain Home Bias in Equities and Consumption

Lewis, Karen K.. Journal of Economic Literature 37 (2), pp. 571–608. doi:10.1257/jel.37.2.571

A survey of explanations for home bias: investors hold far more domestic equities than portfolio theory suggests.

Cited in: Home bias: the preference for your home market and what it costs

Lewis (2010) · The Big Short: Inside the Doomsday Machine

Lewis, Michael. W. W. Norton.

Investors who bet against US subprime mortgages before the financial crisis, including Michael Burry with Scion Capital through credit default swaps.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Li et al. (2025) · Cryptocurrency Pump-and-Dump Schemes

Li, Tao; Shin, Donghwa; Wang, Baolian. Journal of Financial and Quantitative Analysis 60 (8), pp. 3622–3659. doi:10.1017/S0022109025000201

Cryptocurrency pump-and-dump schemes cause short spikes in price, volume and volatility followed by a rapid reversal, and transfer wealth from outsiders to insiders.

Cited in: Pump and dump and penny stocks: how the scam works · Crypto in institutional portfolios: access, custody, regulation and risk budget

Liao and Caramichael (2022) · Stablecoins: Growth Potential and Impact on Banking

Liao, Gordon Y.; Caramichael, John. Board of Governors of the Federal Reserve System, International Finance Discussion Papers 1334. doi:10.17016/IFDP.2022.1334

How stablecoins affect banks and lending depends on flows and reserves; a narrow-bank model gives the most stable peg but drains deposits from banks.

Cited in: Digital assets: tokenisation, stablecoins, crypto securities and the digital euro

Ling and Naranjo (2015) · Returns and Information Transmission Dynamics in Public and Private Real Estate Markets

Ling, David C.; Naranjo, Andy. Real Estate Economics 43 (1), pp. 163–208. doi:10.1111/1540-6229.12069

US 1994–2012, adjusted for leverage, property types and fees: unlevered core REITs outperformed private real estate by 49 basis points a year and process new information faster.

Cited in: Real estate as an investment: rental flat, REITs, open-ended funds and private real estate

Lintner (1965) · The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets

Lintner, John. The Review of Economics and Statistics 47 (1). doi:10.2307/1924119

Develops the CAPM independently of Sharpe and links the choice of risky assets with borrowing at the risk-free rate.

Cited in: Beta and alpha: how closely a fund moves with the market · CAPM: the capital asset pricing model and the security market line · Glossary: CAPM

Litterman (2003) · Modern Investment Management: An Equilibrium Approach

Litterman, Bob. Wiley.

An equilibrium approach to investment management (Goldman Sachs), covering Black-Litterman and risk budgets, among other topics.

Cited in: Black-Litterman: incorporating your own views cleanly · Risikobeitrag: das Portfoliorisiko in seine Teile zerlegen

Litterman (1996) · Hot Spots™ and Hedges

Litterman, Robert. The Journal of Portfolio Management 23 (5), pp. 52–75. doi:10.3905/jpm.1996.052

Breaks a portfolio's risk down into contributions per position in order to identify risk concentrations and effective hedges.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget · Risk & attribution: methodology of risk decomposition and Brinson attribution

Liu et al. (2023) · Anatomy of a Run: The Terra Luna Crash

Liu, Jiageng; Makarov, Igor; Schoar, Antoinette. National Bureau of Economic Research, Working Paper 31160. doi:10.3386/w31160

Reconstructs the run on the Terra ecosystem in May 2022 from blockchain and exchange data: large, better-informed holders withdrew first and lost less.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget · Digital assets: tokenisation, stablecoins, crypto securities and the digital euro

Liu and Tsyvinski (2021) · Risks and Returns of Cryptocurrency

Liu, Yukun; Tsyvinski, Aleh. The Review of Financial Studies 34 (6), pp. 2689–2727. doi:10.1093/rfs/hhaa113

Crypto returns depend on crypto-specific factors (network and user growth rather than production costs), show strong time-series momentum and can be predicted with measures of investor attention.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

Liu et al. (2022) · Common Risk Factors in Cryptocurrency

Liu, Yukun; Tsyvinski, Aleh; Wu, Xi. The Journal of Finance 77 (2), pp. 1133–1177. doi:10.1111/jofi.13119

Three factors (crypto market, size and momentum) explain the differences in expected returns across cryptocurrencies, including those of ten successful long-short strategies.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

Ljung and Box (1978) · On a measure of lack of fit in time series models

Ljung, G. M.; Box, G. E. P.. Biometrika 65 (2), pp. 297–303. doi:10.1093/biomet/65.2.297

The Ljung-Box test for autocorrelation across several lags.

Cited in: Prognosemodelle für Renditen: ARIMA, GARCH, LSTM und Machine Learning · Asset analysis: methodology from correlation to cointegration · Glossary: Ljung-Box test

Lloyd (1982) · Least squares quantization in PCM

Lloyd, S.. IEEE Transactions on Information Theory 28 (2), pp. 129–137. doi:10.1109/tit.1982.1056489

The basis of the k-means method: alternately assign points to the nearest centre and recompute the centres.

Cited in: Regime-Modelle: Hidden Markov, Markov-Switching und Co.

Lo and MacKinlay (1988) · Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

Lo, Andrew W.; MacKinlay, A. Craig. Review of Financial Studies 1 (1), pp. 41–66. doi:10.1093/rfs/1.1.41

Variance ratio test: US stock returns in 1962–1985 do not follow a pure random walk.

Cited in: Prognosemodelle für Renditen: ARIMA, GARCH, LSTM und Machine Learning · Asset analysis: methodology from correlation to cointegration · Glossary: Random walk · Glossary: Variance ratio

Lo and MacKinlay (1990) · When Are Contrarian Profits Due to Stock Market Overreaction?

Lo, Andrew W.; MacKinlay, A. Craig. Review of Financial Studies 3 (2), pp. 175–205. doi:10.1093/rfs/3.2.175

A substantial part of the profits from contrarian strategies comes from cross-autocorrelations: large stocks lead small ones.

Cited in: Pairs-Trading und statistische Arbitrage: Idee, Methoden, Forschung

Lo et al. (2000) · Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

Lo, Andrew W.; Mamaysky, Harry; Wang, Jiang. The Journal of Finance 55 (4), pp. 1705–1765. doi:10.1111/0022-1082.00265

Detects chart patterns such as head-and-shoulders or double bottoms automatically with kernel regression and compares the subsequent returns with the unconditional distribution.

Cited in: Technical analysis, chart patterns and candlesticks from a quant perspective

Lobosco and DiBartolomeo (1997) · Approximating the Confidence Intervals for Sharpe Style Weights

Lobosco, Angelo; DiBartolomeo, Dan. Financial Analysts Journal 53 (4), pp. 80–85. doi:10.2469/faj.v53.n4.2103

Derives approximate confidence intervals for the weights in style analysis.

Cited in: Stilanalyse nach Sharpe: was ein Fonds wirklich macht · Returns-based style analysis: methodology

Long and Nickels (1996) · A Private Investment Benchmark

Long, Austin M.; Nickels, Craig J.. Vortrag auf der AIMR Conference on Venture Capital Investing, 13.2.1996; abgerufen am 27.10.2026. Source

Proposes measuring private investments against a stock market index whose time-weighted return is converted into a money-weighted one (IRR); this became the Long-Nickels PME (index comparison method).

Cited in: Private markets methodology: analysing funds, forecasting cash flows, planning commitments

López de Prado (2016) · Building Diversified Portfolios that Outperform Out of Sample

López de Prado, Marcos. The Journal of Portfolio Management 42 (4), pp. 59–69. doi:10.3905/jpm.2016.42.4.059

Introduces hierarchical risk parity: weights based on a hierarchical clustering of correlations instead of the inverse of the covariance matrix.

Cited in: Hierarchical Risk Parity: Portfolios aus Clustern bauen · Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Glossary: Hierarchical risk parity

López de Prado (2018) · Advances in Financial Machine Learning

López de Prado, Marcos. Wiley.

Textbook on backtesting and machine learning in finance, covering overfitting and HRP, among other topics.

Cited in: Backtest overfitting: when the past looks too good · Hierarchical Risk Parity: Portfolios aus Clustern bauen · Probability of Backtest Overfitting: Hält die beste Variante, was der Backtest verspricht? · Prognosemodelle für Renditen: ARIMA, GARCH, LSTM und Machine Learning · Glossary: Overfitting · Glossary: Cross-validation

López de Prado and Lewis (2019) · Detection of false investment strategies using unsupervised learning methods

López de Prado, Marcos; Lewis, Michael J.. Quantitative Finance 19 (9), pp. 1555–1565. doi:10.1080/14697688.2019.1622311

Uses a clustering method to estimate the number of effectively uncorrelated trials, the quantity needed for multiple testing and the deflated Sharpe ratio.

Cited in: Overfitting check and diversification return: the calculations in Backtest and Tactical · Glossary: Effective number of trials

Lopez-Lira and Tang (2026) · Can ChatGPT forecast stock price movements? Return predictability and large language models

Lopez-Lira, Alejandro; Tang, Yuehua. Journal of Financial Economics 184, pp. 104335. doi:10.1016/j.jfineco.2026.104335

Language models rate headlines and predict the price reaction and the subsequent drift, especially for small stocks and bad news; returns decline as adoption spreads.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Prognosemodelle für Renditen: ARIMA, GARCH, LSTM und Machine Learning · Glossary: Sentiment analysis

Lou and Polk (2022) · Comomentum: Inferring Arbitrage Activity from Return Correlations

Lou, Dong; Polk, Christopher. The Review of Financial Studies 35 (7), pp. 3272–3302. doi:10.1093/rfs/hhab117

Comomentum measures the correlation of excess returns among the stocks a typical momentum strategy bets on; when it is high, the returns of momentum stocks reverse sharply, which is a sign of crowded momentum trading.

Cited in: Momentum-Crashes: warum Momentum selten, aber heftig einbricht und was Volatilitätssteuerung und Crowding-Maße zeigen · Glossary: Crowding · Glossary: Comomentum

Loudon et al. (2006) · Hedge Fund Risk Factors and the Value at Risk of Fixed Income Trading Strategies

Loudon, Geoff; Okunev, John; White, Derek. The Journal of Fixed Income 16 (2), pp. 46–61. doi:10.3905/jfi.2006.656009

Develops a procedure that removes autocorrelation of any order from reported returns (Okunev-White method) and then estimates the risk factors and value at risk of hedge funds.

Cited in: Private Markets messen: J-Kurve, Cashflows, Glättung und Public Proxy

Loughran and McDonald (2011) · When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10-Ks

Loughran, Tim; McDonald, Bill. The Journal of Finance 66 (1), pp. 35–65. doi:10.1111/j.1540-6261.2010.01625.x

General-purpose dictionaries wrongly classify many words in annual reports as negative; the authors develop their own word lists for financial texts.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Glossary: Sentiment analysis

Lustig and Verdelhan (2007) · The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk

Lustig, Hanno; Verdelhan, Adrien. American Economic Review 97 (1), pp. 89–117. doi:10.1257/aer.97.1.89

Portfolios of high-interest currencies earn positive excess returns and portfolios of low-interest currencies negative ones, explained by consumption risk, because high-interest currencies depreciate when consumption growth is weak.

Cited in: Carry trade: earning interest with currencies and bonds · Glossary: Carry trade

Lustig et al. (2011) · Common Risk Factors in Currency Markets

Lustig, Hanno; Roussanov, Nikolai; Verdelhan, Adrien. Review of Financial Studies 24 (11), pp. 3731–3777. doi:10.1093/rfs/hhr068

A slope factor of high-minus-low interest rate currencies explains most of the return differences; buying high-interest currencies and borrowing in low-interest currencies means bearing global risk.

Cited in: Carry trade: earning interest with currencies and bonds · Carry backtest: methodology for FX and bond carry · Glossary: Target currency · Glossary: Dollar factor

Lynch and Mendenhall (1997) · New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index

Lynch, Anthony W.; Mendenhall, Richard R.. The Journal of Business 70 (3), pp. 351–383. doi:10.1086/209722

Since October 1989, S&P has announced index changes about a week in advance where possible; additions and deletions then show abnormal returns that only partly reverse.

Cited in: Smart Indexing: Mehrwert für Indexfonds rund um Corporate Actions und Indexänderungen

Lynch and Rothchild (2000) · One Up on Wall Street: How to Use What You Already Know to Make Money in the Market

Lynch, Peter; Rothchild, John. Simon & Schuster, revised edition (first published 1989).

The former manager of the Fidelity Magellan Fund on stock picking for private investors: understand the business, sort stocks into categories, measure the P/E against earnings growth.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Glossary: GARP

Lyon et al. (1999) · Improved Methods for Tests of Long-Run Abnormal Stock Returns

Lyon, John D.; Barber, Brad M.; Tsai, Chih-Ling. The Journal of Finance 54 (1), pp. 165–201. doi:10.1111/0022-1082.00101

BHARs with carefully constructed reference portfolios and a skewness-adjusted t-test, or calendar-time portfolios, are well specified in random samples but often not in non-random ones.

Cited in: Event-Studien: Wie man Kursreaktionen auf Ereignisse misst und testet · Glossary: Buy-and-hold abnormal return

M

Macaulay (1938) · Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States since 1856

Macaulay, Frederick R.. National Bureau of Economic Research. Source

Introduces duration as the average time to a bond's payments.

Cited in: Duration: how strongly bonds react to interest rates · Asset-liability management: aligning your wealth with future spending · Bond math: calculating price, yield, duration, convexity and spreads · ALM methodology: how Portfolio Lab measures assets against liabilities · Risk factors in the look-through: methodology · Glossary: Macaulay duration

MacKinlay (1997) · Event Studies in Economics and Finance

MacKinlay, A. Craig. Journal of Economic Literature 35 (1), pp. 13–39. Source

Standard survey of event study methodology: estimation and event windows, the market model, abnormal and cumulative abnormal returns and their tests.

Cited in: Event-Studien: Wie man Kursreaktionen auf Ereignisse misst und testet · Glossary: Event study · Glossary: Cumulative abnormal return

MacKinnon (1994) · Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests

MacKinnon, James G.. Journal of Business & Economic Statistics 12 (2), pp. 167–176. doi:10.1080/07350015.1994.10510005

Approximation formulas for the distributions of unit root and cointegration test statistics that can be used to calculate p-values.

Cited in: Pairs-Trading und statistische Arbitrage: Idee, Methoden, Forschung · Long/short and statistical arbitrage: methodology · Glossary: Engle-Granger test

MacLean et al. (2010) · Long-term capital growth: the good and bad properties of the Kelly and fractional Kelly capital growth criteria

MacLean, Leonard C.; Thorp, Edward O.; Ziemba, William T.. Quantitative Finance 10 (7), pp. 681–687. doi:10.1080/14697688.2010.506108

Summarises the good and bad properties of the Kelly criterion: the highest growth, but very large interim losses.

Cited in: Leverage in a portfolio: return, risk, costs and margin calls · Kelly-Kriterium: Wie viel setzen für maximales Wachstum? · Glossary: Fractional Kelly

Madhavan (2003) · The Russell Reconstitution Effect

Madhavan, Ananth. Financial Analysts Journal 59 (4), pp. 51–64. doi:10.2469/faj.v59.n4.2545

Return effects of the annual Russell reconstitution 1996–2002: costly for funds that rebalance on the effective date, profitable but risky for liquidity providers.

Cited in: Smart Indexing: Mehrwert für Indexfonds rund um Corporate Actions und Indexänderungen

Madrian and Shea (2001) · The Power of Suggestion: Inertia in 401(k) Participation and Savings Behavior

Madrian, Brigitte C.; Shea, Dennis F.. The Quarterly Journal of Economics 116 (4), pp. 1149–1187. doi:10.1162/003355301753265543

Automatic enrolment substantially increases participation in 401(k) plans; many participants stick with the default contribution rate and the default fund.

Cited in: Germany's new equity pension (Aktienrente): Frühstart-Rente, Generationenkapital, Altersvorsorgedepot · Retirement saving in Germany compared: company pension, Rürup, Altersvorsorgedepot and ETF pension insurance versus an ETF savings plan

Magdon-Ismail et al. (2004) · On the maximum drawdown of a Brownian motion

Magdon-Ismail, Malik; Atiya, Amir F.; Pratap, Amrit; Abu-Mostafa, Yaser S.. Journal of Applied Probability 41 (1), pp. 147–161. doi:10.1239/jap/1077134674

Derives the distribution of the maximum drawdown of a Brownian motion as a function of drift, volatility and duration.

Cited in: Maximum drawdown: the largest loss from a peak · Risk metrics beyond the Sharpe ratio: Treynor, Calmar, Omega, Ulcer Index and more

Maillard et al. (2010) · The Properties of Equally Weighted Risk Contribution Portfolios

Maillard, Sébastien; Roncalli, Thierry; Teïletche, Jérôme. The Journal of Portfolio Management 36 (4), pp. 60–70. doi:10.3905/jpm.2010.36.4.060

Describes the properties of equal risk contribution portfolios (risk parity), which lie between minimum variance and equal weighting.

Cited in: All Weather portfolio: ready for every economic climate? · Efficient frontier: Markowitz portfolio optimisation · Liquid real assets: inflation protection with tradable real assets in a portfolio · Risikobeitrag: das Portfoliorisiko in seine Teile zerlegen · Risk Parity: gleiche Risikobeiträge statt gleicher Gewichte · Optimisation methodology: estimation, objectives, Black-Litterman, resampling and walk-forward · Glossary: Risk budgeting

Makarov and Schoar (2020) · Trading and arbitrage in cryptocurrency markets

Makarov, Igor; Schoar, Antoinette. Journal of Financial Economics 135 (2), pp. 293–319. doi:10.1016/j.jfineco.2019.07.001

Large, recurring price differences between crypto exchanges, especially across national borders; capital controls hamper arbitrage, and a common component of trading volume explains 80% of bitcoin returns.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

Malkiel (2003) · The Efficient Market Hypothesis and Its Critics

Malkiel, Burton G. Journal of Economic Perspectives 17 (1), pp. 59–82. doi:10.1257/089533003321164958

Defends the efficient market hypothesis against criticism from behavioural finance and the anomalies literature.

Cited in: The efficient market hypothesis: why it is so hard to beat the market · Glossary: Efficient market hypothesis

Malkiel (1995) · Returns from Investing in Equity Mutual Funds 1971 to 1991

Malkiel, Burton G.. The Journal of Finance 50 (2), pp. 549–572. doi:10.1111/j.1540-6261.1995.tb04795.x

Equity mutual funds lagged the market after costs in 1971–1991; survivorship bias distorts many studies.

Cited in: Active or passive investing: ETFs versus fund managers · ETF basics: costs, replication and use of income · Backtest overfitting: when the past looks too good · Data checks: loading, preparing and checking price series · Glossary: Survivorship bias

Mallaby (2010) · More Money Than God: Hedge Funds and the Making of a New Elite

Mallaby, Sebastian. Penguin Press.

A history of hedge funds from Alfred Winslow Jones to the financial crisis, featuring Soros, Druckenmiller, Tudor Jones, Robertson and the quants, among others.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Glossary: Global macro

Malmendier et al. (2025) · Generation Frühstart-Rente

Malmendier, Ulrike; Schaffranka, Claudia; Schwarz, Milena. Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung, Arbeitspapier 02/2025, Oktober 2025. Source

Recommends automatic enrolment of all children, a state default fund with opt-out, fund selection based on costs and a cost cap; with 100% equities, the account had only a 7% probability in simulations of being worth less than the contributions after twelve years.

Cited in: Germany's new equity pension (Aktienrente): Frühstart-Rente, Generationenkapital, Altersvorsorgedepot · Kinderdepot or parents' account? Tax, gifts, BAföG and family health insurance

MFSA (2024) · Publication of the AIFMD II (Rundschreiben zur Richtlinie (EU) 2024/927)

Malta Financial Services Authority. MFSA, 19.4.2024; abgerufen am 25.10.2026. Source

The supervisor's summary of the revised AIFM Directive: rules for loan-originating funds (leverage limits of 175% and 300% respectively, a single-borrower limit, 5% risk retention) and transposition by 16 April 2026.

Cited in: Private Debt in der Praxis: Direct Lending, Unitranche, Mezzanine, Kreditstruktur und Fondsvehikel

Mandel (2009) · Art as an Investment and Conspicuous Consumption Good

Mandel, Benjamin R.. American Economic Review 99 (4), pp. 1653–1663. doi:10.1257/aer.99.4.1653

Model in which art pays a dividend from conspicuous consumption on top of capital gains, which is why financial returns are low and risk premiums small or even negative.

