Editor’s Letter

To open this issue, Murphy and Wright examine commodity-based leveraged ETFs to determine their ability to attain their stated objectives. Starnawska constructed the FTSE 100 Index with derivative instruments and analyzed it as a means of return enhancement. Next, Skinner and McCaughey explain the recent development in derivative claims focusing on Massachusetts law. They discuss the effects this law could have on mutual fund directors and their attorneys in responding to shareholders. There have been several papers written about the risks of holding leveraged or inverse ETFs for more than a day. Guedj, Li, and McCann present their estimations of holding periods for investors in these leveraged or inverse ETFs.

Dunham and Simpson examine the period between announcement date and effective date of index changes to determine whether fund managers can trade opportunistically during this period to reduce underperformance. Next, Haslem presents an updated version of the New Total Expense Ratio, focusing on the normative transparency of disclosure investors should be able to expect. This is followed by Shum’s examination of performance of international ETFs during the trading day in New York. She concludes that with their underlying markets closed they perform much like large-cap U.S. stocks. We conclude this issue with Gibbons’ discussion of regime switching models. All markets pass from one regime to another and this article examines what conclusions can be drawn from this.

We welcome your submissions. Please encourage those you know who have good papers or have made good presentations on indexing, ETFs, mutual funds, or related subjects to submit them to us. We value your comments and suggestions, so please email us at journals{at}investmentresearch.org.

Brian R. Bruce

Editor-in-Chief

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