Academic Papers
Combined, we at Sentinel Wealth believe the insights gained from the articles below are instrumental to developing long-term strategies to maximize your assets, enhance your quality of life and allow you to achieve your personal and financial goals.
Due to copyright restrictions, Sentinel is unable to provide copies of all articles listed, where this is the case we have suggested a website where you may find the article.
Asset allocation
The True Impact of Asset Allocation on Returns - IbbotsonJanuary 2000
This paper reviews studies that questioned the validity of the importance of asset allocation and re-confirmed that asset allocations, are in fact responsible for nearly 100% of returns.
Article may be found on other websites including www.ifa.com
July 1999
This paper examines how investment policy has a greater effect on the portfolio's return than the sponsor or manager, transaction costs, market timing, or stock selection.
Article may be found on other websites including www.ifa.com
August 1986
Asset allocation should be at the centre of every investor's investment process. This paper demonstrates that asset allocation determined 94% or long-term return.
Article may be found on other websites
Financial Theory
Charactersistics, Covariance's and Average Returns: 1929-97 - Davis, Fama and FrenchFebruary 1999
There is a significant volume of research evidencing that value stocks historically provide investors a premium relative to growth stocks. This paper documents that phenomenon in U.S. stocks from 1927 to 1997.
The Cross-Section of Expected Stock Returns - Fama and FrenchJune 1992
First paper to present the three factor model. This model made great strides in providing investors a model to analyze equity returns incorporating small and value stock premiums.
Portfolio Selection - Harry MarkowitzMarch 1952
Nobel Prize winning paper that redefined modern finance. This paper led the way in redefining risk and return at the portfolio level rather than looking at the risk and return of individual securities.
Article may be found on other websites including www.ifa.com
International Investing
The Performance of UK Equity Unit Trusts - Quigley & SinquefieldFebruary 2001
This paper explored that just like in the US, UK based investors substantially lagged the market indices and would have been better off utilizing a passive or index based approach.
Where are the Gains from International Diversification - Rex A. SinquefieldApril 1995
This paper identified that the real gains from international investing are not from EAFE based equities but international small and value stocks.
Market efficiency
Mutual Fund Performance and Managers Style - James L. DavisMay 2000
This study looked at various styles of investment management and reviews the ability of managers to outperform the market when compared to an appropriate style benchmark.
Market Efficiency: Long Term returns and Behavioral Finance - Eugene F. FamaJuly 1997
Many studies have been done over the years to try to find so-called anomolies that may indicate the market is not completely efficient. This paper identifies that the studies falter when closely scrutinised.
Active Management: Active versus Passive Management - Rex A. SinquefieldOctober 1995
A compelling case for adopting a passive approach to investing.
Random Walks in Market Price - Eugene F. FamaJanuary 1995
This paper began a strong debate that still brews today. It was the first to explore how investment activity is random in financial markets thus leading to market efficiency.
The Arithmetic of Active Management - William F. SharpeJanuary 1991
Parable published by Nobel Prize winning economist William F. Sharpe that tells the story of the ongoing challenge of active managers to prove their worth relative to an index approach.
Article may be found on other websites including www.ifa.com
January 1976
Articale by Nobel Prize winning economist William F. Sharp proves that in aggregate, index funds must outperform active investors given simple arithmetic assumptions.
Article may be found on other websites including www.ifa.com
January 1944
This paper is one of the first to explore the inability of investors to forecast or predict the market. The paper covers a 15 year period ending 1943.
Article may be found on other websites including www.ifa.com
Taxes
Is your Alpha Big Enough to Cover its Taxes: The Active Management Dichotomy - Jeffery & ArnottJanuary 1993
U.S. based study - even if a manager manages to beat the market before taxes, it is nearly impossible to outperform the market after the increased capital gains taxes ineviably caused by increased turnover.
Article may be found on other websites including www.ifa.com