Cited in: Collectibles as an investment: what art, wine, watches and classic cars really return · Glossary: Emotional dividend

Mandelbrot (1963) · The Variation of Certain Speculative Prices

Mandelbrot, Benoit. The Journal of Business 36 (4). doi:10.1086/294632

Shows that price changes are extreme far more often than a normal distribution predicts (fat tails).

Cited in: Volatility: how much a portfolio fluctuates · Monte Carlo simulation: how safe is your plan? · Skewness and kurtosis: why market crashes are more frequent than the normal distribution says · Monte Carlo methodology: how Portfolio Lab simulates wealth paths · Data checks: loading, preparing and checking price series · Glossary: Fat tails

Marchenko and Pastur (1967) · Distribution of eigenvalues for some sets of random matrices

Marčenko, V. A.; Pastur, L. A.. Mathematics of the USSR-Sbornik 1 (4), pp. 457–483. doi:10.1070/SM1967v001n04ABEH001994

Mathematical paper on the distribution of eigenvalues of large random matrices; the Marchenko-Pastur distribution of the eigenvalues of sample covariance matrices is named after it.

Cited in: Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Dimensions methodology: how Portfolio Lab counts independent risks · Glossary: Marchenko-Pastur distribution

Markowitz (1959) · Portfolio Selection: Efficient Diversification of Investments

Markowitz, Harry M.. Wiley (Cowles Foundation Monograph 16), new edition, Blackwell 1991.

Book version of portfolio theory with methods for computing efficient portfolios (a Cowles monograph).

Cited in: Efficient frontier: Markowitz portfolio optimisation

Markowitz and Usmen (2003) · Resampled Frontiers vs Diffuse Bayes: An Experiment

Markowitz, Harry M.; Usmen, Nilufer. Journal of Investment Management 1 (4). Source

Game between a resampling player and a Bayesian player with diffuse priors, in which resampling came out ahead.

Cited in: Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Resampling-Optimierung nach Michaud: stabilere Portfoliogewichte durch Simulation

Marks (2011) · The Most Important Thing: Uncommon Sense for the Thoughtful Investor

Marks, Howard. Columbia University Press.

The co-founder of Oaktree Capital on risk, market cycles, contrarian behaviour and thinking one level deeper than the market.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Glossary: Contrarian investing

Marshall et al. (2006) · Candlestick technical trading strategies: Can they create value for investors?

Marshall, Ben R.; Young, Martin R.; Rose, Lawrence C.. Journal of Banking & Finance 30 (8), pp. 2303–2323. doi:10.1016/j.jbankfin.2005.08.001

Tests candlestick strategies on Dow Jones Industrial Average stocks with a bootstrap of open, high, low and close prices.

Cited in: Technical analysis, chart patterns and candlesticks from a quant perspective · Glossary: Candlestick chart

Martellini and Milhau (2012) · Dynamic allocation decisions in the presence of funding ratio constraints

Martellini, Lionel; Milhau, Vincent. Journal of Pension Economics and Finance 11 (4), pp. 549–580. doi:10.1017/s1474747212000194

With floors on the funding ratio, dynamic strategies reminiscent of portfolio insurance are optimal; a cap on the funding ratio makes protection against shortfalls cheaper.

Cited in: Liability Driven Investing und Cashflow Driven Investing: Verbindlichkeiten mit Anleihen decken

Martin and Puthenpurackal (2005) · Imitation is the Sincerest Form of Flattery: Warren Buffett and Berkshire Hathaway

Martin, Gerald S.; Puthenpurackal, John. SSRN Working Paper Nr. 806246. doi:10.2139/ssrn.806246

A portfolio that buys Berkshire Hathaway's reported stock purchases only after they have been disclosed earned clearly positive excess returns over the S&P 500 from 1976 to 2006.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Glossary: Copycat strategy

Martin and McCann (1989) · The Investor's Guide to Fidelity Funds

Martin, Peter G.; McCann, Byron B.. Wiley.

Introduces the Ulcer Index, which combines the depth and duration of declines from the previous peak.

Cited in: Maximum drawdown: the largest loss from a peak · Risk metrics beyond the Sharpe ratio: Treynor, Calmar, Omega, Ulcer Index and more · Glossary: Ulcer index · Glossary: Martin ratio

Masters (2003) · Rebalancing

Masters, Seth J.. The Journal of Portfolio Management 29 (3), pp. 52–57. doi:10.3905/jpm.2003.319883

Framework for setting rebalancing tolerance bands based on costs and tracking error.

Cited in: Rebalancing: getting your portfolio back on course · Strategic and tactical asset allocation and the total portfolio approach · Backtest methodology: data, process, rebalancing and costs

Art Basel and UBS (2026) · The Art Basel and UBS Global Art Market Report 2026

McAndrew, Clare. Art Basel und UBS (Arts Economics); Zusammenfassung auf artbasel.com, abgerufen am 25.10.2026. Source

Global art market in 2025: sales of $59.6 billion (+4%), of which dealers accounted for $34.8 billion and public auctions for $20.7 billion; about 41.5 million transactions.

Cited in: Collectibles as an investment: what art, wine, watches and classic cars really return

McConnell and Xu (2008) · Equity Returns at the Turn of the Month

McConnell, John J.; Xu, Wei. Financial Analysts Journal 64 (2), pp. 49–64. doi:10.2469/faj.v64.n2.11

From 1926 to 2005, US investors on average received a premium for market risk only at the turn of the month; the effect appears in 31 of 35 countries.

Cited in: Stock market seasonality: Sell in May, the January effect and how to test calendar effects · Glossary: Turn-of-the-month effect

McDonald (2001) · Cross-Border Investing with Tax Arbitrage: The Case of German Dividend Tax Credits

McDonald, Robert L.. Review of Financial Studies 14 (3), pp. 617–657. doi:10.1093/rfs/14.3.617

Germany's former dividend tax credit was worth a lot to residents but nothing to foreigners; ex-day prices and derivative prices reveal cross-border tax arbitrage.

Cited in: Cum-ex and cum-cum: how the dividend trades worked and what applies today

McLean and Pontiff (2016) · Does Academic Research Destroy Stock Return Predictability?

McLean, R. David; Pontiff, Jeffrey. The Journal of Finance 71 (1), pp. 5–32. doi:10.1111/jofi.12365

Across 97 published return predictors, returns fall by 26% out of sample and by 58% after publication, partly because of data mining and partly because of arbitrage.

Cited in: How to backtest an ETF portfolio: a guide to portfolio backtesting · Alternative data: job ads, Reddit, X, satellites and card payments · Factor investing: understanding the Fama-French factors · The efficient market hypothesis: why it is so hard to beat the market · Backtest overfitting: when the past looks too good · Glossary: Alpha decay · Glossary: Anomaly · Glossary: Data snooping

Mehra and Prescott (1985) · The equity premium: A puzzle

Mehra, Rajnish; Prescott, Edward C.. Journal of Monetary Economics 15 (2), pp. 145–161. doi:10.1016/0304-3932(85)90061-3

The equity premium puzzle: with standard preferences, the historical premium of about 6% is far too high.

Cited in: Equity risk premium: how much more equities return and why it is a puzzle · Glossary: Equity risk premium · Glossary: Equity premium puzzle

Mei and Moses (2002) · Art as an Investment and the Underperformance of Masterpieces

Mei, Jianping; Moses, Michael. American Economic Review 92 (5), pp. 1656–1668. doi:10.1257/000282802762024719

Repeat-sales index for art 1875–2000 from New York auctions: art beat fixed-income investments but lagged well behind US equities, and expensive masterpieces did worse than the index.

Cited in: Collectibles as an investment: what art, wine, watches and classic cars really return · Glossary: Repeat-sales index

Meli and Todorova (2026) · Portfolio Trading and Corporate Bond ETFs

Meli, Jeffrey; Todorova, Zornitsa. Financial Management. doi:10.1111/fima.70044

Portfolio trading (a basket of bonds traded as a single risk unit with a market maker) is closely linked to bond ETFs, which help dealers to price, hedge and unwind the risk.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing

Mellor (2022) · Does synthetic replication offer an advantage?

Mellor, Chris. Invesco, ohne Datum (Daten Stand 31.10.2022); abgerufen am 25.10.2026. Source

One provider's swap ETFs: a basket owned by the fund, up to six swap counterparties, swap resets, variable swap fees and no US withholding tax on swaps on broad indices.

Cited in: Basket Swaps, Total Return Swaps oder Futures: Markt-Exposure effizient aufbauen · Index-Replikation: vollständige Replikation, optimiertes Sampling und Swap · Glossary: Dividend equivalent

Menchero (2004) · Multiperiod Arithmetic Attribution

Menchero, Jose. Financial Analysts Journal 60 (4), pp. 76–91. doi:10.2469/faj.v60.n4.2638

Sets out requirements for linking arithmetic attribution effects over several periods and uses them to compare common methods.

Cited in: Multi-Asset-Attribution: Gewichtungsschemata, Top-down und Bottom-up, Währungen und Overlays · Performance-Attribution: Brinson-Zerlegung, Faktoren und Verkettung über die Zeit · Risk & attribution: methodology of risk decomposition and Brinson attribution · Glossary: Linking of attribution effects

Menchero (2005) · Optimized Geometric Attribution

Menchero, Jose. Financial Analysts Journal 61 (4), pp. 60–69. doi:10.2469/faj.v61.n4.2743

Geometric attribution in two steps: first pure geometric effects, then the smallest possible adjustment so that they add up without a residual.

Cited in: Multi-Asset-Attribution: Gewichtungsschemata, Top-down und Bottom-up, Währungen und Overlays · Glossary: Geometric attribution

Menchero and Davis (2011) · Risk Contribution Is Exposure Times Volatility Times Correlation: Decomposing Risk Using the X-Sigma-Rho Formula

Menchero, Jose; Davis, Ben. The Journal of Portfolio Management 37 (2), pp. 97–106. doi:10.3905/jpm.2011.37.2.097

Decomposes the risk contribution of each return source into exposure times volatility times correlation with the portfolio, which generalises the marginal contribution.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget · Risk & attribution: methodology of risk decomposition and Brinson attribution

Menchero (2000) · An Optimized Approach to Linking Attribution Effects Over Time

Menchero, Jose G.. The Journal of Performance Measurement 5 (1), pp. 36–42. Source

Links attribution effects with a factor that is the same for all periods plus the smallest possible correction per period (cited in US patent 7,249,082 as the Fall 2000 issue, pp. 36–42).

Cited in: Multi-Asset-Attribution: Gewichtungsschemata, Top-down und Bottom-up, Währungen und Overlays

Menkhoff et al. (2012) · Carry Trades and Global Foreign Exchange Volatility

Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; Schrimpf, Andreas. The Journal of Finance 67 (2), pp. 681–718. doi:10.1111/j.1540-6261.2012.01728.x

High-interest currencies deliver low returns when global FX volatility rises unexpectedly, while low-interest currencies then provide a hedge; volatility risk explains more than liquidity risk.

Cited in: Carry trade: earning interest with currencies and bonds · Carry backtest: methodology for FX and bond carry · Glossary: Funding currency

Mercer (2026) · Das Zweite Betriebsrentenstärkungsgesetz tritt in Kraft (Hagemanns Bilanzen)

Mercer Deutschland. Mercer Deutschland; abgerufen am 26.10.2026. Source

The Second Occupational Pension Strengthening Act (Zweites Betriebsrentenstärkungsgesetz) was promulgated on 21 January 2026; support for low earners will be expanded from 2027, and opting-out models will become possible even without a collective agreement.

Cited in: Retirement saving in Germany compared: company pension, Rürup, Altersvorsorgedepot and ETF pension insurance versus an ETF savings plan

Merton (1969) · Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

Merton, Robert C.. The Review of Economics and Statistics 51 (3). doi:10.2307/1926560

Optimal allocation between equities and a riskless asset over the life cycle in continuous time (Merton ratio).

Cited in: Equity allocation by age: rules of thumb, glide paths and what theory says · Leverage in a portfolio: return, risk, costs and margin calls · Kelly-Kriterium: Wie viel setzen für maximales Wachstum? · Glossary: Merton share

Merton (1972) · An Analytic Derivation of the Efficient Portfolio Frontier

Merton, Robert C.. The Journal of Financial and Quantitative Analysis 7 (4). doi:10.2307/2329621

Derives the efficient frontier analytically and shows that it is a hyperbola in return-volatility space.

Cited in: Efficient frontier: Markowitz portfolio optimisation

Merton (1973) · Theory of Rational Option Pricing

Merton, Robert C.. The Bell Journal of Economics and Management Science 4 (1). doi:10.2307/3003143

Arbitrage bounds for option prices, Black-Scholes with dividends, no early exercise of American calls without dividends, and a formula for down-and-out options.

Cited in: Warrants, turbos and certificates: what they are and what you pay on top · Optionsbewertung: wie faire Optionspreise entstehen · Option pricer: how Portfolio Lab values options · Glossary: Black-Scholes model · Glossary: American option · Glossary: Barrier option

Merton (1987) · A Simple Model of Capital Market Equilibrium with Incomplete Information

Merton, Robert C.. The Journal of Finance 42 (3), pp. 483–510. doi:10.1111/j.1540-6261.1987.tb04565.x

Equilibrium model in which investors know only some of the stocks; less-followed stocks must offer higher returns (investor recognition).

Cited in: Index-Effekt: Was bei Aufnahmen in einen Index und Streichungen mit den Kursen passiert

Metrick and Yasuda (2010) · The Economics of Private Equity Funds

Metrick, Andrew; Yasuda, Ayako. Review of Financial Studies 23 (6), pp. 2303–2341. doi:10.1093/rfs/hhq020

Model of private equity managers' revenue based on 238 fund contracts: about two thirds comes from fixed fees that do not depend on performance.

Cited in: ELTIFs: private markets for private investors under the ELTIF 2.0 rules · Private equity explained: strategies, fund structure, fees and what research shows about returns · Venture capital: funding rounds, valuation, the power law and what research knows about returns · Glossary: Carried interest

Meucci (2005) · Risk and Asset Allocation

Meucci, Attilio. Springer.

Textbook on risk and asset allocation with Bayesian methods, estimation error and scenarios.

Cited in: Risikobeitrag: das Portfoliorisiko in seine Teile zerlegen

Meucci (2009) · Managing Diversification

Meucci, Attilio. Risk 22, pp. 74–79. Source

Measures diversification as the effective number of uncorrelated bets: the exponential of the entropy of the variance shares that the principal component portfolios contribute to portfolio risk.

Cited in: Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Dimensions methodology: how Portfolio Lab counts independent risks · Glossary: Effective number of bets

Meucci et al. (2013) · Risk Budgeting and Diversification Based on Optimized Uncorrelated Factors

Meucci, Attilio; Santangelo, Alberto; Deguest, Romain. SSRN Working Paper 2276632. doi:10.2139/ssrn.2276632

Minimum torsion bets: uncorrelated factors that stay as close as possible to the portfolio's building blocks, yielding risk contributions and the effective number of minimum torsion bets, with case studies on S&P 500 stocks and the five Fama-French factors.

Cited in: Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Dimensions methodology: how Portfolio Lab counts independent risks · Glossary: Minimum-torsion bets

Meulbroek (2005) · Company Stock in Pension Plans: How Costly Is It?

Meulbroek, Lisa. The Journal of Law and Economics 48 (2), pp. 443–474. doi:10.1086/430807

Anyone holding a quarter of their wealth in employer stock sacrifices 42% of its market value because of the lack of diversification.

Cited in: Your whole wealth: total wealth from portfolio, home, human capital and car · Glossary: Employer stock

Meyer-Bullerdiek (2022) · Selected Methods of optimized Sampling for Index Tracking – Evidence from German Stocks

Meyer-Bullerdiek, Frieder. Journal of Applied Finance & Banking, pp. 151–173. doi:10.47260/jafb/1268

Compares four optimisation methods for portfolios of ten DAX stocks; out of sample, simple equal weighting performed best.

Cited in: Index-Replikation: vollständige Replikation, optimiertes Sampling und Swap

Michaely et al. (1995) · Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?

Michaely, Roni; Thaler, Richard H.; Womack, Kent L.. The Journal of Finance 50 (2), pp. 573–608. doi:10.1111/j.1540-6261.1995.tb04796.x

Prices react more strongly to dividend omissions than to initiations and then keep drifting in the same direction for a year.

Cited in: Dividend strategies and dividend ETFs under scrutiny: irrelevance, taxes, factors

Michaud and Michaud (1999) · Portfolio optimization by means of resampled efficient frontiers, US-Patent 6,003,018

Michaud, Richard O.; Michaud, Robert. United States Patent and Trademark Office, erteilt am 14.12.1999; abgerufen am 25.10.2026. Source

Patent on the method: many simulated inputs, one efficient frontier for each, and averaging of portfolios of the same rank into the resampled efficient frontier.

Cited in: Resampling-Optimierung nach Michaud: stabilere Portfoliogewichte durch Simulation

Michaud and Michaud (2008) · Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation

Michaud, Richard O.; Michaud, Robert O.. Oxford University Press, 2nd edition (1st edition Harvard Business School Press 1998).

Textbook on portfolio optimisation under estimation error using the authors' resampling method.

Cited in: Resampling-Optimierung nach Michaud: stabilere Portfoliogewichte durch Simulation · Optimisation methodology: estimation, objectives, Black-Litterman, resampling and walk-forward

Milevsky and Robinson (2000) · Self-Annuitization and Ruin in Retirement

Milevsky, Moshe Arye; Robinson, Chris. North American Actuarial Journal 4 (4), pp. 112–124. doi:10.1080/10920277.2000.10595940

Formula for the probability of ruin with withdrawals in retirement, using a lognormal approximation.

Cited in: Safe withdrawal rate: how good is the 4% rule? · FIRE (Financial Independence, Retire Early): Lean, Fat, Coast and Barista FIRE · Monte Carlo simulation: how safe is your plan? · Sequence risk: when the order of returns decides your retirement · Financial goals methodology: how Portfolio Lab simulates a life plan · Glossary: Probability of ruin

Miller and Modigliani (1961) · Dividend Policy, Growth, and the Valuation of Shares

Miller, Merton H.; Modigliani, Franco. The Journal of Business 34 (4). doi:10.1086/294442

Dividend irrelevance: in a perfect capital market, a company's value does not depend on whether it pays out or retains its earnings.

Cited in: Accumulating or distributing: which ETF suits you better? · Dividend strategies and dividend ETFs under scrutiny: irrelevance, taxes, factors · Glossary: Homemade dividend

Mitchell and Pulvino (2012) · Arbitrage crashes and the speed of capital

Mitchell, Mark; Pulvino, Todd. Journal of Financial Economics 104 (3), pp. 469–490. doi:10.1016/j.jfineco.2011.09.002

In 2008, the threatened failure of prime brokers abruptly cut hedge fund leverage, and arbitrageurs could no longer keep identical securities trading at identical prices.

Cited in: Basis trades: positive and negative basis in bonds, CDS and futures

Mitchell and Stafford (2000) · Managerial Decisions and Long-Term Stock Price Performance

Mitchell, Mark L.; Stafford, Erik. The Journal of Business 73 (3), pp. 287–329. doi:10.1086/209645

For acquisitions, equity issues and buybacks, the authors find little reliable long-term abnormal return; cross-sectional dependence inflates the test statistics.

Cited in: Event-Studien: Wie man Kursreaktionen auf Ereignisse misst und testet

Modigliani and Modigliani (1997) · Risk-Adjusted Performance

Modigliani, Franco; Modigliani, Leah. The Journal of Portfolio Management 23 (2), pp. 45–54. doi:10.3905/jpm.23.2.45

Introduces M²: a portfolio's return rescaled to the volatility of the benchmark index.

Cited in: Sharpe ratio: return per unit of risk · Risk metrics beyond the Sharpe ratio: Treynor, Calmar, Omega, Ulcer Index and more · Metrics methodology: how Portfolio Lab measures return and risk

Monin (2019) · The OFR Financial Stress Index

Monin, Phillip J.. Risks 7 (1), pp. 25. doi:10.3390/risks7010025

Construction and interpretation of the Office of Financial Research's daily stress index; rising stress precedes a decline in economic activity.

Cited in: Sentiment: methodology for the fear and greed index, put/call ratio and COT · Glossary: Financial stress index

Montfort et al. (2008) · Index Tracking by Means of Optimized Sampling

Montfort, Kees van; Visser, Elout; van Draat, Laurens Fijn. The Journal of Portfolio Management 34 (2), pp. 143–152. doi:10.3905/jpm.2008.701625

Model for optimised sampling with a limited number of securities and low transaction costs; in a test on the MSCI Europe, the portfolio behaved much like the index.

