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Editor’s Letter

Brian R. Bruce
The Journal of Index Investing Fall 2019, 10 (2) 1; DOI: https://doi.org/10.3905/jii.2019.10.2.001
Brian R. Bruce
Editor-in-Chief
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To open the Fall issue, Thiagarajan, Lacaille, Im, and Wang investigate transformations that have shaped today’s equity trading ecology with a particular focus on HFT. They report that HFT accounts for an increasingly significant share of equity trading volumes, and is associated with lower transaction costs, greater liquidity, improved price discovery, and overall market efficiency.

Our next two papers focus on ESG investing. Giese, Lee, Melas, Nagy, and Nishikawa provide a framework for the integration of ESG into benchmarks at various strategic levels—from the top policy benchmark level to the performance benchmark of individual allocations. In addition, they highlight the different investment objectives that asset owners may pursue when integrating ESG and how they can reflect these in their choice of ESG benchmarks. Mercereau, Sertã, and Gavini discuss how sustainable index funds promote sustainability by influencing firms’ cost of capital and by voting and engaging management. They find that promoting ESG creates financial value for shareholders.

Deep value strategies hold concentrated stock portfolios that trade at significant discounts to their intrinsic value. To complete this issue, Sharma, Si, and Smith develop a systematic deep value strategy that is designed to combine the concept of deep value investing while mitigating these risks. Using hypothetical back-tested index data, the deep value strategy has exhibited attractive risk-adjusted returns, including offering diversification to traditional value strategies.

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

Brian Bruce

Editor-in-Chief

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The Journal of Index Investing: 10 (2)
The Journal of Index Investing
Vol. 10, Issue 2
Fall 2019
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Editor’s Letter
Brian R. Bruce
The Journal of Index Investing Aug 2019, 10 (2) 1; DOI: 10.3905/jii.2019.10.2.001

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Editor’s Letter
Brian R. Bruce
The Journal of Index Investing Aug 2019, 10 (2) 1; DOI: 10.3905/jii.2019.10.2.001
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