Research Associate (Finance)
Cambridge Centre for Finance (CCFin)/Cambridge Endowment for Research in Finance (CERF)
BS, MEng (Cornell University), PhD (University of Arizona)
My research is primarily in asset pricing and asset management. In both areas, I strive to understand the sources of outperformance – alphas. In asset pricing, where alphas are plentiful, I test whether our alphas are the result of paper arbitrage trades, exposure to omitted risks, or biases due to the omission of non-equity assets. In asset management, where alphas are scarce, I propose an alternative measure for manager performance.
Awards and honours
- Semi-finalist, Best Paper on Investments Award, Financial Management Association (FMA) Annual Meeting, 2023
News and insights
Research centre news
Mutual fund performance measurement
Jaffe Greenwald, CERF post-doctoral researcher, develops a new measure for an equity mutual fund’s return performance. Jaffe finds that one in 4 mutual funds outperform a random risk-matched portfolio. In addition, mutual funds with a history of outperforming tend to maintain their outperformance.