Cited in: Index-Replikation: vollständige Replikation, optimiertes Sampling und Swap

Moody's (2020) · Default and recovery rates for project finance bank loans, 1983-2018: Sustainable project finance bank loans

Moody's Investors Service. Moody's Investors Service, Default research, 17.8.2020 (Ergänzung zur Studie vom März 2020); abgerufen am 25.10.2026. Source

Default and recovery rates of project finance bank loans since 1983: cumulative ten-year default rate of 5.5% (Basel definition, March 2020 study) and an average ultimate recovery rate of 77.9%.

Cited in: Infrastructure investing: equity and debt, revenue models, valuation and research · Glossary: Brownfield and greenfield · Glossary: Availability payment · Glossary: Project finance · Glossary: Recovery rate

Mora (2014) · Creditor Recovery: The Macroeconomic Dependence of Industry Equilibrium

Mora, Nada. Federal Reserve Bank of Kansas City, Research Working Paper 13-06, Fassung Dezember 2014 (später im Journal of Financial Stability 18, 2015); abgerufen am 25.10.2026. Source

Recovery rates on defaulted debt by seniority from Moody's data for 1970–2008 (price about one month after default) and their dependence on the business cycle and industry conditions.

Cited in: Distressed debt: strategies, insolvency law, recovery rates and returns when investing in crises

Moreira and Muir (2017) · Volatility-Managed Portfolios

Moreira, Alan; Muir, Tyler. The Journal of Finance 72 (4), pp. 1611–1644. doi:10.1111/jofi.12513

Volatility-managed portfolios (fewer equities when volatility is high) improve the Sharpe ratio of many factors.

Cited in: Carry trade: earning interest with currencies and bonds · Tactical allocation: momentum, dual momentum and trend following · Momentum-Crashes: warum Momentum selten, aber heftig einbricht und was Volatilitätssteuerung und Crowding-Maße zeigen · Trendfolge: dem eigenen Trend jeder Anlage folgen · Tactical allocation methodology: how the eleven tactical models work

Mosk et al. (2022) · Cross-asset correlations in a more inflationary environment and challenges for diversification strategies (Kasten im Financial Stability Review, November 2022)

Mosk, Benjamin; Pangallo, Lorenzo; Zema, Sebastiano Michele. Europäische Zentralbank, 16.11.2022; abgerufen am 26.10.2026. Source

The stock-bond correlation was mostly positive from the late 1960s to the late 1990s and negative in the 2000s, and has recently risen in the euro area and the US; it is lowest when inflation is close to 2%, and a higher correlation can initially lead to portfolio risk being underestimated.

Cited in: Stock-bond correlation: regimes, drivers and what it means for 60/40, risk parity and hedging

Mossin (1966) · Equilibrium in a Capital Asset Market

Mossin, Jan. Econometrica 34 (4). doi:10.2307/1910098

The third independent derivation of the CAPM, as the equilibrium of a capital market with many investors.

Cited in: CAPM: the capital asset pricing model and the security market line · Glossary: CAPM

Mouakhar and Roberge (2009) · The Optimal Approach to Futures Contract Roll in Commodity Portfolios

Mouakhar, Tammam; Roberge, Mathieu. The Journal of Alternative Investments 12 (3), pp. 51–60. doi:10.3905/jai.2010.12.3.051

Most index providers roll inefficiently into the nearest contract; an optimised roll approach based on the shape of the futures curve can improve performance.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities · Glossary: Optimised roll

Moussawi et al. (2025) · The Role of Taxes in the Rise of ETFs

Moussawi, Rabih; Shen, Ke; Velthuis, Raisa. The Review of Financial Studies 38 (10), pp. 2988–3039. doi:10.1093/rfs/hhaf044

In-kind redemptions and heartbeat trades spare US ETFs from distributing capital gains, and this tax efficiency drives wealthy investors to switch from mutual funds to ETFs.

Cited in: Active ETFs: how they work and what they deliver · Glossary: Heartbeat trade

Mowat (2026) · Understanding and using Climate TRACE ownership data for emitting assets

Mowat, Anna. Climate TRACE, 20.04.2026; abgerufen am 25.10.2026. Source

Explains the ownership chains of each asset from the direct owner to the ultimate parent company: stakes above 5%, with complete chains for assets accounting for 32% of global emissions.

Cited in: ESG methodology: sustainability in the look-through

MSCI Hedged Methodology (2020) · MSCI Hedged, MSCI Daily Hedged, MSCI Adaptive Hedged Indexes Methodology

MSCI Inc.. MSCI, August 2020; abgerufen am 25.10.2026. Source

Spot rates are the WM/Reuters closing rates (mid of bid and ask) at 16:00 UK time, and forward rates are likewise taken at 16:00.

Cited in: Index providers and valuation points: why the same index is calculated differently · Glossary: FX fixing

MSCI (2020) · MSCI Multi-Asset Class (MAC) Performance Attribution Model – Factsheet

MSCI Inc.. MSCI, Factsheet (Copyright 2020); abgerufen am 25.10.2026. Source

Attribution models in BarraOne: factor-based across equity, bond and commodity factors consistent with the risk model, Brinson-Fachler for top-down allocation, asset selection for bottom-up selection, currencies, bonds and multiple portfolio levels.

Cited in: Multi-Asset-Attribution: Gewichtungsschemata, Top-down und Bottom-up, Währungen und Overlays

MSCI Equal Weighted Methodology (2021) · MSCI Equal Weighted Indexes Methodology

MSCI Inc.. MSCI, Mai 2021; abgerufen am 26.10.2026. Source

Equal weighting is applied per issuer; rebalancing takes place quarterly on the last business day of February, May, August and November, and in between the weights drift with prices.

Cited in: Equal weight vs cap weight: weighting, rebalancing and factor tilts

MSCI Corporate Events Methodology (2022) · MSCI Corporate Events Methodology

MSCI Inc.. MSCI, November 2022; abgerufen am 25.10.2026. Source

How MSCI treats corporate actions: optional dividends according to the default option, takeover offers, spin-offs and price adjustment factors on the ex-date.

Cited in: Smart Indexing: Mehrwert für Indexfonds rund um Corporate Actions und Indexänderungen · Glossary: Scrip dividend

MSCI GIMI Methodology (2024) · MSCI Global Investable Market Indexes Methodology

MSCI Inc.. MSCI, November 2024; abgerufen am 25.10.2026. Source

Rules for the Standard and IMI indices: coverage of 85% ± 5% or about 99% of free-float market capitalisation, buffer zones, minimum free float and quarterly reviews.

Cited in: MSCI World vs ACWI vs FTSE All-World: structure, concentration and combinations · Index providers and valuation points: why the same index is calculated differently · Index-Effekt: Was bei Aufnahmen in einen Index und Streichungen mit den Kursen passiert · Glossary: Investable Market Index (IMI) · Glossary: Buffer zone

MSCI Calculation Methodology (2025) · Index Calculation Methodology for the MSCI Equity Indexes

MSCI Inc.. MSCI, Februar 2025; abgerufen am 25.10.2026. Source

Calculation of price, net and gross return indices; net return applies the highest withholding tax rate for non-resident institutional investors without a tax treaty, with reinvestment on the ex-date.

Cited in: Index providers and valuation points: why the same index is calculated differently · Glossary: Gross return index

MSCI ACWI IMI Factsheet (2026) · MSCI ACWI IMI Index (USD), Factsheet, Stand 30. September 2026

MSCI Inc.. MSCI; abgerufen am 26.10.2026. Source

8,036 large, mid and small cap constituents from developed and emerging markets; US 62.99%, the ten largest constituents 22.73%, information technology 31.32%.

Cited in: MSCI World vs ACWI vs FTSE All-World: structure, concentration and combinations · Glossary: Investable Market Index (IMI)

MSCI World Equal Weighted Factsheet (2026) · MSCI World Equal Weighted Index (USD), Factsheet, Stand 30. September 2026

MSCI Inc.. MSCI; abgerufen am 26.10.2026. Source

The same 1,249 constituents as the MSCI World, equally weighted at each quarterly rebalancing date; US 40.61%, information technology 11.38%, turnover over the last twelve months 32.08% versus 3.18% for the MSCI World.

Cited in: MSCI World vs ACWI vs FTSE All-World: structure, concentration and combinations · Equal weight vs cap weight: weighting, rebalancing and factor tilts

MSCI World High Dividend Yield Factsheet (2026) · MSCI World High Dividend Yield Index (USD), Factsheet, Stand 30. September 2026

MSCI Inc.. MSCI; abgerufen am 26.10.2026. Source

367 constituents of the MSCI World with an above-average dividend yield that appears sustainable; dividend yield 3.19% versus 1.52%, health care 22.41%, information technology 5.29%.

Cited in: Dividend strategies and dividend ETFs under scrutiny: irrelevance, taxes, factors

MSCI ACWI Factsheet (2026) · MSCI ACWI Index (GBP), Factsheet, Stand 30. September 2026

MSCI Inc.. MSCI. Source

2,414 companies from 23 developed and 24 emerging markets, covering about 85% of the investable equity market; US 64.21%.

Cited in: Home bias: the preference for your home market and what it costs · MSCI World vs ACWI vs FTSE All-World: structure, concentration and combinations · World portfolio: the whole world in one or two ETFs

MSCI EM Factsheet (2026) · MSCI Emerging Markets Index (USD), Factsheet, Stand 30. September 2026

MSCI Inc.. MSCI. Source

1,165 companies from 24 emerging markets; Taiwan 28.94%, South Korea 21.4%, China 19.8%, India 10.65%.

Cited in: World portfolio: the whole world in one or two ETFs · Index providers and valuation points: why the same index is calculated differently

MSCI Index Review (2026) · MSCI Equity Indexes August 2026 Index Review

MSCI Inc.. MSCI, Mitteilung vom 12.8.2026; abgerufen am 25.10.2026. Source

Results of the August 2026 review, implemented as of the close of trading on 31 August 2026.

Cited in: Index providers and valuation points: why the same index is calculated differently · Index-Effekt: Was bei Aufnahmen in einen Index und Streichungen mit den Kursen passiert · Smart Indexing: Mehrwert für Indexfonds rund um Corporate Actions und Indexänderungen

MSCI Market Classification (2026) · MSCI Announces the Results of the MSCI 2026 Market Classification Review

MSCI Inc.. MSCI, Mitteilung vom 23.6.2026; abgerufen am 25.10.2026. Source

Greece becomes a developed market with the May 2027 review; for South Korea, MSCI continues to monitor the measures to improve market access.

Cited in: MSCI World vs ACWI vs FTSE All-World: structure, concentration and combinations · Index providers and valuation points: why the same index is calculated differently · Glossary: Country classification

MSCI World Factsheet (CAD) (2026) · MSCI World Index (CAD), Factsheet, Stand 30. September 2026

MSCI Inc.. MSCI; abgerufen am 25.10.2026. Source

1,249 constituents from 23 developed countries; the largest constituent weighs 5.81%, the ten largest together 27.85%.

Cited in: Index providers and valuation points: why the same index is calculated differently · Index-Replikation: vollständige Replikation, optimiertes Sampling und Swap

Mukherjee et al. (2021) · Eye in the sky: Private satellites and government macro data

Mukherjee, Abhiroop; Panayotov, George; Shon, Janghoon. Journal of Financial Economics 141 (1), pp. 234–254. doi:10.1016/j.jfineco.2021.03.002

Satellite estimates of US crude oil inventories (shadows on floating-roof tanks) take the surprise out of the weekly government report; cloud cover over the tank farms serves as a natural experiment.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Ship tracking data and satellite images: what they reveal about commodities · Glossary: Floating roof tank

Munday et al. (2018) · Performance of Private Credit Funds: A First Look

Munday, Shawn; Hu, Wendy; True, Tobias; Zhang, Jian. The Journal of Alternative Investments 21 (2), pp. 31–51. doi:10.3905/jai.2018.21.2.031

The first broad analysis of 476 private credit funds: returns compared with leveraged loans, high yield and BDCs, with direct lending showing a low beta.

Cited in: Private credit and public credit compared: returns, risks and what the research shows · Private Debt in der Praxis: Direct Lending, Unitranche, Mezzanine, Kreditstruktur und Fondsvehikel

Murphy (1999) · Technical Analysis of the Financial Markets: A Comprehensive Guide to Trading Methods and Applications

Murphy, John J.. New York Institute of Finance.

A widely used textbook on technical analysis: trends, support and resistance, chart patterns, moving averages, oscillators.

Cited in: Technical analysis, chart patterns and candlesticks from a quant perspective

Mynbayeva et al. (2022) · Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it

Mynbayeva, Elmira; Lamb, John D.; Zhao, Yuan. European Journal of Operational Research 301 (2), pp. 694–707. doi:10.1016/j.ejor.2021.11.036

Examines why estimation error alone makes Markowitz portfolio selection fail and what might help against it.

Cited in: Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation

N

Nareit (2023) · REIT Industry Fact Sheet, Data as of December 31, 2022

Nareit. Nareit, Januar 2023; abgerufen am 25.10.2026. Source

Total returns of the FTSE Nareit All Equity REITs Index in 2022: −24.95% (S&P 500 −18.11%), in US dollars.

Cited in: Real estate as an investment: rental flat, REITs, open-ended funds and private real estate

Nasdaq (2019) · Nasdaq Closing Cross – Frequently Asked Questions

Nasdaq. Nasdaq, © 2019; abgerufen am 25.10.2026. Source

Nasdaq's closing auction is called the Closing Cross; at 16:00 it determines the official closing price, which serves as the benchmark for index funds, with deadlines for MOC, LOC and imbalance-only orders.

Cited in: Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC

NBER (2026) · US Business Cycle Expansions and Contractions

National Bureau of Economic Research. NBER, Business Cycle Dating Committee; Daten zuletzt geändert am 14.3.2023, abgerufen am 27.10.2026. Source

Official dating of US business cycles by peaks and troughs; last peak February 2020, last trough April 2020, no new peak since.

Cited in: Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Macro dashboard and regime analysis: methodology

NCREIF (2024) · Institutional Property Values Decline for Sixth Straight Quarter (NCREIF Property Index, 4. Quartal 2023)

National Council of Real Estate Investment Fiduciaries. NCREIF, Pressemitteilung vom 25.1.2024; abgerufen am 25.10.2026. Source

Appraisal-based index of US commercial property held by institutional investors: market values have fallen 14.39% since the peak in the second quarter of 2022, the 2023 return was −7.95%, and the capitalisation rate was 4.55% in appraisals and 5.47% for properties sold.

Cited in: Real estate as an investment: rental flat, REITs, open-ended funds and private real estate

NFA (2026) · Commodity Trading Advisor (CTA) Registration; Who Has to Register

National Futures Association. NFA, Internetseiten; abgerufen am 25.10.2026. Source

Definition of a commodity trading advisor, the registration requirement (delegated by the CFTC to the NFA) and NFA membership, with exemptions such as for advisers with no more than 15 clients in twelve months.

Cited in: CTAs and managed futures: industry, position sizing, costs and crisis protection · Glossary: CTA

Neely et al. (2014) · Forecasting the Equity Risk Premium: The Role of Technical Indicators

Neely, Christopher J.; Rapach, David E.; Tu, Jun; Zhou, Guofu. Management Science 60 (7), pp. 1772–1791. doi:10.1287/mnsc.2013.1838

Technical indicators predict the US equity premium about as well as macroeconomic variables and complement them over the business cycle.

Cited in: Technical analysis, chart patterns and candlesticks from a quant perspective

Nelson and Siegel (1987) · Parsimonious Modeling of Yield Curves

Nelson, Charles R.; Siegel, Andrew F.. The Journal of Business 60 (4). doi:10.1086/296409

Models the yield curve with a few parameters (level, slope, curvature) and forms the basis of many central bank curves.

Cited in: Duration: how strongly bonds react to interest rates · Yield curve: what the term structure reveals and why an inverted curve is seen as a warning sign · Glossary: Nelson-Siegel model

Neville et al. (2021) · The Best Strategies for Inflationary Times

Neville, Henry; Draaisma, Teun; Funnell, Ben; Harvey, Campbell R.; Van Hemert, Otto. The Journal of Portfolio Management 47 (8), pp. 8–37. doi:10.3905/jpm.2021.1.274

US, UK and Japan over 95 years: unexpected inflation hurts equities and bonds, commodities delivered positive returns in inflation surges but with large differences, and trend following provided the most reliable protection.

Cited in: Liquid real assets: inflation protection with tradable real assets in a portfolio · Glossary: Liquid real assets

NYSE (2024) · NYSE Auctions: Closing Process (Fact Sheet)

New York Stock Exchange. Intercontinental Exchange, © 2024; abgerufen am 25.10.2026. Source

How the NYSE closing auction works: MOC and LOC orders can be entered, modified or cancelled until 15:50, after which orders are only accepted against a published imbalance; imbalance publications from 15:50, close at 16:00.

Cited in: Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC · Glossary: Market-on-close order

Newey and West (1987) · A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Newey, Whitney K.; West, Kenneth D.. Econometrica 55 (3). doi:10.2307/1913610

A covariance estimator that accounts for autocorrelation and heteroskedasticity; it is the standard for t-statistics of overlapping returns.

Cited in: Factor investing: understanding the Fama-French factors · Shiller P/E (CAPE): how expensive is the stock market? · Stock market seasonality: Sell in May, the January effect and how to test calendar effects · Prognosemodelle für Renditen: ARIMA, GARCH, LSTM und Machine Learning · Factor regression, factor allocation and factor statistics: methodology · Valuation with the Shiller P/E: methodology · Glossary: Heteroskedasticity · Glossary: Newey-West standard errors

NBIM (2024) · About the fund (Government Pension Fund Global)

Norges Bank Investment Management. Norges Bank Investment Management, Stand 10.9.2024; abgerufen am 25.10.2026. Source

The Norwegian sovereign wealth fund is funded by oil and gas revenues (first deposit in 1996); under the fiscal rule, the state may spend roughly the expected real return of about 3% a year.

Cited in: Germany's new equity pension (Aktienrente): Frühstart-Rente, Generationenkapital, Altersvorsorgedepot

Notteboom et al. (2026) · Tanker Sizes and Classes

Notteboom, Theo; Pallis, Athanasios; Rodrigue, Jean-Paul. Port Economics, Management and Policy, 2. Auflage, Routledge 2026 (Begleitseite zum Buch). Source

Overview of tanker classes from Aframax through Suezmax to VLCC and ULCC, with deadweight tonnage and typical dimensions.

Cited in: Glossary: VLCC · Glossary: Suezmax · Glossary: Aframax

Novy-Marx (2013) · The other side of value: The gross profitability premium

Novy-Marx, Robert. Journal of Financial Economics 108 (1), pp. 1–28. doi:10.1016/j.jfineco.2013.01.003

Gross profitability predicts returns about as well as valuation does; it is the other side of value.

Cited in: Factor investing: understanding the Fama-French factors · Fundamental analysis: valuing a company like an investor · Glossary: RMW · Glossary: Profitability premium

Nystrup et al. (2015) · Regime-Based Versus Static Asset Allocation: Letting the Data Speak

Nystrup, Peter; Hansen, Bo William; Madsen, Henrik; Lindström, Erik. The Journal of Portfolio Management 42 (1), pp. 103–109. doi:10.3905/jpm.2015.42.1.103

A regime-switching model with time-varying parameters for global equities and global government bonds: a static portfolio is not necessarily optimal, even without any forecasting ability.

Cited in: Regime-Modelle: Hidden Markov, Markov-Switching und Co.

Nystrup, Madsen and Lindström (2015) · Stylised facts of financial time series and hidden Markov models in continuous time

Nystrup, Peter; Madsen, Henrik; Lindström, Erik. Quantitative Finance 15 (9), pp. 1531–1541. doi:10.1080/14697688.2015.1004801

Continuous-time hidden Markov models whose number of parameters grows only linearly with the number of states; more states fit the distribution and the temporal behaviour of daily returns better.

Cited in: Regime methodology: how the hidden Markov model works

Nystrup et al. (2017) · Long Memory of Financial Time Series and Hidden Markov Models with Time-Varying Parameters

Nystrup, Peter; Madsen, Henrik; Lindström, Erik. Journal of Forecasting 36 (8), pp. 989–1002. doi:10.1002/for.2447

Adaptive estimation with time-varying parameters: in this way just two states reproduce the long memory of squared daily returns, and density forecasts improve.

Cited in: Regime methodology: how the hidden Markov model works

Nystrup et al. (2018) · Dynamic portfolio optimization across hidden market regimes

Nystrup, Peter; Madsen, Henrik; Lindström, Erik. Quantitative Finance 18 (1), pp. 83–95. doi:10.1080/14697688.2017.1342857

Hidden Markov forecasts of means and variances combined with model predictive control; after costs and with a one-day delay, the approach beats buy-and-hold in major stock indices.

Cited in: Regime-Modelle: Hidden Markov, Markov-Switching und Co. · Regime methodology: how the hidden Markov model works

O

O'Hara and Zhou (2021) · The electronic evolution of corporate bond dealers

O'Hara, Maureen; Zhou, Xing (Alex). Journal of Financial Economics 140 (2), pp. 368–390. doi:10.1016/j.jfineco.2021.01.001

Electronic request-for-quote trading in US corporate bonds is still small and fragmented, but it is changing costs and execution quality even in voice and interdealer trading.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing · Glossary: Request for quote

O'Kane and Sen (2005) · Credit spreads explained

O'Kane, Dominic; Sen, Saurav. The Journal of Credit Risk 1 (2), pp. 61–78. doi:10.21314/jcr.2005.009

Defines and compares the common spread measures for fixed-rate bonds, floating-rate notes and credit default swaps.

Cited in: Bond math: calculating price, yield, duration, convexity and spreads · Glossary: Z-spread

NRW Tax Administration (2026) · Grunderwerbsteuer: Wissenswertes beim Grundstücks- oder Immobilienerwerb

Oberfinanzdirektion Nordrhein-Westfalen. Finanzverwaltung Nordrhein-Westfalen; abgerufen am 26.10.2026. Source

In North Rhine-Westphalia, the real estate transfer tax is 6.5% for acquisitions notarised on or after 1 January 2015.

Cited in: Rent or buy: user cost, purchase costs in 2026 and a 20-year wealth comparison · Glossary: Real estate transfer tax (Grunderwerbsteuer)

Odean (1998) · Are Investors Reluctant to Realize Their Losses?

Odean, Terrance. The Journal of Finance 53 (5), pp. 1775–1798. doi:10.1111/0022-1082.00072

Documents the disposition effect in 10,000 brokerage accounts: investors are more willing to sell winners than losers, and subsequent performance does not justify this.

Cited in: Saving tax on your portfolio: loss offsetting, exemption order, Günstigerprüfung and tax-loss harvesting · Stock picking: why individual stocks are so hard to get right

Ohlson (1995) · Earnings, Book Values, and Dividends in Equity Valuation

Ohlson, James A.. Contemporary Accounting Research 11 (2), pp. 661–687. doi:10.1111/j.1911-3846.1995.tb00461.x

A model of market value based on book value, current and future earnings and dividends under the clean surplus condition; the residual income model is built on it.

Cited in: Fundamental analysis: valuing a company like an investor

Ollech (2021) · Seasonal Adjustment of Daily Time Series

Ollech, Daniel. Journal of Time Series Econometrics 13 (2), pp. 235–264. doi:10.1515/jtse-2020-0028

The Bundesbank's method for seasonal and calendar adjustment of daily data: STL decomposition for the recurring patterns, combined with a RegARIMA model for calendar effects, moving holidays and outliers.

Cited in: Economic pulse: how Portfolio Lab calculates early indicators · Glossary: Seasonal adjustment

Opdyke (2007) · Comparing Sharpe ratios: So where are the p-values?

Opdyke, John Douglas. Journal of Asset Management 8 (5), pp. 308–336. doi:10.1057/palgrave.jam.2250084

Derives the distribution of the estimated Sharpe ratio for skewed and fat-tailed returns as well and builds tests for comparing Sharpe ratios on it.

Cited in: Deflated Sharpe ratio: how much skill is in a Sharpe ratio? · Overfitting check and diversification return: the calculations in Backtest and Tactical · Glossary: Standard error of the Sharpe ratio

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Page and Clemen (2013) · Do Prediction Markets Produce Well-Calibrated Probability Forecasts?

Page, Lionel; Clemen, Robert T.. The Economic Journal 123 (568), pp. 491–513. doi:10.1111/j.1468-0297.2012.02561.x

Close to expiry, prediction markets are fairly well calibrated, but for distant events they are biased in line with the favourite-longshot bias; allowing for the time value of money, exploiting this pays off only at a low discount rate.

Cited in: Prediction markets as bets on events: what they can and cannot do · Glossary: Favourite-longshot bias

Pagliari et al. (2005) · Public Versus Private Real Estate Equities: A More Refined, Long-Term Comparison

Pagliari, Joseph L.; Scherer, Kevin A.; Monopoli, Richard T.. Real Estate Economics 33 (1), pp. 147–187. doi:10.1111/j.1080-8620.2005.00115.x

After adjusting for property mix, leverage and appraisal smoothing, the mean returns and volatilities of REITs and private real estate do not differ statistically; in 1993–2001 the gap was about 60 basis points.

Cited in: Real estate as an investment: rental flat, REITs, open-ended funds and private real estate

Pal and Wong (2016) · The geometry of relative arbitrage

Pal, Soumik; Wong, Ting-Kam Leonard. Mathematics and Financial Economics 10 (3), pp. 263–293. doi:10.1007/s11579-015-0159-z

Under diversity and sufficient volatility, Fernholz's functionally generated portfolios are the only portfolio maps that beat the market portfolio in the long run; a second characterisation is obtained through an optimal transport problem.

Cited in: Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Glossary: Functionally generated portfolio

Pan and Poteshman (2006) · The Information in Option Volume for Future Stock Prices

Pan, Jun; Poteshman, Allen M.. Review of Financial Studies 19 (3), pp. 871–908. doi:10.1093/rfs/hhj024

Stocks with a low put/call ratio in newly opened buy positions outperform those with a high ratio over the next day and the following week.

Cited in: Sentiment: methodology for the fear and greed index, put/call ratio and COT · Glossary: Put/call ratio

Paolo et al. (2024) · Satellite mapping reveals extensive industrial activity at sea

Paolo, Fernando S.; Kroodsma, David; Raynor, Jennifer; Hochberg, Tim; Davis, Pete; Cleary, Jesse et al.. Nature 625 (7993), pp. 85–91. doi:10.1038/s41586-023-06825-8

Combines satellite imagery, vessel tracking and machine learning (2017–2021): a large share of fishing and between a fifth and almost a third of transport and energy shipping is missing from public tracking systems.

Cited in: Ship tracking data and satellite images: what they reveal about commodities · Ships at chokepoints (beta): methodology · Glossary: Shadow fleet

Park and Irwin (2007) · What Do We Know About the Profitability of Technical Analysis?

Park, Cheol-Ho; Irwin, Scott H.. Journal of Economic Surveys 21 (4), pp. 786–826. doi:10.1111/j.1467-6419.2007.00519.x

A survey of early and modern studies on the profitability of technical analysis, including their methodological weaknesses.

Cited in: Technical analysis, chart patterns and candlesticks from a quant perspective

PCAF (2022) · The Global GHG Accounting and Reporting Standard Part A: Financed Emissions. Second Edition

Partnership for Carbon Accounting Financials. PCAF, Dezember 2022; abgerufen am 25.10.2026. Source

Standard for financed emissions: for listed equity and corporate bonds, the amount invested is divided by enterprise value including cash (EVIC) and multiplied by the company's emissions.

Cited in: ESG methodology: sustainability in the look-through

Pástor and Stambaugh (2003) · Liquidity Risk and Expected Stock Returns

Pástor, Ľuboš; Stambaugh, Robert F.. Journal of Political Economy 111 (3), pp. 642–685. doi:10.1086/374184

Market-wide liquidity is a priced risk factor: stocks with high sensitivity to liquidity fluctuations earned 7.5% per year more in 1966–1999, and a liquidity factor explains half of momentum profits.

Cited in: Liquiditätsrisiko: Marktliquidität messen, Liquiditätsprämien und die Werkzeuge offener Fonds · Momentum-Crashes: warum Momentum selten, aber heftig einbricht und was Volatilitätssteuerung und Crowding-Maße zeigen

Pástor et al. (2021) · Sustainable investing in equilibrium

Pástor, Ľuboš; Stambaugh, Robert F.; Taylor, Lucian A.. Journal of Financial Economics 142 (2), pp. 550–571. doi:10.1016/j.jfineco.2020.12.011

Equilibrium model: green assets have lower expected returns but perform better when the taste for sustainability rises unexpectedly.

Cited in: ESG ETFs: SFDR, ratings, returns and the limits of sustainable funds

Pástor et al. (2022) · Dissecting green returns

Pástor, Ľuboš; Stambaugh, Robert F.; Taylor, Lucian A.. Journal of Financial Economics 146 (2), pp. 403–424. doi:10.1016/j.jfineco.2022.07.007

The high returns of green stocks and bonds in recent years reflect unexpectedly heightened climate concerns, not higher expected returns.

Cited in: ESG ETFs: SFDR, ratings, returns and the limits of sustainable funds · Glossary: Greenium

Patel and Welch (2017) · Extended Stock Returns in Response to S&P 500 Index Changes

Patel, Nimesh; Welch, Ivo. The Review of Asset Pricing Studies 7 (2), pp. 172–208. doi:10.1093/rapstu/rax012

Examines longer return windows after S&P 500 changes from 1979 to 2015; since the 2000s the effects have reversed, and permanent shifts in demand no longer occur.

Cited in: Smart Indexing: Mehrwert für Indexfonds rund um Corporate Actions und Indexänderungen

Patell (1976) · Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test

Patell, James M.. Journal of Accounting Research 14 (2), pp. 246–276. doi:10.2307/2490543

Examines 336 published earnings forecasts from 1963 to 1967 using standardised abnormal returns (Patell test).

Cited in: Event-Studien: Wie man Kursreaktionen auf Ereignisse misst und testet

Pawar and Vedantam (2024) · Fixed income ETFs: when market structure affects pricing

Pawar, Varun; Vedantam, Satish. ICE, Februar 2024; abgerufen am 25.10.2026. Source

On days when the US bond market closes early, index prices rolled forward to 16:00 reduce the tracking error relative to bond ETFs whose net asset value is struck at 16:00.

Cited in: Index providers and valuation points: why the same index is calculated differently

Pearson (1901) · On lines and planes of closest fit to systems of points in space

Pearson, Karl. The London, Edinburgh, and Dublin Philosophical Magazine and Journal of Science 2 (11), pp. 559–572. doi:10.1080/14786440109462720

The origin of principal component analysis: lines and planes that best describe a cloud of points.

Cited in: Asset analysis: methodology from correlation to cointegration · Glossary: Eigenvalue

Pedersen et al. (2021) · Responsible investing: The ESG-efficient frontier

Pedersen, Lasse Heje; Fitzgibbons, Shaun; Pomorski, Lukasz. Journal of Financial Economics 142 (2), pp. 572–597. doi:10.1016/j.jfineco.2020.11.001

ESG-efficient frontier: the highest attainable Sharpe ratio for each ESG level; depending on the role of ESG data, ESG lowers or raises the required return.

Cited in: ESG ETFs: SFDR, ratings, returns and the limits of sustainable funds

PLSA (2023) · Cashflow Driven Investment Made Simple

Pensions and Lifetime Savings Association. Pensions and Lifetime Savings Association, London, September 2023; abgerufen am 25.10.2026. Source

The UK pensions association's guide to CDI: buy-and-maintain credit as the core, LDI as the foundation and liquidity reserve, and risks such as default, reinvestment and liquidity.

Cited in: Liability Driven Investing und Cashflow Driven Investing: Verbindlichkeiten mit Anleihen decken · Glossary: Cash flow driven investing · Glossary: Buy and maintain

Pensionsmyndigheten (2025) · The Swedish pension system

Pensionsmyndigheten. Schwedische Pensionsbehörde, aktualisiert am 24.10.2025; abgerufen am 25.10.2026. Source

Each year, 16% of pensionable income goes into the income pension and 2.5% into the premium pension; anyone who does not choose funds themselves is placed in the state-run AP7 Såfa.

Cited in: Germany's new equity pension (Aktienrente): Frühstart-Rente, Generationenkapital, Altersvorsorgedepot

Perold and Schulman (1988) · The Free Lunch in Currency Hedging: Implications for Investment Policy and Peformance Standards

Perold, Andre F.; Schulman, Evan C.. Financial Analysts Journal 44 (3), pp. 45–50. doi:10.2469/faj.v44.n3.45

Argues that hedging the foreign currency exposure of an equity portfolio reduces risk without costing expected return.

Cited in: Currency risk: how exchange rates change your return · Overlay-Management mit Futures: Beta-, Duration- und Währungs-Overlay, Kontraktzahlen und Liquiditätsbedarf · Glossary: Currency hedging

Perold and Sharpe (1988) · Dynamic Strategies for Asset Allocation

Perold, Andre F.; Sharpe, William F.. Financial Analysts Journal 44 (1), pp. 16–27. doi:10.2469/faj.v44.n1.16

Compares buy and hold, constant mix and portfolio insurance: rebalancing wins in volatile markets and loses in trending ones.

Cited in: 60/40 portfolio: the classic mix of equities and bonds · Rebalancing: getting your portfolio back on course · CPPI: portfolio insurance with cushion, floor and multiplier · Equal weight vs cap weight: weighting, rebalancing and factor tilts · Backtest methodology: data, process, rebalancing and costs · CPPI backtest: methodology · Glossary: Calendar rebalancing · Glossary: Constant mix · Glossary: Buy and hold · Glossary: Convex strategy

Perold (1988) · The implementation shortfall: Paper versus reality

Perold, André F.. The Journal of Portfolio Management 14 (3), pp. 4–9. doi:10.3905/jpm.1988.409150

Measures the cost of implementation as the gap between a paper portfolio that trades at decision prices without costs and the portfolio actually implemented.

Cited in: Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC · Glossary: Implementation shortfall

Petajisto (2011) · The index premium and its hidden cost for index funds

Petajisto, Antti. Journal of Empirical Finance 18 (2), pp. 271–288. doi:10.1016/j.jempfin.2010.10.002

Measures the index premium for the S&P 500 and Russell 2000 from 1990 to 2005 and estimates the hidden turnover costs it imposes on index funds and indices.

Cited in: Index-Effekt: Was bei Aufnahmen in einen Index und Streichungen mit den Kursen passiert · Smart Indexing: Mehrwert für Indexfonds rund um Corporate Actions und Indexänderungen

Petajisto (2017) · Inefficiencies in the Pricing of Exchange-Traded Funds

Petajisto, Antti. Financial Analysts Journal 73 (1), pp. 24–54. doi:10.2469/faj.v73.n1.7

ETF market prices deviate markedly from NAV despite arbitrage, especially for foreign equities and illiquid securities; part of the gap stems from stale prices of the holdings.

Cited in: Index providers and valuation points: why the same index is calculated differently · Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC

Pfau and Kitces (2013) · Reducing Retirement Risk with a Rising Equity Glide-Path

Pfau, Wade D.; Kitces, Michael E.. SSRN. doi:10.2139/ssrn.2324930

A rising equity share in retirement (reverse glide path) can reduce the risk of running out of money early.

Cited in: Safe withdrawal rate: how good is the 4% rule? · Equity allocation by age: rules of thumb, glide paths and what theory says · FIRE (Financial Independence, Retire Early): Lean, Fat, Coast and Barista FIRE · Sequence risk: when the order of returns decides your retirement · Financial goals methodology: how Portfolio Lab simulates a life plan

Phalippou and Gottschalg (2009) · The Performance of Private Equity Funds

Phalippou, Ludovic; Gottschalg, Oliver. Review of Financial Studies 22 (4), pp. 1747–1776. doi:10.1093/rfs/hhn014

Shows that reported private equity returns are overstated: after fees, they are on average 3% a year below the S&P 500, or 6% on a risk-adjusted basis, with fees of about 6% a year.

Cited in: ELTIFs: private markets for private investors under the ELTIF 2.0 rules · Private equity explained: strategies, fund structure, fees and what research shows about returns · Private Markets messen: J-Kurve, Cashflows, Glättung und Public Proxy

Phalippou (2009) · Beware of Venturing into Private Equity

Phalippou, Ludovic. Journal of Economic Perspectives 23 (1), pp. 147–166. doi:10.1257/jep.23.1.147

Describes the fee contracts of private equity funds: returns above the stock market before fees and below it after fees, with opaque contracts.

Cited in: ELTIFs: private markets for private investors under the ELTIF 2.0 rules · Private equity explained: strategies, fund structure, fees and what research shows about returns

Phalippou (2014) · Performance of Buyout Funds Revisited?

Phalippou, Ludovic. Review of Finance 18 (1), pp. 189–218. doi:10.1093/rof/rft002

Buyout funds beat the S&P 500 but invest mainly in small value companies; against a levered small-value benchmark they trail by 3.1% a year.

Cited in: Buyout funds and management buyouts: how LBOs, MBOs and MBIs work · Private equity explained: strategies, fund structure, fees and what research shows about returns · Private Markets messen: J-Kurve, Cashflows, Glättung und Public Proxy · Glossary: Public proxy

Phalippou (2020) · An Inconvenient Fact: Private Equity Returns and the Billionaire Factory

Phalippou, Ludovic. The Journal of Investing 30 (1), pp. 11–39. doi:10.3905/joi.2020.1.153

Since about 2006, private equity funds have earned roughly the return of stock indices (net about 1.55 to 1.63 times the capital invested), while carried interest of an estimated $230 billion accrued.

Cited in: Private equity explained: strategies, fund structure, fees and what research shows about returns

Phillips, Wu and Yu (2011) · Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?

Phillips, Peter C. B.; Wu, Yangru; Yu, Jun. International Economic Review 52 (1), pp. 201–226. doi:10.1111/j.1468-2354.2010.00625.x

Recursive right-tailed unit root test for explosive prices; dates the start of exuberance in the Nasdaq to mid-1995.

Cited in: Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht · Glossary: Explosive price behaviour

Phillips, Shi and Yu (2015) · Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500

Phillips, Peter C. B.; Shi, Shuping; Yu, Jun. International Economic Review 56 (4), pp. 1043–1078. doi:10.1111/iere.12132

Generalised test with flexible windows (GSADF) that detects and dates multiple bubbles, applied to the S&P 500 from 1871 to 2010.

Cited in: Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht · Glossary: Explosive price behaviour

Piazzesi and Swanson (2004) · Futures Prices as Risk-adjusted Forecasts of Monetary Policy

Piazzesi, Monika; Swanson, Eric. National Bureau of Economic Research, Working Paper 10547 (2008 im Journal of Monetary Economics, 55, 677–691). doi:10.3386/w10547

Excess returns on fed funds futures were positive on average, strongly countercyclical and predictable from employment growth and yield spreads; ignoring this premium means reading a distorted path of monetary policy from the futures.

Cited in: Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Glossary: Fed funds futures

Pinter (2023) · An anatomy of the 2022 gilt market crisis

Pinter, Gabor. Bank of England, Staff Working Paper No. 1019, 31.3.2023. Source

Transaction data from the gilt, repo and swap markets: forced sales by LDI investors, rapidly rising trading costs and illiquidity spreading to other investors.

Cited in: Liability Driven Investing und Cashflow Driven Investing: Verbindlichkeiten mit Anleihen decken · Overlay-Management mit Futures: Beta-, Duration- und Währungs-Overlay, Kontraktzahlen und Liquiditätsbedarf

Piotroski (2000) · Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers

Piotroski, Joseph D.. Journal of Accounting Research 38 (Supplement), pp. 1–41. doi:10.2307/2672906

A simple score based on nine financial statement signals (F-Score) separates winners from losers among stocks with a high book-to-market ratio, especially among small, little-followed firms.

Cited in: Fundamental analysis: valuing a company like an investor · Glossary: F-score

Plerou et al. (1999) · Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series

Plerou, Vasiliki; Gopikrishnan, Parameswaran; Rosenow, Bernd; Nunes Amaral, Luís A.; Stanley, H. Eugene. Physical Review Letters 83 (7), pp. 1471–1474. doi:10.1103/PhysRevLett.83.1471

Correlation matrix of price changes of the 1,000 largest US stocks 1994–1995: most eigenvalues follow random matrix theory, and only a few of the largest deviate from it.

Cited in: Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Glossary: Random matrix theory

Plyakha et al. (2014) · Equal or Value Weighting? Implications for Asset-Pricing Tests

Plyakha, Yuliya; Uppal, Raman; Vilkov, Grigory. EDHEC, Arbeitspapier, Juli 2014; als Kapitel 2021 in Risk, Systems and Decisions (Springer), S. 295–347. Source

With monthly rebalancing, equal weighting beats value weighting in return, four-factor alpha and Sharpe ratio; 42% of the outperformance comes from the alpha of rebalancing.

Cited in: Equal weight vs cap weight: weighting, rebalancing and factor tilts

Bridgewater (2012) · The All Weather Story

Podolsky, Paul; Johnson, Ryan; Jennings, Owen. Bridgewater Associates. Source

The origins of the All Weather strategy (launched in 1996): equal risk across four economic scenarios defined by growth and inflation, using leverage and inflation-linked bonds.

Cited in: All Weather portfolio: ready for every economic climate? · Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Politis and Romano (1994) · The Stationary Bootstrap

Politis, Dimitris N.; Romano, Joseph P.. Journal of the American Statistical Association 89 (428), pp. 1303–1313. doi:10.1080/01621459.1994.10476870

The stationary bootstrap with random block lengths; it preserves the dependence in time series and is itself stationary.

Cited in: Monte Carlo simulation: how safe is your plan? · Bootstrap: future scenarios from your own history · Monte Carlo methodology: how Portfolio Lab simulates wealth paths · Glossary: Stationary bootstrap

Poterba (1984) · Tax Subsidies to Owner-Occupied Housing: An Asset-Market Approach

Poterba, James M.. The Quarterly Journal of Economics 99 (4), pp. 729. doi:10.2307/1883123

Asset-market model of user cost: in the US tax system, inflation lowered the cost of ownership and could explain up to 30% of the real rise in house prices in the 1970s.

Cited in: Rent or buy: user cost, purchase costs in 2026 and a 20-year wealth comparison · Glossary: User cost of housing

Poterba (1998) · Estate and Gift Taxes and Incentives for Inter Vivos Giving in the United States

Poterba, James M.. National Bureau of Economic Research, Working Paper 6842. doi:10.3386/w6842

Even among older households with more than $2.5 million in wealth, only about 45% use the opportunity to make tax-free gifts during their lifetime.

Cited in: Inheriting or gifting a portfolio: inheritance and gift tax, valuation and gifting in tranches

PwC (2026) · Worldwide Tax Summaries: Withholding tax rates (Übersicht und Länderseiten)

PricewaterhouseCoopers. PwC, Länderseiten zuletzt geprüft April bis September 2026; abgerufen am 25.10.2026. Source

Statutory withholding tax rates on dividends by country and the treaty rates with other countries, including Germany, Ireland and Luxembourg.

Cited in: Withholding tax on dividends: tax credit, refunds and fund domicile

ProShares (2026) · ProShares Short VIX Short-Term Futures ETF (SVXY): Fondsseite mit Anlageziel

ProShares. ProShare Advisors; abgerufen am 26.10.2026. Source

Investment objective of −0.5 times the daily return of an index of short-term VIX futures; until the close of trading on 27 February 2018, the objective was −1 times.

Cited in: Tail Hedging: Was Put-Absicherung kostet, wann sie zahlt und was Short-Vol-Strategien lehren

Proskauer Rose (2022) · hiQ and LinkedIn Reach Proposed Settlement in Landmark Scraping Case

Proskauer Rose LLP. New Media and Technology Law Blog, 08.12.2022; abgerufen am 25.10.2026. Source

The end of the hiQ v. LinkedIn case: scraping public data probably does not fall under the US anti-hacking law, the CFAA, but it breached the terms of use; the case was settled with a payment and an injunction.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Glossary: Web scraping

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Qian (2012) · Diversification Return and Leveraged Portfolios

Qian, Edward. The Journal of Portfolio Management 38 (4), pp. 14–25. doi:10.3905/jpm.2012.38.4.014

Rebalancing guarantees a non-negative diversification return only for long-only portfolios without leverage; with leverage at the portfolio level it acts like trend following and costs diversification return.

Cited in: Overfitting check and diversification return: the calculations in Backtest and Tactical · Glossary: Excess growth

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Rabiner (1989) · A tutorial on hidden Markov models and selected applications in speech recognition

Rabiner, L. R.. Proceedings of the IEEE 77 (2), pp. 257–286. doi:10.1109/5.18626

The standard introduction to hidden Markov models, with the three basic problems: the probability of the data, the most likely state sequence and the estimation of the parameters.

Cited in: Regime-Modelle: Hidden Markov, Markov-Switching und Co. · Regime methodology: how the hidden Markov model works · Glossary: Hidden Markov model · Glossary: Baum-Welch algorithm · Glossary: Forward-backward algorithm

Rad et al. (2016) · The profitability of pairs trading strategies: distance, cointegration and copula methods

Rad, Hossein; Low, Rand Kwong Yew; Faff, Robert. Quantitative Finance 16 (10), pp. 1541–1558. doi:10.1080/14697688.2016.1164337

Compares the distance, cointegration and copula methods across the entire US stock market in 1962–2014, with time-varying trading costs.

Cited in: Pairs-Trading und statistische Arbitrage: Idee, Methoden, Forschung

Ramaswamy (2011) · Market structures and systemic risks of exchange-traded funds

Ramaswamy, Srichander. Bank for International Settlements, BIS Working Paper 343, April 2011. Source

Describes the structure and risks of synthetic ETFs with unfunded and funded swaps, collateral baskets and affiliated banks as swap counterparties.

Cited in: Basket Swaps, Total Return Swaps oder Futures: Markt-Exposure effizient aufbauen · Index-Replikation: vollständige Replikation, optimiertes Sampling und Swap · Glossary: Substitute basket · Glossary: Funded and unfunded swap

Rapach et al. (2010) · Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy

Rapach, David E.; Strauss, Jack K.; Zhou, Guofu. Review of Financial Studies 23 (2), pp. 821–862. doi:10.1093/rfs/hhp063

Combinations of forecasts from many individual models beat the historical mean of the equity premium more consistently than any single model.

Cited in: Prognosemodelle für Renditen: ARIMA, GARCH, LSTM und Machine Learning

Rebonato (2010) · Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Stress

Rebonato, Riccardo. Wiley. doi:10.1002/9781118374719

Builds stress scenarios from Bayesian networks of causes and effects, so that they are internally consistent and can be assigned a probability.

Cited in: Historical stress testing: how to apply past crises to your portfolio today · Scenario methodology: how Portfolio Lab runs stress tests

Renault (2017) · Market Manipulation and Suspicious Stock Recommendations on Social Media

Renault, Thomas. SSRN Working Paper 3010850. doi:10.2139/ssrn.3010850

Unusually high numbers of Twitter messages about small stocks are associated with sharp price rises followed by reversals; network analysis reveals suspicious groups of users.

Cited in: Pump and dump and penny stocks: how the scam works

Renneboog and Spaenjers (2013) · Buying Beauty: On Prices and Returns in the Art Market

Renneboog, Luc; Spaenjers, Christophe. Management Science 59 (1), pp. 36–53. doi:10.1287/mnsc.1120.1580

Hedonic index from more than one million auctions: art rose by 3.97% a year in real US dollar terms in 1957–2007, similar to corporate bonds but with much higher risk.

Cited in: Collectibles as an investment: what art, wine, watches and classic cars really return · Glossary: Hedonic price index

Reuters (2024) · Polymarket says mystery Trump bettor is French national

Reuters. Reuters, veröffentlicht bei swissinfo.ch, 24.10.2024; abgerufen am 25.10.2026. Source

Four accounts of a French trader with potential payouts of about $46 million on a Trump win; the platform found no evidence of manipulation and gave Trump 62%, while polls showed a neck-and-neck race.

Cited in: Prediction markets as bets on events: what they can and cannot do

Rhode and Strumpf (2004) · Historical Presidential Betting Markets

Rhode, Paul W.; Strumpf, Koleman S.. Journal of Economic Perspectives 18 (2), pp. 127–142. doi:10.1257/0895330041371277

Betting markets on US presidential elections from 1868 to 1940 predicted elections remarkably well before the era of scientific polling and were fairly efficient despite attempts at manipulation.

Cited in: Prediction markets as bets on events: what they can and cannot do

Richard (2010) · Confidence Game: How a Hedge Fund Manager Called Wall Street’s Bluff

Richard, Christine S.. Wiley.

Bill Ackman's years-long bet by Pershing Square against the bond insurer MBIA, up to the financial crisis.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Rockafellar and Uryasev (2000) · Optimization of conditional value-at-risk

Rockafellar, R. Tyrrell; Uryasev, Stanislav. The Journal of Risk 2 (3), pp. 21–41. doi:10.21314/jor.2000.038

Shows that conditional value at risk can be minimised with linear programming, the basis of min-CVaR optimisation.

Cited in: Efficient frontier: Markowitz portfolio optimisation · Value at risk and conditional VaR: how much you could lose in a bad case · Optimisation methodology: estimation, objectives, Black-Litterman, resampling and walk-forward

Rödel and Rothballer (2012) · Infrastructure as Hedge against Inflation—Fact or Fantasy?

Rödel, Maximilian; Rothballer, Christoph. The Journal of Alternative Investments 15 (1), pp. 110–123. doi:10.3905/jai.2012.15.1.110

Using data on 824 companies from 46 countries over 37 years, listed infrastructure protects no better against inflation than other equities; only companies with strong pricing power do somewhat better.

Cited in: Infrastructure investing: equity and debt, revenue models, valuation and research · Liquid real assets: inflation protection with tradable real assets in a portfolio

Roe and Rotaru (2026) · Liability Management's Limited Runway: Corporate Restructuring Today

Roe, Mark J.; Rotaru, Vasile. European Corporate Governance Institute, Law Working Paper 968/2026, August 2026; abgerufen am 25.10.2026. Source

A data set of 89 liability management transactions in 2014–2025: most of the firms restructured in this way later file for bankruptcy after all, 71% after three years.

Cited in: Distressed debt: strategies, insolvency law, recovery rates and returns when investing in crises · Glossary: Liability management exercise

Roll (1977) · A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

Roll, Richard. Journal of Financial Economics 4 (2), pp. 129–176. doi:10.1016/0304-405x(77)90009-5

A critique of CAPM tests: the true market portfolio is unobservable, so tests only check the efficiency of a proxy index.

Cited in: Beta and alpha: how closely a fund moves with the market · CAPM: the capital asset pricing model and the security market line · Glossary: Market portfolio

Roll (1984) · A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market

Roll, Richard. The Journal of Finance 39 (4), pp. 1127–1139. doi:10.1111/j.1540-6261.1984.tb03897.x

Transaction costs create negative autocorrelation in successive price changes; from this the effective bid-ask spread can be estimated, which is closely related to firm size.

Cited in: Liquiditätsrisiko: Marktliquidität messen, Liquiditätsprämien und die Werkzeuge offener Fonds

Roll (1992) · A Mean/Variance Analysis of Tracking Error

Roll, Richard. The Journal of Portfolio Management 18 (4), pp. 13–22. doi:10.3905/jpm.1992.701922

Analyses portfolios that minimise tracking error relative to the index and shows that they are not efficient in the Markowitz sense.

Cited in: Tracking error and information ratio: deviation from the index · Index-Replikation: vollständige Replikation, optimiertes Sampling und Swap

Roncalli (2013) · Introduction to Risk Parity and Budgeting

Roncalli, Thierry. Chapman & Hall/CRC.

Textbook on risk parity and risk budgeting: risk contributions, Euler decomposition, algorithms.

Cited in: Risikobeitrag: das Portfoliorisiko in seine Teile zerlegen · Risk Parity: gleiche Risikobeiträge statt gleicher Gewichte · Risk & attribution: methodology of risk decomposition and Brinson attribution · Glossary: Risk budgeting · Glossary: Risk contribution · Glossary: Marginal risk contribution · Glossary: Euler decomposition

Ross (1976) · The arbitrage theory of capital asset pricing

Ross, Stephen A. Journal of Economic Theory 13 (3), pp. 341–360. doi:10.1016/0022-0531(76)90046-6

Arbitrage pricing theory: returns depend on several common factors, not just on the market.

Cited in: CAPM: the capital asset pricing model and the security market line · Factor investing: understanding the Fama-French factors · Glossary: Arbitrage pricing theory

Roth and Sharp (2015) · Performance Attribution of Multi-Asset Class Portfolios using BarraOne

Roth, Nancy; Sharp, Nicholas. MSCI, Research Paper vom 19.6.2015; Beschreibung abgerufen am 25.10.2026. Source

Describes how standard attribution tools were adapted for multi-asset strategies to show the effect of allocating capital across and within asset classes.

Cited in: Multi-Asset-Attribution: Gewichtungsschemata, Top-down und Bottom-up, Währungen und Overlays

Rousseeuw and Croux (1993) · Alternatives to the Median Absolute Deviation

Rousseeuw, Peter J.; Croux, Christophe. Journal of the American Statistical Association 88 (424), pp. 1273–1283. doi:10.1080/01621459.1993.10476408

The usual robust scale estimator is MAD = 1.4826 · median |x_i − median x|: simple, fast and very robust (breakdown point 50%), but designed for symmetric distributions and only 37% efficient under normality; the authors propose more efficient estimators.

Cited in: Economic pulse: how Portfolio Lab calculates early indicators · Glossary: Robust z-score

Rozeff and Kinney (1976) · Capital market seasonality: The case of stock returns

Rozeff, Michael S.; Kinney, William R.. Journal of Financial Economics 3 (4), pp. 379–402. doi:10.1016/0304-405X(76)90028-3

Early documentation of seasonality in US stock returns, with conspicuously high returns in January.

Cited in: Stock market seasonality: Sell in May, the January effect and how to test calendar effects · Glossary: January effect

Rozeff (1994) · Lump-Sum Investing versus Dollar-Averaging

Rozeff, Michael S.. The Journal of Portfolio Management 20 (2), pp. 45–50. doi:10.3905/jpm.1994.409474

Lump-sum investing beats staggered investing in most historical periods.

Cited in: Cost averaging: what the average-cost effect really delivers · Savings plan or lump sum: invest a large amount at once or in instalments? · Glossary: Lump-sum investing

Rubinstein and Leland (1981) · Replicating Options with Positions in Stock and Cash

Rubinstein, Mark; Leland, Hayne E.. Financial Analysts Journal 37 (4), pp. 63–72. doi:10.2469/faj.v37.n4.63

Options can be replicated with continuously adjusted positions in stock and cash, which is the basis of synthetic portfolio insurance.

Cited in: CPPI: portfolio insurance with cushion, floor and multiplier · Glossary: Portfolio insurance · Glossary: OBPI

Rubinstein (1994) · Implied Binomial Trees

Rubinstein, Mark. The Journal of Finance 49 (3), pp. 771–818. doi:10.1111/j.1540-6261.1994.tb00079.x

Derives risk-neutral probabilities and a matching binomial tree from the prices of European options.

Cited in: Optionsbewertung: wie faire Optionspreise entstehen

Rydén et al. (1998) · Stylized facts of daily return series and the hidden Markov model

Rydén, Tobias; Teräsvirta, Timo; Åsbrink, Stefan. Journal of Applied Econometrics 13 (3), pp. 217–244. doi:10.1002/(sici)1099-1255(199805/06)13:3<217::aid-jae476>3.0.co;2-v

A hidden Markov model with normal components reproduces most of the stylised facts of daily S&P 500 returns, but the parameters vary considerably between subseries in some cases.

Cited in: Regime methodology: how the hidden Markov model works

S

S&P DJI, Equal Weight FAQ (2025) · S&P 500 Equal Weight Index: Frequently Asked Questions

S&P Dow Jones Indices. S&P Dow Jones Indices (Daten bis April 2025); abgerufen am 26.10.2026. Source

Quarterly rebalancing; more than half of the excess return comes from the higher weight of smaller stocks, along with a tilt towards value and away from momentum.

Cited in: Equal weight vs cap weight: weighting, rebalancing and factor tilts

S&P Dow Jones Indices (2026) · S&P Dow Jones Indices' 2026 Equity Country Classification Consultation – Extended

S&P Dow Jones Indices. S&P Dow Jones Indices, 14.7.2026; abgerufen am 25.10.2026. Source

2026 consultation: Poland is to be upgraded from emerging to developed market; South Korea already counts as a developed market.

Cited in: Index providers and valuation points: why the same index is calculated differently

iBoxx Methodology (2026) · iBoxx Pfandbriefe Index Methodology

S&P Dow Jones Indices. S&P Dow Jones Indices, Juli 2026; abgerufen am 25.10.2026. Source

Rules of an iBoxx bond index: bid prices, new bonds at the ask price, a minimum issue size of €500 million, remaining maturity of at least one year and monthly rebalancing.

Cited in: Index providers and valuation points: why the same index is calculated differently

S&P GSCI methodology (2026) · S&P GSCI Methodology

S&P Dow Jones Indices. S&P Dow Jones Indices, August 2026; abgerufen am 25.10.2026. Source

Rules of the S&P GSCI: weighting by average world production over five years, minimum liquidity, rolling from the 5th to the 9th business day, total return with interest on the collateral.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities

Saccone (2024) · Times Change: The Era of the Private Equity Denominator Effect

Saccone, Massimiliano. CFA Institute Research and Policy Center, Enterprising Investor, 4.3.2024; abgerufen am 25.10.2026. Source

Describes the denominator effect of 2022: valuations of private funds decoupled from equities and bonds, investors were overweight and could sell on the secondary market at only 81% of NAV on average.

Cited in: Private equity explained: strategies, fund structure, fees and what research shows about returns · Private Markets messen: J-Kurve, Cashflows, Glättung und Public Proxy · Glossary: Secondaries

Said and Dickey (1984) · Testing for unit roots in autoregressive-moving average models of unknown order

Said, Said E.; Dickey, David A.. Biometrika 71 (3), pp. 599–607. doi:10.1093/biomet/71.3.599

Extends the Dickey-Fuller test with lagged differences (augmented Dickey-Fuller) so that it remains valid when the autocorrelation is unknown.

Cited in: Pairs-Trading und statistische Arbitrage: Idee, Methoden, Forschung · Long/short and statistical arbitrage: methodology · Glossary: Augmented Dickey-Fuller test

Samuelson (1958) · An Exact Consumption-Loan Model of Interest with or without the Social Contrivance of Money

Samuelson, Paul A.. Journal of Political Economy 66 (6), pp. 467–482. doi:10.1086/258100

An overlapping generations model: a contract between generations such as a pay-as-you-go system yields a “biological” rate of interest equal to population growth.

Cited in: Germany's new equity pension (Aktienrente): Frühstart-Rente, Generationenkapital, Altersvorsorgedepot · Glossary: Pay-as-you-go system

Samuelson (1969) · Lifetime Portfolio Selection By Dynamic Stochastic Programming

Samuelson, Paul A.. The Review of Economics and Statistics 51 (3). doi:10.2307/1926559

Under certain assumptions, the optimal equity share does not depend on the investment horizon.

Cited in: Equity allocation by age: rules of thumb, glide paths and what theory says

Samuelson (1971) · The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling

Samuelson, Paul A.. Proceedings of the National Academy of Sciences 68 (10), pp. 2493–2496. doi:10.1073/pnas.68.10.2493

Disputes the idea that long-term investors should always maximise the geometric mean.

Cited in: CAGR: how to calculate the average annual return correctly · Volatility drag: why volatility costs you return · Kelly-Kriterium: Wie viel setzen für maximales Wachstum?

Satchell and Scowcroft (2000) · A demystification of the Black–Litterman model: Managing quantitative and traditional portfolio construction

Satchell, S; Scowcroft, A. Journal of Asset Management 1 (2), pp. 138–150. doi:10.1057/palgrave.jam.2240011

Derives the Black-Litterman model formally and presents variants of blending equilibrium and views.

Cited in: Black-Litterman: incorporating your own views cleanly

Scherer (2002) · Portfolio Resampling: Review and Critique

Scherer, Bernd. Financial Analysts Journal 58 (6), pp. 98–109. doi:10.2469/faj.v58.n6.2489

Classifies resampling as a well-thought-out heuristic against estimation error and points out quirks that make interpretation harder.

Cited in: Resampling-Optimierung nach Michaud: stabilere Portfoliogewichte durch Simulation · Optimisation methodology: estimation, objectives, Black-Litterman, resampling and walk-forward

Schizas (2014) · Active ETFs and Their Performance vis-à-vis Passive ETFs, Mutual Funds, and Hedge Funds

Schizas, Panagiotis. The Journal of Wealth Management 17 (3), pp. 84–98. doi:10.3905/jwm.2014.17.3.084

Early active ETFs were more volatile than passive ones, ended up performing similarly and in many cases beat mutual funds on mean return.

Cited in: Active ETFs: how they work and what they deliver

Schmidt et al. (2016) · Runs on Money Market Mutual Funds

Schmidt, Lawrence; Timmermann, Allan; Wermers, Russ. American Economic Review 106 (9), pp. 2625–2657. doi:10.1257/aer.20140678

Daily flows of US money market funds in September 2008: the run after the Lehman collapse followed a pattern in which investors react to the behaviour of others.

Cited in: Money market ETF or instant-access savings account: rates, safety and tax compared

Schrimpf et al. (2020) · Leverage and margin spirals in fixed income markets during the Covid-19 crisis

Schrimpf, Andreas; Shin, Hyun Song; Sushko, Vladyslav. Bank für Internationalen Zahlungsausgleich, BIS Bulletin Nr. 2 vom 2. April 2020; abgerufen am 25.10.2026. Source

In mid-March 2020, turmoil forced sales of government bonds by investors who used leverage to exploit small price differences; large holdings by leveraged investors can disrupt market functioning.

Cited in: Basis trades: positive and negative basis in bonds, CDS and futures

Schwarz (1978) · Estimating the Dimension of a Model

Schwarz, Gideon. The Annals of Statistics 6 (2), pp. 461–464. doi:10.1214/aos/1176344136

Derives the Bayesian information criterion (BIC) as a large-sample approximation to Bayesian model selection; it penalises each parameter with ln n.

Cited in: Regime-Modelle: Hidden Markov, Markov-Switching und Co. · Regime methodology: how the hidden Markov model works · Glossary: Information criterion

Scope Fund Analysis (2026) · ELTIF-Markt wächst weiter: Private Debt und Evergreen-Fonds dominieren

Scope Fund Analysis. Bericht über eine Auswertung von Scope auf FundResearch.de vom 28.08.2026; abgerufen am 25.10.2026. Source

Market figures to the end of July 2026: 315 active ELTIFs in Europe, 224 of them launched under the new rules, focused on private debt, private equity and infrastructure, with many new funds structured as evergreen funds.

Cited in: ELTIFs: private markets for private investors under the ELTIF 2.0 rules

Seyhun (1986) · Insiders' profits, costs of trading, and market efficiency

Seyhun, H. Nejat. Journal of Financial Economics 16 (2), pp. 189–212. doi:10.1016/0304-405x(86)90060-7

Insiders earn abnormal returns on their trades; for outsiders who imitate reported insider trades, the advantage largely disappears after trading costs.

Cited in: Insider trading: what is prohibited, what is allowed and what directors' dealings reveal

Sharpe (1964) · Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk

Sharpe, William F.. The Journal of Finance 19 (3), pp. 425–442. doi:10.1111/j.1540-6261.1964.tb02865.x

Derives the capital asset pricing model: in equilibrium, only market risk (beta) is rewarded with a premium.

Cited in: Sharpe ratio: return per unit of risk · Beta and alpha: how closely a fund moves with the market · CAPM: the capital asset pricing model and the security market line · Efficient frontier: Markowitz portfolio optimisation · Factor investing: understanding the Fama-French factors · Risk factors in the look-through: methodology · Glossary: Market factor · Glossary: Systematic risk · Glossary: Capital market line · Glossary: Security market line · Glossary: CAPM

Sharpe (1966) · Mutual Fund Performance

Sharpe, William F.. The Journal of Business 39 (S1). doi:10.1086/294846

Introduces the ratio of excess return to volatility as a measure of fund quality; this became the Sharpe ratio.

Cited in: Sharpe ratio: return per unit of risk

Sharpe (1975) · Likely Gains from Market Timing

Sharpe, William F.. Financial Analysts Journal 31 (2), pp. 60–69. doi:10.2469/faj.v31.n2.60

Market timing has to be right very often to pay off relative to buy and hold.

Cited in: Market timing: can you pick the right moment? · Strategic and tactical asset allocation and the total portfolio approach

Sharpe and Tint (1990) · Liabilities— A New Approach

Sharpe, William F.; Tint, Lawrence G.. The Journal of Portfolio Management 16 (2), pp. 5–10. doi:10.3905/jpm.1990.409248

Asset-liability optimisation: judge portfolios relative to liabilities rather than in absolute terms (surplus optimisation).

Cited in: Asset-liability management: aligning your wealth with future spending · Liability Driven Investing und Cashflow Driven Investing: Verbindlichkeiten mit Anleihen decken · ALM methodology: how Portfolio Lab measures assets against liabilities · Glossary: Surplus

Sharpe (1992) · Asset allocation

Sharpe, William F.. The Journal of Portfolio Management 18 (2), pp. 7–19. doi:10.3905/jpm.1992.409394

Introduces returns-based style analysis: fund returns are explained by indices with non-negative weights.

Cited in: Active ETFs: how they work and what they deliver · Performance-Attribution: Brinson-Zerlegung, Faktoren und Verkettung über die Zeit · Stilanalyse nach Sharpe: was ein Fonds wirklich macht · Returns-based style analysis: methodology · Look-through: how Portfolio Lab sees inside funds

Sharpe (1994) · The Sharpe Ratio

Sharpe, William F.. The Journal of Portfolio Management 21 (1), pp. 49–58. doi:10.3905/jpm.1994.409501

Sharpe defines his measure more precisely, including as an ex ante and an ex post measure based on differential returns.

Cited in: Sharpe ratio: return per unit of risk · Metrics methodology: how Portfolio Lab measures return and risk

Shefrin and Statman (2000) · Behavioral Portfolio Theory

Shefrin, Hersh; Statman, Meir. The Journal of Financial and Quantitative Analysis 35 (2). doi:10.2307/2676187

Investors build portfolios in layers of mental accounts: a safe layer against poverty and a risky one for a shot at riches.

Cited in: Core-satellite with a broad core and targeted satellites: costs, tracking error and rules

Shefrin and Statman (1984) · Explaining Investor Preference for Cash Dividends

Shefrin, Hersh M.; Statman, Meir. Journal of Financial Economics 13 (2), pp. 253–282. doi:10.1016/0304-405X(84)90025-4

Explains many investors' preference for cash dividends by self-control and mental accounting rather than by returns.

Cited in: Accumulating or distributing: which ETF suits you better? · Dividend strategies and dividend ETFs under scrutiny: irrelevance, taxes, factors

Shiller (1980) · Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?

Shiller, Robert J.. National Bureau of Economic Research, Working Paper 456. doi:10.3386/w0456

Stock prices fluctuate far more than subsequent dividends would justify (working paper version of the 1981 article).

Cited in: The efficient market hypothesis: why it is so hard to beat the market · Glossary: Excess volatility

Shiller (2000) · Irrational Exuberance

Shiller, Robert J.. Princeton University Press.

A book on speculative bubbles that popularised the cyclically adjusted P/E (CAPE).

Cited in: Real estate as an investment: rental flat, REITs, open-ended funds and private real estate · Shiller P/E (CAPE): how expensive is the stock market? · Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht · Valuation with the Shiller P/E: methodology · Glossary: Speculative bubble

Shiller (2014) · Speculative Asset Prices

Shiller, Robert J.. American Economic Review 104 (6), pp. 1486–1517. doi:10.1257/aer.104.6.1486

Nobel lecture: speculative bubbles as a social epidemic, Shiller's definition of a bubble and why a sudden burst need not be part of it.

Cited in: Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht

Shiller et al. (2020) · CAPE and the COVID-19 Pandemic Effect

Shiller, Robert J.; Black, Laurence; Jivraj, Farouk. SSRN. doi:10.2139/ssrn.3714737

Compares the CAPE of several markets with long-term interest rates and estimates the expected real excess return of equities over bonds before and during the pandemic.

Cited in: Shiller P/E (CAPE): how expensive is the stock market? · Valuation with the Shiller P/E: methodology

Shleifer (1986) · Do Demand Curves for Stocks Slope Down?

Shleifer, Andrei. The Journal of Finance 41 (3), pp. 579–590. doi:10.1111/j.1540-6261.1986.tb04518.x

Stocks added to the S&P 500 earn an abnormal return on the announcement that is linked to purchases by index funds, which points to downward-sloping demand curves.

Cited in: Index-Effekt: Was bei Aufnahmen in einen Index und Streichungen mit den Kursen passiert · Smart Indexing: Mehrwert für Indexfonds rund um Corporate Actions und Indexänderungen · Glossary: Index effect

Shleifer and Vishny (1997) · The Limits of Arbitrage

Shleifer, Andrei; Vishny, Robert W.. The Journal of Finance 52 (1), pp. 35–55. doi:10.1111/j.1540-6261.1997.tb03807.x

Arbitrage requires capital and is risky; when it is done with other people's money, it can fail precisely when prices deviate far from fair value.

Cited in: Short selling, hedge funds and hedging: types and how they work · Basis trades: positive and negative basis in bonds, CDS and futures · Distressed debt: strategies, insolvency law, recovery rates and returns when investing in crises · Pairs-Trading und statistische Arbitrage: Idee, Methoden, Forschung

Shum et al. (2016) · Intraday Share Price Volatility and Leveraged ETF Rebalancing

Shum, Pauline; Hejazi, Walid; Haryanto, Edgar; Rodier, Arthur. Review of Finance 20 (6), pp. 2379–2409. doi:10.1093/rof/rfv061

From 2006 to 2011, volatility at the close was linked to the potential rebalancing of leveraged ETFs, most strongly on the most turbulent days.

Cited in: Gehebelte ETFs und Return Stacking: Pfadabhängigkeit, Kosten und Forschung

Siegel (2016) · The Shiller CAPE Ratio: A New Look

Siegel, Jeremy J.. Financial Analysts Journal 72 (3), pp. 41–50. doi:10.2469/faj.v72.n3.1

A critique of the CAPE: changes in accounting rules depress reported earnings and make the CAPE look too high.

Cited in: Shiller P/E (CAPE): how expensive is the stock market? · Valuation with the Shiller P/E: methodology

Simon and Campasano (2014) · The VIX Futures Basis: Evidence and Trading Strategies

Simon, David P.; Campasano, Jim. The Journal of Derivatives 21 (3), pp. 54–69. doi:10.3905/jod.2014.21.3.054

The gap between VIX futures and the VIX has no meaningful predictive power for subsequent changes in the VIX, but it does for subsequent futures returns.

Cited in: Volatility dashboard: methodology · Glossary: VIX futures basis

Sinai and Souleles (2005) · Owner-Occupied Housing as a Hedge Against Rent Risk

Sinai, Todd; Souleles, Nicholas S.. The Quarterly Journal of Economics 120 (2), pp. 763–789. doi:10.1093/qje/120.2.763

Owning a home hedges against fluctuating future rents; for most households this rent risk outweighs the price risk, especially when they expect to stay a long time.

Cited in: Rent or buy: user cost, purchase costs in 2026 and a 20-year wealth comparison

Sinn (2000) · Why a Funded Pension System is Needed and Why It is Not Needed

Sinn, Hans-Werner. International Tax and Public Finance 7 (4–5), pp. 389–410. doi:10.1023/A:1008760717038

Funding can fill the gap that missing children leave in the pay-as-you-go system; switching, however, is not an efficiency gain, because someone has to bear the implicit debt of the pay-as-you-go system.

Cited in: Germany's new equity pension (Aktienrente): Frühstart-Rente, Generationenkapital, Altersvorsorgedepot · Glossary: Funded pension system

AP7 (2026) · AP7 Såfa

Sjunde AP-fonden. Sjunde AP-fonden (AP7); abgerufen am 25.10.2026. Source

The default option of the premium pension: a mix of AP7's equity and fixed income funds, 100% equity funds up to age 55, then from 56 to 75 a gradual shift to up to two thirds fixed income funds; almost six million savers.

Cited in: Germany's new equity pension (Aktienrente): Frühstart-Rente, Generationenkapital, Altersvorsorgedepot

Skadden (2026) · Third Circuit Affirms Kalshi's Preliminary Injunction

Skadden, Arps, Slate, Meagher & Flom. Skadden, Insights, 9.4.2026; abgerufen am 25.10.2026. Source

On 4 April 2026, the Court of Appeals for the Third Circuit held by 2 votes to 1 that sports contracts on a CFTC-registered exchange are swaps and that federal law pre-empts New Jersey's gambling law.

Cited in: Prediction markets as bets on events: what they can and cannot do

Sloan (1996) · Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?

Sloan, Richard G.. The Accounting Review 71 (3), pp. 289–315. doi:10.2308/tar-9608042309

Earnings from accruals are less persistent than earnings from cash flows, and prices reflect this only with a delay; this is the accruals anomaly.

Cited in: Fundamental analysis: valuing a company like an investor · Glossary: Accruals anomaly

Smith and Wallis (2009) · A Simple Explanation of the Forecast Combination Puzzle

Smith, Jeremy; Wallis, Kenneth F.. Oxford Bulletin of Economics and Statistics 71 (3), pp. 331–355. doi:10.1111/j.1468-0084.2008.00541.x

Explains why simple averages of forecasts keep beating sophisticated weighted combinations in practice: the estimated weights carry finite-sample estimation error.

Cited in: Economic pulse: how Portfolio Lab calculates early indicators

Snowberg and Wolfers (2010) · Explaining the Favorite–Long Shot Bias: Is it Risk-Love or Misperceptions?

Snowberg, Erik; Wolfers, Justin. Journal of Political Economy 118 (4), pp. 723–746. doi:10.1086/655844

In horse-race betting, long shots are overvalued and favourites undervalued; the data point to misperceived probabilities as in prospect theory rather than to a love of risk.

Cited in: Prediction markets as bets on events: what they can and cannot do · Glossary: Favourite-longshot bias

Solactive GBS Guideline (2026) · Index Guideline Solactive Global Benchmark Series (GBS), Version 3.06

Solactive AG. Solactive, 16.9.2026; abgerufen am 25.10.2026. Source

Size segments by cumulative free-float capitalisation with buffers, quarterly rebalancing in February, May, August and November, country lists and exchange rates at 16:00 London time.

Cited in: Index providers and valuation points: why the same index is calculated differently · Smart Indexing: Mehrwert für Indexfonds rund um Corporate Actions und Indexänderungen · Glossary: Buffer zone

Solnik (1974) · Why Not Diversify Internationally Rather Than Domestically?

Solnik, Bruno H.. Financial Analysts Journal 30 (4), pp. 48–54. doi:10.2469/faj.v30.n4.48

International diversification reduces the risk of an equity portfolio much more than purely domestic diversification, because markets do not move in lockstep.

Cited in: Home bias: the preference for your home market and what it costs · World portfolio: the whole world in one or two ETFs

Sorensen and Jagannathan (2015) · The Public Market Equivalent and Private Equity Performance

Sorensen, Morten; Jagannathan, Ravi. Financial Analysts Journal 71 (4), pp. 43–50. doi:10.2469/faj.v71.n4.4

Gives the PME a theoretical foundation: it corresponds to valuation with Rubinstein's dynamic CAPM, needs no betas and, unlike the IRR, cannot be influenced by the timing of cash flows.

Cited in: Private Markets messen: J-Kurve, Cashflows, Glättung und Public Proxy · Glossary: Public market equivalent

Sornette, Johansen and Bouchaud (1996) · Stock Market Crashes, Precursors and Replicas

Sornette, Didier; Johansen, Anders; Bouchaud, Jean-Philippe. Journal de Physique I 6 (1), pp. 167–175. doi:10.1051/jp1:1996135

Early work on log-periodic patterns in the S&P 500 before and after the October 1987 crash, compared with earthquakes.

Cited in: Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht · Glossary: Log-periodic oscillation

Sornette et al. (2013) · Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model

Sornette, Didier; Woodard, Ryan; Yan, Wanfeng; Zhou, Wei-Xing. Physica A: Statistical Mechanics and its Applications 392 (19), pp. 4417–4428. doi:10.1016/j.physa.2013.05.011

The authors' answers to questions and criticisms of the JLS model.

Cited in: Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht

Sornette et al. (2015) · Real-time prediction and post-mortem analysis of the Shanghai 2015 stock market bubble and crash

Sornette, Didier; Demos, Guilherme; Zhang, Qun; Cauwels, Peter; Zhang, Qunzhi. The Journal of Investment Strategies 4 (4), pp. 77–95. doi:10.21314/JOIS.2015.063

How the Financial Crisis Observatory at ETH Zurich diagnosed the Chinese stock market bubble of 2014/15 in real time, with a post-mortem analysis.

Cited in: Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht

Sornette and Cauwels (2015) · Financial Bubbles: Mechanisms and Diagnostics

Sornette, Didier; Cauwels, Peter. Review of Behavioral Economics 2 (3), pp. 279–305. doi:10.1561/105.00000035

Accessible explanation: a bubble as a phase of ever faster, unsustainable growth with log-periodic oscillations.

Cited in: Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht · Glossary: Super-exponential growth

Sornette (2017) · Why Stock Markets Crash: Critical Events in Complex Financial Systems

Sornette, Didier. Princeton University Press, Princeton Science Library, with a new preface.

Book on Sornette's model: crashes as critical events in complex financial systems.

Cited in: Glossary: LPPLS model

Soros (2003) · The Alchemy of Finance

Soros, George. Wiley, new edition with a foreword by Paul A. Volcker (first published 1987).

Soros's theory of reflexivity: market participants' expectations change the fundamentals they are valuing and create boom-bust cycles; plus a trading diary of his fund.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Glossary: Reflexivity

Sortino and van der Meer (1991) · Downside risk

Sortino, Frank A.; van der Meer, Robert. The Journal of Portfolio Management 17 (4), pp. 27–31. doi:10.3905/jpm.1991.409343

Makes the case for downside risk (downside deviation) as a more appropriate risk measure than standard deviation.

Cited in: Sortino ratio and Calmar ratio: measuring downside risk · Glossary: Semivariance

Sortino and Price (1994) · Performance Measurement in a Downside Risk Framework

Sortino, Frank A.; Price, Lee N.. The Journal of Investing 3 (3), pp. 59–64. doi:10.3905/joi.3.3.59

Presents the Sortino ratio, which counts only volatility below a minimum acceptable return as risk.

Cited in: Sharpe ratio: return per unit of risk · Sortino ratio and Calmar ratio: measuring downside risk · Metrics methodology: how Portfolio Lab measures return and risk · Glossary: Minimum acceptable return

Spengel (2020) · Stellungnahme zur öffentlichen Anhörung im Finanzausschuss des Deutschen Bundestages zum Thema „Cum/Ex“ (4. September 2020, Anhörung am 9. September 2020)

Spengel, Christoph. Universität Mannheim; veröffentlicht vom Deutschen Bundestag, abgerufen am 25.10.2026. Source

Mechanics of cum-ex and cum-cum, legal developments up to § 36a EStG and estimates of the tax damage with their assumptions.

Cited in: Cum-ex and cum-cum: how the dividend trades worked and what applies today · Glossary: Cum-cum trades · Glossary: Compensation payment (manufactured dividend)

Spitznagel (2021) · Safe Haven: Investing for Financial Storms

Spitznagel, Mark. Wiley.

A hedge fund manager specialising in safe havens and risk mitigation asks whether risk mitigation can increase returns, and judges safe havens by their effect on the compound growth of the whole portfolio.

Cited in: Tail Hedging: Was Put-Absicherung kostet, wann sie zahlt und was Short-Vol-Strategien lehren

Stafford (2022) · Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting

Stafford, Erik. The Review of Financial Studies 35 (1), pp. 299–342. doi:10.1093/rfs/hhab020

Buyout funds buy small, cheaply valued firms with leverage; a replication using listed stocks with these characteristics and margin borrowing returned more on average than direct fund investments.

Cited in: Private Markets messen: J-Kurve, Cashflows, Glättung und Public Proxy · Glossary: Public proxy

SPDR ACWI IMI Factsheet (Dist) (2026) · SPDR MSCI All Country World Investable Market UCITS ETF (Dist), Factsheet, Stand 30. September 2026

State Street Global Advisors. State Street Global Advisors; abgerufen am 25.10.2026. Source

Optimised sampling: 5,990 holdings in the fund versus 8,027 constituents in the MSCI ACWI IMI, expense ratio 0.17%.

Cited in: Index-Replikation: vollständige Replikation, optimiertes Sampling und Swap

SPDR ACWI IMI Factsheet (Acc) (2026) · SPDR MSCI All Country World Investable Market UCITS ETF (Acc), Factsheet, Stand Sommer 2026

State Street Global Advisors. State Street Global Advisors, Factsheet mit den Datumsangaben 31.7. und 31.8.2026; abgerufen am 25.10.2026. Source

Accumulating share class: 5,998 holdings versus 8,043 index constituents, annualised three-year tracking error of 0.36%.

Cited in: Index-Replikation: vollständige Replikation, optimiertes Sampling und Swap

Destatis (2024) · Preise für Wohnimmobilien im 4. Quartal 2023: −7,1 % zum Vorjahresquartal (Pressemitteilung Nr. 114)

Statistisches Bundesamt. Statistisches Bundesamt, 22.3.2024; abgerufen am 25.10.2026. Source

House price index: on an annual average basis, residential property prices fell by 8.4% in 2023, the sharpest decline since the series began in 2000.

Cited in: Real estate as an investment: rental flat, REITs, open-ended funds and private real estate

Destatis, truck toll mileage index (2026) · Statistischer Bericht – Täglicher Lkw-Maut-Fahrleistungsindex (EVAS 42191), Datenstand 17.10.2026

Statistisches Bundesamt. Statistisches Bundesamt (Destatis), Deutsche Bundesbank, Bundesamt für Logistik und Mobilität (BALM); erschienen am 22.10.2026, abgerufen am 27.10.2026. Source

Daily values from 1 January 2008 (2021 = 100), unadjusted and calendar and seasonally adjusted (adjustment by the Bundesbank, experimental); mileage of large trucks with at least four axles on federal motorways, updated weekly on Thursdays with a lag of five to twelve days.

Cited in: Economic pulse: how Portfolio Lab calculates early indicators · Glossary: Truck toll mileage index

Destatis (2026) · Preise für Wohnimmobilien im 4. Quartal 2025: +3,0 % zum Vorjahresquartal (Pressemitteilung Nr. 101)

Statistisches Bundesamt. Statistisches Bundesamt, 25.3.2026; abgerufen am 25.10.2026. Source

House price index: on an annual average basis, residential property prices rose by 3.2% in 2025, the first increase since 2022.

Cited in: Real estate as an investment: rental flat, REITs, open-ended funds and private real estate

Destatis (2026) · Festgesetzte Erbschaft- und Schenkungsteuer erreicht 2025 mit 21,4 Milliarden Euro neuen Höchstwert (Pressemitteilung Nr. 306 vom 26.8.2026)

Statistisches Bundesamt. Statistisches Bundesamt; abgerufen am 26.10.2026. Source

In 2025, tax offices assessed €21.4 billion in inheritance and gift tax, of which €13.3 billion was inheritance tax and €8.1 billion gift tax; most transfers fall within the allowances.

Cited in: Inheriting or gifting a portfolio: inheritance and gift tax, valuation and gifting in tranches

Statman (1987) · How Many Stocks Make a Diversified Portfolio?

Statman, Meir. The Journal of Financial and Quantitative Analysis 22 (3). doi:10.2307/2330969

A well-diversified portfolio of randomly chosen stocks needs at least 30 stocks (with borrowing) or 40 (without borrowing), not just ten.

Cited in: Stock picking: why individual stocks are so hard to get right · Index-Replikation: vollständige Replikation, optimiertes Sampling und Swap

Statman (1995) · A Behavioral Framework for Dollar-Cost Averaging

Statman, Meir. The Journal of Portfolio Management 22 (1), pp. 70–78. doi:10.3905/jpm.1995.409537

Explains the popularity of staggered investing with behavioural finance: avoiding regret and exercising self-control.

Cited in: Cost averaging: what the average-cost effect really delivers · Glossary: Regret aversion

Stephens (2000) · Dealing With Label Switching in Mixture Models

Stephens, Matthew. Journal of the Royal Statistical Society Series B: Statistical Methodology 62 (4), pp. 795–809. doi:10.1111/1467-9868.00265

Label switching in Bayesian mixture models: artificial ordering constraints do not solve the problem in general; the paper proposes algorithms that relabel the states.

Cited in: Regime methodology: how the hidden Markov model works · Glossary: Label switching

Stevens (1993) · King Icahn: The Biography of a Renegade Capitalist

Stevens, Mark. Dutton.

A biography of Carl Icahn: the takeover battles of the 1980s, including the takeover of the airline TWA.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Stewart et al. (2009) · Absence of Value: An Analysis of Investment Allocation Decisions by Institutional Plan Sponsors

Stewart, Scott D.; Neumann, John J.; Knittel, Christopher R.; Heisler, Jeffrey. Financial Analysts Journal 65 (6), pp. 34–51. doi:10.2469/faj.v65.n6.4

Based on 80,000 annual observations of institutional products from 1984 to 2007: products with inflows performed worse over the following one, three and five years than products with outflows.

Cited in: RFP and mandate awards: how institutional investors select asset managers

Stock and Watson (2002) · Macroeconomic Forecasting Using Diffusion Indexes

Stock, James H.; Watson, Mark W.. Journal of Business & Economic Statistics 20 (2), pp. 147–162. doi:10.1198/073500102317351921

Condenses 215 macroeconomic series into a few indices using principal components (factor model); in simulated real time from 1970 to 1998, their forecasts for eight US monthly series beat autoregressions, small VAR models and leading-indicator models.

Cited in: Economic pulse: how Portfolio Lab calculates early indicators

Stoimenov and Wilkens (2005) · Are structured products ‘fairly’ priced? An analysis of the German market for equity-linked instruments

Stoimenov, Pavel A.; Wilkens, Sascha. Journal of Banking & Finance 29 (12), pp. 2971–2993. doi:10.1016/j.jbankfin.2004.11.001

Examines the pricing of equity-linked investment certificates in the German market; the life-cycle hypothesis of issuer margins goes back to this paper (as cited by Entrop, Scholz and Wilkens 2009).

Cited in: Warrants, turbos and certificates: what they are and what you pay on top · Glossary: Life cycle hypothesis (certificates)

DAX Methodology (2026) · DAX Equity Index Methodology Guide

STOXX Ltd.. STOXX, Fassung August 2026; abgerufen am 26.10.2026. Source

Rules for the DAX, MDAX, SDAX and TecDAX: ranking by free-float market capitalisation, quarterly fast entry and fast exit, semi-annual regular entry and exit, an EBITDA criterion for the DAX and capping at 15%.

Cited in: Index-Effekt: Was bei Aufnahmen in einen Index und Streichungen mit den Kursen passiert · Glossary: Fast entry and fast exit

STOXX (2026) · STOXX Country Classification

STOXX Ltd.. STOXX, Webseite mit den Ergebnissen der Überprüfung 2026-Q1; abgerufen am 25.10.2026. Source

STOXX reviews the classification of all countries once a year in the first quarter, announces changes by April and implements them with a review in the third quarter.

Cited in: Index providers and valuation points: why the same index is calculated differently

Sullivan et al. (1999) · Data-Snooping, Technical Trading Rule Performance, and the Bootstrap

Sullivan, Ryan; Timmermann, Allan; White, Halbert. The Journal of Finance 54 (5), pp. 1647–1691. doi:10.1111/0022-1082.00163

Applies the Reality Check to thousands of technical trading rules on the Dow Jones and corrects for data snooping.

Cited in: Stock market seasonality: Sell in May, the January effect and how to test calendar effects · Technical analysis, chart patterns and candlesticks from a quant perspective · Glossary: White's Reality Check

Sullivan et al. (2001) · Dangers of data mining: The case of calendar effects in stock returns

Sullivan, Ryan; Timmermann, Allan; White, Halbert. Journal of Econometrics 105 (1), pp. 249–286. doi:10.1016/S0304-4076(01)00077-X

About 100 years of daily data and a bootstrap over the full universe of conceivable calendar rules: calendar effects that are highly significant on their own are no longer significant once the search is taken into account.

Cited in: Stock market seasonality: Sell in May, the January effect and how to test calendar effects · Glossary: Calendar effect

Svensson (1994) · Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994

Svensson, Lars. National Bureau of Economic Research, Working Paper 4871. doi:10.3386/w4871

Extends Nelson-Siegel with a second hump; this is how the Bundesbank and the ECB estimate their yield curves.

Cited in: Duration: how strongly bonds react to interest rates · Yield curve: what the term structure reveals and why an inverted curve is seen as a warning sign · Glossary: Nelson-Siegel model · Glossary: Svensson model

Swensen (2000) · Pioneering Portfolio Management: An Unconventional Approach to Institutional Investment

Swensen, David F.. Free Press.

How Yale University's endowment spreads its assets across many asset classes (the endowment model).

Cited in: 60/40 portfolio: the classic mix of equities and bonds · Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Glossary: Endowment model

T

Takahashi and Alexander (2002) · Illiquid Alternative Asset Fund Modeling

Takahashi, Dean; Alexander, Seth. The Journal of Portfolio Management 28 (2), pp. 90–100. doi:10.3905/jpm.2002.319836

The Yale endowment's cash flow model: capital calls, distributions and fund value of illiquid funds from a few parameters, for planning commitments and liquidity across scenarios.

Cited in: Private Markets messen: J-Kurve, Cashflows, Glättung und Public Proxy · Takahashi-Alexander-Modell: Cashflows von Private-Markets-Fonds planen · Private markets methodology: analysing funds, forecasting cash flows, planning commitments · Glossary: Capital call and distribution · Glossary: Takahashi-Alexander model · Glossary: Bow factor

Taleb (2007) · The Black Swan: The Impact of the Highly Improbable

Taleb, Nassim Nicholas. Random House.

A popular book on rare, high-impact events and the limits of statistical models based on the normal distribution.

Cited in: Skewness and kurtosis: why market crashes are more frequent than the normal distribution says

Tang and Xiong (2012) · Index Investment and the Financialization of Commodities

Tang, Ke; Xiong, Wei. Financial Analysts Journal 68 (6), pp. 54–74. doi:10.2469/faj.v68.n6.5

As index investment has grown since the early 2000s, the prices of non-energy commodity futures have become more closely linked to the oil price, especially for index commodities.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities

Templeton and Phillips (2008) · Investing the Templeton Way

Templeton, Lauren C.; Phillips, Scott. McGraw-Hill.

John Templeton's investment principles: search worldwide for bargains and buy when pessimism is at its height.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Glossary: Contrarian investing

Tetlock (2007) · Giving Content to Investor Sentiment: The Role of Media in the Stock Market

Tetlock, Paul C.. The Journal of Finance 62 (3), pp. 1139–1168. doi:10.1111/j.1540-6261.2007.01232.x

Pessimism in a Wall Street Journal column predicts downward pressure on prices that later reverses, which points to sentiment rather than new information.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments

The Block (2026) · Kalshi loses appeal over Ohio and Tennessee sports betting laws, widening circuit split

The Block. The Block, 26.9.2026; abgerufen am 25.10.2026. Source

The Sixth Circuit ruled for Ohio and Tennessee (no swaps, no pre-emption of gambling law), after the Ninth Circuit had ruled against Kalshi on 28 August 2026; New Jersey petitioned the Supreme Court on 2 September 2026, and the Fourth Circuit case is pending.

Cited in: Prediction markets as bets on events: what they can and cannot do

Vanguard (2012) · Vanguard to change target benchmarks for 22 index funds

The Vanguard Group. Pressemitteilung, Valley Forge, 2.10.2012; abgerufen am 25.10.2026. Source

22 index funds switch from MSCI to FTSE (6) and CRSP (16); the reasons given are rising licence fees and expected savings for investors.

Cited in: Index providers and valuation points: why the same index is calculated differently · Glossary: Index licence

Vanguard BND Factsheet (2026) · Vanguard Total Bond Market ETF (BND), Factsheet, Stand 30. September 2026

The Vanguard Group. Vanguard; abgerufen am 25.10.2026. Source

Index sampling: 11,434 bonds in the fund versus 14,254 in the index; ten-year return of 1.13% a year (NAV) versus 1.17%, expense ratio 0.03%.

Cited in: Index-Replikation: vollständige Replikation, optimiertes Sampling und Swap

Vanguard BNDX Factsheet (2026) · Vanguard Total International Bond ETF (BNDX), Factsheet, Stand 30. September 2026

The Vanguard Group. Vanguard; abgerufen am 25.10.2026. Source

Index sampling: 6,837 bonds in the fund versus 14,644 in the index; ten-year return of 1.30% a year (NAV) versus 1.42%, expense ratio 0.07%.

Cited in: Index-Replikation: vollständige Replikation, optimiertes Sampling und Swap

Vanguard VT Factsheet (2026) · Vanguard Total World Stock ETF (VT), Factsheet, Stand 30. September 2026

The Vanguard Group. Vanguard; abgerufen am 25.10.2026. Source

Index sampling: 10,185 stocks in the fund versus 10,221 in the FTSE Global All Cap; ten-year return of 12.32% a year (NAV) versus 12.40%.

Cited in: Index-Replikation: vollständige Replikation, optimiertes Sampling und Swap

White House (2025) · The President Signed into Law S. 1582 (GENIUS Act, 18. Juli 2025)

The White House. The White House; abgerufen am 25.10.2026. Source

Announcement of the signing of the GENIUS Act, which creates a legal framework for payment stablecoins in the US.

Cited in: Digital assets: tokenisation, stablecoins, crypto securities and the digital euro

Thorp (2006) · The Kelly Criterion in Blackjack Sports Betting, and the Stock Market

Thorp, Edward O.. Elsevier/North-Holland (Zenios und Ziemba, Hrsg.: Handbook of Asset and Liability Management, Bd. 1). doi:10.1016/s1872-0978(06)01009-x

An overview of the Kelly criterion in gambling and the stock market, including fractional Kelly and its practical limits.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Kelly-Kriterium: Wie viel setzen für maximales Wachstum? · Glossary: Kelly criterion

Thorp (2017) · A Man for All Markets: From Las Vegas to Wall Street, How I Beat the Dealer and the Market

Thorp, Edward O.. Random House.

An autobiography: from card counting at blackjack and hedging warrants and convertible bonds to the Princeton Newport Partners fund.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Tobin (1958) · Liquidity Preference as Behavior Towards Risk

Tobin, J.. The Review of Economic Studies 25 (2). doi:10.2307/2296205

Shows that every investor can hold the same portfolio of risky assets and vary only the share of the safe asset (separation theorem).

Cited in: CAPM: the capital asset pricing model and the security market line · Efficient frontier: Markowitz portfolio optimisation · Glossary: Separation theorem

Tong and Lim (1980) · Threshold Autoregression, Limit Cycles and Cyclical Data

Tong, H.; Lim, K. S.. Journal of the Royal Statistical Society Series B: Statistical Methodology 42 (3), pp. 245–268. doi:10.1111/j.2517-6161.1980.tb01126.x

Introduces threshold autoregressions (TAR): the model switches as soon as an observed variable crosses a threshold.

Cited in: Regime-Modelle: Hidden Markov, Markov-Switching und Co. · Glossary: Threshold model

Tóth et al. (2011) · Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets

Tóth, Bence; Lempérière, Yves; Deremble, Cyril; de Lataillade, Joachim; Kockelkoren, Julien; Bouchaud, Jean-Philippe. Physical Review X 1 (2), pp. 021006. doi:10.1103/PhysRevX.1.021006

Explains why the market impact of large orders executed in pieces grows with the square root of their size, and confirms the law with almost 500,000 of an asset manager's own futures trades from 2007 to 2010.

Cited in: Liquiditätsrisiko: Marktliquidität messen, Liquiditätsprämien und die Werkzeuge offener Fonds · Ordertypen und Ausführung: von der Limit-Order über MOC und VWAP bis zu TAS und BTIC · Glossary: Market impact

Tuckman and Serrat (2012) · Fixed Income Securities: Tools for Today's Markets

Tuckman, Bruce; Serrat, Angel. Wiley, 3rd edition.

Textbook on bond prices, day count conventions, spot and forward rates, duration, convexity, swaps and spread measures.

Cited in: Duration: how strongly bonds react to interest rates · Bond math: calculating price, yield, duration, convexity and spreads · Glossary: Accrued interest · Glossary: Day count convention · Glossary: Spot rate

Turnbull and Wakeman (1991) · A Quick Algorithm for Pricing European Average Options

Turnbull, Stuart M.; Wakeman, Lee MacDonald. The Journal of Financial and Quantitative Analysis 26 (3). doi:10.2307/2331213

A fast approximation for average options based on the moments of the average, checked against Monte Carlo.

Cited in: Option pricer: how Portfolio Lab values options

U

US Department of Justice (2020) · Pardons Granted by President Donald J. Trump (2017–2021): Michael Robert Milken, begnadigt am 18.02.2020

U.S. Department of Justice, Office of the Pardon Attorney. U.S. Department of Justice; abgerufen am 25.10.2026. Source

States Milken's conviction in the Southern District of New York for conspiracy, securities, mail and tax fraud, false filings with the SEC and aiding and abetting a broker's violations of net capital rules, as well as the sentence.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

US Section 871(m) Rules (2015) · 26 CFR § 1.871-15 – Treatment of dividend equivalents

U.S. Department of the Treasury; Internal Revenue Service. Code of Federal Regulations, Fassung beim Legal Information Institute der Cornell University; abgerufen am 25.10.2026. Source

Rules on dividend equivalents from derivatives on US equities; a qualified index with at least 25 constituents is treated as a single security that is not an underlying security.

Cited in: Basket Swaps, Total Return Swaps oder Futures: Markt-Exposure effizient aufbauen · Index-Replikation: vollständige Replikation, optimiertes Sampling und Swap · Glossary: Dividend equivalent

EIA (2024) · World Oil Transit Chokepoints

U.S. Energy Information Administration. U.S. Energy Information Administration, Country Analysis Brief, Stand 25.06.2024. Source

Oil volumes through the major chokepoints of seaborne trade from 2018 to 2023, from Malacca and Hormuz to Panama, and the share of oil transported by sea.

Cited in: Ship tracking data and satellite images: what they reveal about commodities · Glossary: Chokepoint (maritime trade)

SEC Rule 17a-7 (2005) · 17 CFR § 270.17a-7 – Exemption of certain purchase or sale transactions between an investment company and certain affiliated persons thereof (Fassung nach der Änderung von 2005)

U.S. Securities and Exchange Commission. Code of Federal Regulations, Fassung beim Legal Information Institute der Cornell University; abgerufen am 25.10.2026. Source

Permits transactions between funds of the same manager only for cash, at the independent current market price, without commission, in line with investment policy, and under board procedures with quarterly review and six-year record retention.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing · Glossary: Cross trade

SEC (2019) · Exchange-Traded Funds, Rule 6c-11 under the Investment Company Act (Release No. 33-10695, 25.9.2019) – Small Entity Compliance Guide

U.S. Securities and Exchange Commission. SEC; abgerufen am 25.10.2026. Source

The US ETF rule: daily disclosure of holdings before the market opens, custom baskets under written policies; non-transparent active ETFs remain subject to individual exemptive orders.

Cited in: Active ETFs: how they work and what they deliver

SEC (2021) · Staff Report on Equity and Options Market Structure Conditions in Early 2021

U.S. Securities and Exchange Commission. Bericht der Mitarbeiter der SEC vom 14.10.2021; abgerufen am 25.10.2026. Source

An analysis of trading in GameStop and other meme stocks in January 2021: price behaviour, short selling, trading restrictions and the role of online forums.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Glossary: Meme stock · Glossary: Short squeeze

SEC press release (2021) · SEC Charges App Annie and its Founder with Securities Fraud (Press Release 2021-176)

U.S. Securities and Exchange Commission. SEC, 14.09.2021; abgerufen am 25.10.2026. Source

The SEC's first case against an alternative data provider for securities fraud: confidential, non-anonymised data flowed into the estimates it sold, contrary to its assurances.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments

SEC, Rule 2a-5 (2021) · Good Faith Determinations of Fair Value (Final Rule, Rule 2a-5)

U.S. Securities and Exchange Commission. Federal Register 86, Nr. 3 vom 6.1.2021, S. 748–808, FR Doc. 2020-26971; abgerufen am 25.10.2026. Source

A rule on valuing fund assets at fair value; it requires oversight of pricing services that provide evaluated prices, matrix prices and similar estimates, and identifies their potential conflicts of interest.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing · Glossary: Matrix pricing

SEC, Investor Bulletin (2021) · Updated Investor Bulletin: Insider Transactions and Forms 3, 4, and 5

U.S. Securities and Exchange Commission. Investor.gov, Office of Investor Education and Advocacy der SEC, 26.1.2021; abgerufen am 25.10.2026. Source

Officers, directors and shareholders owning more than 10% of a class of shares report their transactions; Form 4 must be filed within two business days of the trade.

Cited in: Insider trading: what is prohibited, what is allowed and what directors' dealings reveal

SEC, Archegos (2022) · SEC Charges Archegos and Its Founder with Massive Market Manipulation Scheme (Pressemitteilung 2022-70)

U.S. Securities and Exchange Commission. SEC, 27.4.2022; abgerufen am 25.10.2026. Source

According to the SEC's complaint, the asset manager Archegos bought total return swaps worth billions on credit, reached an exposure of US$160 billion in March 2021, could not meet margin calls and caused billions in credit losses at its counterparties.

Cited in: Basket Swaps, Total Return Swaps oder Futures: Markt-Exposure effizient aufbauen · Glossary: Basket swap

SEC, Rule 10b5-1 (2022) · SEC Adopts Amendments to Modernize Rule 10b5-1 Insider Trading Plans and Related Disclosures (Pressemitteilung 2022-222 vom 14.12.2022, mit Fact Sheet zu Release No. 33-11138)

U.S. Securities and Exchange Commission. SEC; abgerufen am 25.10.2026. Source

Cooling-off periods for Rule 10b5-1 plans (directors and officers: the later of 90 days or two business days after the quarterly results, at most 120 days; others 30 days), certification, good faith, limits on overlapping and single-trade plans, and a checkbox on Form 4.

Cited in: Insider trading: what is prohibited, what is allowed and what directors' dealings reveal · Glossary: Rule 10b5-1 plan

SEC, Schedule 13D (2023) · SEC Adopts Amendments to Rules Governing Beneficial Ownership Reporting (Pressemitteilung 2023-219 vom 10.10.2023)

U.S. Securities and Exchange Commission. U.S. Securities and Exchange Commission; abgerufen am 25.10.2026. Source

Shortens the deadline for the initial Schedule 13D filing for holdings of more than 5% of a class of shares from ten days to five business days, with amendments due within two business days; also accelerates the deadlines for Schedule 13G.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Glossary: Schedule 13D

SEC, Panuwat (2024) · Matthew Panuwat (Litigation Release No. 25970 vom 8.4.2024; SEC v. Matthew Panuwat, No. 4:21-cv-06322, N.D. Cal.)

U.S. Securities and Exchange Commission. SEC; abgerufen am 25.10.2026. Source

Shadow trading: a Medivation employee who knew of Pfizer's planned takeover bought short-dated calls on the comparable company Incyte; the SEC sued in 2021, and a jury found in its favour on 5 April 2024.

Cited in: Insider trading: what is prohibited, what is allowed and what directors' dealings reveal · Glossary: Shadow trading

SEC, ether ETPs (2024) · Order Granting Accelerated Approval of Proposed Rule Changes, as Modified by Amendments Thereto, to List and Trade Shares of Ether-Based Exchange-Traded Products (Release No. 34-100224, 23. Mai 2024)

U.S. Securities and Exchange Commission. U.S. Securities and Exchange Commission; abgerufen am 25.10.2026. Source

Approval of the rule changes of NYSE Arca, Nasdaq and Cboe BZX for eight spot ether ETPs.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

SEC, TRACE (2025) · Financial Industry Regulatory Authority, Inc.; Notice of Filing of Proposed Rule Change SR-FINRA-2025-008 (TRACE-Meldefristen)

U.S. Securities and Exchange Commission. Federal Register 90, Nr. 117 vom 20.6.2025, FR Doc. 2025-11298; abgerufen am 25.10.2026. Source

FINRA has not implemented the reduction of the TRACE reporting deadline from 15 minutes to one minute for electronic trades approved in 2024; the 2025 proposal keeps the 15 minutes.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing

SEC, Cross Trading (2026) · Investment Company Cross Trading (Proposed Rule, Release No. IC-36358, File No. S7-2026-36)

U.S. Securities and Exchange Commission. SEC, 9.10.2026; abgerufen am 25.10.2026. Source

A proposal to allow cross trades also in securities valued using observable inputs (Level 2), at the next NAV or at a price from independent pricing sources, with new reporting on Form N-PORT.

Cited in: Market Making und Anleihenhandel: Spread, Inventar, Axes, RFQ, Cross Trades und Matrix Pricing

SEC, Form 13F (2026) · Frequently Asked Questions About Form 13F (Division of Investment Management, Stand 13.03.2026)

U.S. Securities and Exchange Commission. U.S. Securities and Exchange Commission; abgerufen am 25.10.2026. Source

Reporting obligation from US$100 million in Section 13(f) securities, a deadline of 45 days after quarter-end, no short positions or written options, an official list consisting mainly of US stocks and ETFs, confidential treatment on request, filing via EDGAR.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Glossary: 13F filing · Glossary: EDGAR

Uhlenbeck and Ornstein (1930) · On the Theory of the Brownian Motion

Uhlenbeck, G. E.; Ornstein, L. S.. Physical Review 36 (5), pp. 823–841. doi:10.1103/PhysRev.36.823

Brownian motion with friction: the model now known as the Ornstein-Uhlenbeck process, i.e. randomness plus a pull back towards equilibrium.

Cited in: Pairs-Trading und statistische Arbitrage: Idee, Methoden, Forschung · Long/short and statistical arbitrage: methodology · Glossary: Half-life (mean reversion) · Glossary: Ornstein-Uhlenbeck process

Ulmer et al. (2024) · Luxury watches: a viable alternative investment or mere speculative trend? An analysis of two decades before the pandemic

Ulmer, Simon; Schmid, Patrick; Widenhorn, Andreas. The Journal of Investment Strategies 13 (1), pp. 39–64. doi:10.21314/jois.2024.006

More than 60,000 watch auctions 1999–2020: collectible watches returned 5.5% a year in real terms (7.7% nominal) in US dollars and were positively correlated with inflation and equities.

Cited in: Collectibles as an investment: what art, wine, watches and classic cars really return

Senate Ethics Committee (2012) · Periodic Transaction Requirements (STOCK Act), 15.6.2012

United States Senate, Select Committee on Ethics. U.S. Senate Select Committee on Ethics; abgerufen am 25.10.2026. Source

Since 3 July 2012, senators have reported purchases, sales and exchanges of stocks, bonds and other securities above $1,000, including those of spouses and dependent children, within 30 days of becoming aware of them and no later than 45 days after the transaction; funds, ETFs and government bonds are exempt.

Cited in: Insider trading: what is prohibited, what is allowed and what directors' dealings reveal

Urwin (2025) · Total Portfolio Approach (TPA)

Urwin, Roger. Thinking Ahead Institute (WTW), Diskussionspapier April 2025; abgerufen am 25.10.2026. Source

Compares SAA and the total portfolio approach by benchmark, measure of success, capital allocation, roles and risk measurement, with case studies of large funds and results of a peer study of 26 investors.

Cited in: Strategic and tactical asset allocation and the total portfolio approach · Glossary: Total portfolio approach

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vdek (2025) · Familienversicherung – Gesamteinkommen, Unterhalt und Einkommensgrenzen

Verband der Ersatzkassen. Verband der Ersatzkassen, Stand 22.12.2025; abgerufen am 26.10.2026. Source

Income limit for family insurance in 2026: €565 per month, or €603 for mini-jobs.

Cited in: Kinderdepot or parents' account? Tax, gifts, BAföG and family health insurance

Verbraucherzentrale (2024) · Immobilienfinanzierung: So berechnen Sie, was Sie sich leisten können

Verbraucherzentrale. verbraucherzentrale.de, Stand 6.11.2024; abgerufen am 26.10.2026. Source

Lists the incidental purchase costs as real estate transfer tax of 3.5 to 6.5%, notary and land registry fees of 1 to 1.5% and, where applicable, a broker's commission.

Cited in: Rent or buy: user cost, purchase costs in 2026 and a 20-year wealth comparison

Verschuur et al. (2021) · Global economic impacts of COVID-19 lockdown measures stand out in high-frequency shipping data

Verschuur, Jasper; Koks, Elco E.; Hall, Jim W.. PLOS ONE 16 (4), pp. e0248818. doi:10.1371/journal.pone.0248818

Uses vessel tracking data to estimate the decline in seaborne trade in the first eight months of 2020 and the effect of individual COVID containment measures on exports.

Cited in: Ship tracking data and satellite images: what they reveal about commodities

Viceira (2001) · Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income

Viceira, Luis M.. The Journal of Finance 56 (2), pp. 433–470. doi:10.1111/0022-1082.00333

Working investors should hold more equities than retirees; income risk and a positive correlation between income and equities lower the share.

Cited in: Your whole wealth: total wealth from portfolio, home, human capital and car

Vidyamurthy (2004) · Pairs Trading: Quantitative Methods and Analysis

Vidyamurthy, Ganapathy. Wiley.

Textbook on pairs trading based on cointegration: pair selection, the spread, trading rules and risks.

Cited in: Pairs-Trading und statistische Arbitrage: Idee, Methoden, Forschung · Glossary: Pairs trading · Glossary: Pair spread · Glossary: Hedge ratio

Viterbi (1967) · Error bounds for convolutional codes and an asymptotically optimum decoding algorithm

Viterbi, A.. IEEE Transactions on Information Theory 13 (2), pp. 260–269. doi:10.1109/tit.1967.1054010

The origin of the Viterbi algorithm, which uses dynamic programming to find the most likely sequence of hidden states.

Cited in: Regime-Modelle: Hidden Markov, Markov-Switching und Co. · Regime methodology: how the hidden Markov model works · Glossary: Hidden Markov model · Glossary: Viterbi algorithm

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Wang (2003) · The behavior and performance of major types of futures traders

Wang, Changyun. Journal of Futures Markets 23 (1), pp. 1–31. doi:10.1002/fut.10056

Speculators and hedgers in 15 US futures markets: speculators' positions are associated with subsequent excess returns, although speculators do not forecast any better.

Cited in: Sentiment: methodology for the fear and greed index, put/call ratio and COT · Glossary: COT report

Waring et al. (2000) · Optimizing Manager Structure and Budgeting Manager Risk

Waring, M. Barton; Whitney, Duane; Pirone, John; Castille, Charles. The Journal of Portfolio Management 26 (3), pp. 90–104. doi:10.3905/jpm.2000.319719

Selecting active managers as an optimisation under a risk budget; the passive core comes out inversely proportional to the active risk budget.

Cited in: Core-satellite with a broad core and targeted satellites: costs, tracking error and rules

Waring and Siegel (2003) · The Dimensions of Active Management

Waring, M. Barton; Siegel, Laurence B.. The Journal of Portfolio Management 29 (3), pp. 35–51. doi:10.3905/jpm.2003.319882

Pure alpha costs active risk that is uncorrelated with the risk of the policy allocation; optimal structures rely on index funds and risk-controlled active funds.

Cited in: Core-satellite with a broad core and targeted satellites: costs, tracking error and rules

Waring (2004) · Liability-Relative Investing

Waring, M. Barton. The Journal of Portfolio Management 30 (4), pp. 8–20. doi:10.3905/jpm.2004.8

Asset allocation relative to liabilities: an efficient frontier for the surplus instead of for assets.

Cited in: Asset-liability management: aligning your wealth with future spending · Liability Driven Investing und Cashflow Driven Investing: Verbindlichkeiten mit Anleihen decken · ALM methodology: how Portfolio Lab measures assets against liabilities · Glossary: Surplus · Glossary: Liability-driven investing

Welch and Goyal (2008) · A Comprehensive Look at The Empirical Performance of Equity Premium Prediction

Welch, Ivo; Goyal, Amit. Review of Financial Studies 21 (4), pp. 1455–1508. doi:10.1093/rfs/hhm014

Many variables used to predict equity returns fail out of sample against the historical mean.

Cited in: Equity risk premium: how much more equities return and why it is a puzzle · Shiller P/E (CAPE): how expensive is the stock market? · The efficient market hypothesis: why it is so hard to beat the market · Prognosemodelle für Renditen: ARIMA, GARCH, LSTM und Machine Learning · Valuation with the Shiller P/E: methodology · Glossary: Return forecasts from valuation · Glossary: Out-of-sample R²

Whaley (2000) · The Investor Fear Gauge

Whaley, Robert E.. The Journal of Portfolio Management 26 (3), pp. 12–17. doi:10.3905/jpm.2000.319728

Explains the VIX as a fear gauge: it rises when stocks fall and reflects the demand for protection.

Cited in: VIX: how to read the stock market's fear gauge · Volatility dashboard: methodology · Glossary: Implied volatility

Whaley (2013) · Trading Volatility: At What Cost?

Whaley, Robert E.. The Journal of Portfolio Management 40 (1), pp. 95–108. doi:10.3905/jpm.2013.40.1.095

Shows that VIX futures products lose a great deal of value over the long run because of contango and roll losses.

Cited in: VIX: how to read the stock market's fear gauge · Volatility dashboard: methodology · Glossary: Rolling · Glossary: VIX future

Wilder (1978) · New Concepts in Technical Trading Systems

Wilder, J. Welles. Trend Research.

Introduces the Relative Strength Index (RSI) and other indicators with the smoothing method named after Wilder.

Cited in: Technical analysis, chart patterns and candlesticks from a quant perspective · Glossary: Relative strength index

Wilkens et al. (2003) · The Pricing of Structured Products in Germany

Wilkens, Sascha; Erner, Carsten; Röder, Klaus. The Journal of Derivatives 11 (1), pp. 55–69. doi:10.3905/jod.2003.319211

Reverse convertibles and discount certificates on the DAX and NEMAX traded almost without exception at a marked premium to their replication with Eurex options; the premium depended on moneyness and followed a life cycle.

Cited in: Warrants, turbos and certificates: what they are and what you pay on top · Glossary: Discount certificate · Glossary: Reverse convertible

Willenbrock (2011) · Diversification Return, Portfolio Rebalancing, and the Commodity Return Puzzle

Willenbrock, Scott. Financial Analysts Journal 67 (4), pp. 42–49. doi:10.2469/faj.v67.n4.1

The diversification return arises only through rebalancing and explains the good results of commodity indices.

Cited in: Rebalancing: getting your portfolio back on course · Volatility drag: why volatility costs you return · Jenseits von Markowitz: Schätzfehler, Rauschen und echte Diversifikation · Overfitting check and diversification return: the calculations in Backtest and Tactical · Glossary: Rebalancing bonus

Bundestag Research Services (2019) · Einzelfrage zu Steuerausfällen (Sachstand WD 4 - 3000 - 118/19, abgeschlossen am 16. September 2019)

Wissenschaftliche Dienste des Deutschen Bundestages. Deutscher Bundestag; abgerufen am 25.10.2026. Source

Compiles estimates of tax losses from cum-ex and cum-cum and stresses that reliable figures are lacking.

Cited in: Cum-ex and cum-cum: how the dividend trades worked and what applies today

Witzany (2021) · A Bayesian Approach to Measurement of Backtest Overfitting

Witzany, Jiří. Risks 9 (1), pp. 18. doi:10.3390/risks9010018

Proposes a Bayesian approach using Markov chain Monte Carlo simulation to measure overfitting when selecting from many strategies and to correct metrics such as the Sharpe ratio; tested on technical trading rules.

Cited in: Probability of Backtest Overfitting: Hält die beste Variante, was der Backtest verspricht?

Wolfers and Zitzewitz (2004) · Prediction Markets

Wolfers, Justin; Zitzewitz, Eric. Journal of Economic Perspectives 18 (2), pp. 107–126. doi:10.1257/0895330041371321

Survey: prediction markets usually deliver fairly accurate forecasts and beat most moderately sophisticated benchmark forecasts; depending on the contract, they reveal probabilities, means or medians.

Cited in: Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Prediction markets as bets on events: what they can and cannot do · Glossary: Prediction market

Woolman (2026) · Funding the U.S. Equity Market to New Heights

Woolman, Paul. CME Group, 28.7.2026; abgerufen am 25.10.2026. Source

The June 2026 roll of E-mini S&P 500 futures implied financing at 81 basis points over three-month SOFR, the highest June level since at least 2007; this is attributed to tight bank balance sheets amid high demand for US equities.

Cited in: Basket Swaps, Total Return Swaps oder Futures: Markt-Exposure effizient aufbauen · Overlay-Management mit Futures: Beta-, Duration- und Währungs-Overlay, Kontraktzahlen und Liquiditätsbedarf

Working (1960) · Note on the Correlation of First Differences of Averages in a Random Chain

Working, Holbrook. Econometrica 28 (4), pp. 916–918. doi:10.2307/1907574

Averaged prices of a pure random series have correlated changes (approaching 0.25) and lower variability; both are an artefact of averaging.

Cited in: Asset classes with a long history: methodology

GHG Protocol (2011) · Corporate Value Chain (Scope 3) Accounting and Reporting Standard – Executive Summary

World Resources Institute; World Business Council for Sustainable Development. WRI und WBCSD; abgerufen am 25.10.2026. Source

Defines Scope 1 (own operations), Scope 2 (purchased energy) and Scope 3 (the rest of the value chain in 15 categories) and notes that Scope 3 is often the largest source.

Cited in: ESG ETFs: SFDR, ratings, returns and the limits of sustainable funds · ESG methodology: sustainability in the look-through · Glossary: Scope 1 emissions · Glossary: Scope 2 emissions · Glossary: Scope 3 emissions

Wurgler and Zhuravskaya (2002) · Does Arbitrage Flatten Demand Curves for Stocks?

Wurgler, Jeffrey; Zhuravskaya, Ekaterina. The Journal of Business 75 (4), pp. 583–608. doi:10.1086/341636

Arbitrage between imperfect substitutes is risky; stocks without close substitutes jump more on inclusion in the S&P 500.

Cited in: Index-Effekt: Was bei Aufnahmen in einen Index und Streichungen mit den Kursen passiert

Wurstbauer and Schäfers (2015) · Inflation hedging and protection characteristics of infrastructure and real estate assets

Wurstbauer, Daniel; Schäfers, Wolfgang. Journal of Property Investment & Finance 33 (1), pp. 19–44. doi:10.1108/jpif-04-2014-0026

US 1991–2013: in the short term, only direct infrastructure provides a partial hedge against inflation; in the long term, direct and listed infrastructure and real estate move with inflation.

Cited in: Infrastructure investing: equity and debt, revenue models, valuation and research · Liquid real assets: inflation protection with tradable real assets in a portfolio

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Xiong et al. (2010) · The Equal Importance of Asset Allocation and Active Management

Xiong, James X.; Ibbotson, Roger G.; Idzorek, Thomas M.; Chen, Peng. Financial Analysts Journal 66 (2), pp. 22–30. doi:10.2469/faj.v66.n2.7

Once market movements are stripped out, allocation policy and active management explain the return differences within a peer group in equal measure.

Cited in: Strategic and tactical asset allocation and the total portfolio approach

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Yobaccio et al. (1995) · The Inflation-Hedging Properties of Risk Assets: The Case of REITs

Yobaccio, Elizabeth; Rubens, Jack; Ketcham, David. Journal of Real Estate Research 10 (3), pp. 279–296. doi:10.1080/10835547.1995.12090792

US REITs 1972–1992: partial protection against expected inflation, but a perverse reaction to unexpected inflation.

Cited in: Liquid real assets: inflation protection with tradable real assets in a portfolio

Yoshimoto (2025) · Three ways to address global equity index concentration

Yoshimoto, Catherine. LSEG/FTSE Russell Insights, 19.11.2025; abgerufen am 26.10.2026. Source

In September 1987, the US made up 37% of FTSE's global index, about as much as Japan, and in September 2025 just under two thirds; the diversification factor of the FTSE All-World fell from about 500 to just over 100.

Cited in: MSCI World vs ACWI vs FTSE All-World: structure, concentration and combinations

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Zhang and Jacobsen (2021) · The Halloween indicator, “Sell in May and Go Away”: Everywhere and all the time

Zhang, Cherry Y.; Jacobsen, Ben. Journal of International Money and Finance 110, pp. 102268. doi:10.1016/j.jimonfin.2020.102268

Using all available index data worldwide (62,962 observations), returns from November to April exceed those from May to October by 4% on average.

Cited in: Stock market seasonality: Sell in May, the January effect and how to test calendar effects · Glossary: Halloween effect

Zhang et al. (2016) · Early Warning Signals of Financial Crises with Multi-Scale Quantile Regressions of Log-Periodic Power Law Singularities

Zhang, Qun; Zhang, Qunzhi; Sornette, Didier. PLOS ONE 11 (11), pp. e0165819. doi:10.1371/journal.pone.0165819

Introduces DS LPPLS confidence and trust: quantile regressions over many time scales, tested on 16 historical bubbles.

Cited in: Spekulationsblasen: Was sie sind und wie das LPPLS-Modell sie sucht · Bubble indicator (LPPLS): methodology · Glossary: LPPLS confidence

Zhu (2019) · Big Data as a Governance Mechanism

Zhu, Christina. The Review of Financial Studies 32 (5), pp. 2021–2061. doi:10.1093/rfs/hhy081

Alternative data such as transaction data and satellite images lower the cost of acquiring information, make prices more informative and curb opportunistic insider trading by managers.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Glossary: Alternative data

Ziobrowski et al. (2004) · Abnormal Returns from the Common Stock Investments of the U.S. Senate

Ziobrowski, Alan J.; Cheng, Ping; Boyd, James W.; Ziobrowski, Brigitte J.. Journal of Financial and Quantitative Analysis 39 (4), pp. 661–676. doi:10.1017/s0022109000003161

Purchases by US senators from 1993 to 1998 beat the market by 85 basis points a month, while their sales lagged by 12 basis points.

Cited in: Insider trading: what is prohibited, what is allowed and what directors' dealings reveal

Zitzewitz (2003) · Who Cares About Shareholders? Arbitrage-Proofing Mutual Funds

Zitzewitz, Eric. Journal of Law, Economics, and Organization 19 (2), pp. 245–280. doi:10.1093/jleo/19.2.245

Funds calculate their net asset value from stale prices; arbitrage on predictable daily returns dilutes long-term investors.

Cited in: Index providers and valuation points: why the same index is calculated differently · Glossary: Fair value pricing

Zuckerman (2019) · The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution

Zuckerman, Gregory. Portfolio/Penguin.

A biography of Jim Simons and Renaissance Technologies, whose Medallion Fund trades on mathematical models and statistical patterns.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

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