Editor’s Letter

Our Summer 2011 issue included an article by Robert Arnott entitled “Better Beta Explained: Demystifying Alternative Equity Index Strategies.” We begin this issue with a commentary by Noël Amenc that questions the methodology of the analysis done in Arnott’s article. In the second article, Robert Shapiro and Ric Thomas discuss gold as a superior inflation hedging tool. This is followed by Brian Boscaljon, Greg Filbeck, and Xin Zhao’s examination of the efficiency of the S&P 500 Index, the benchmark of choice for U.S. domestic equity market portfolios. Andrew Clark presents a new way of measuring stock liquidity utilizing price and bid–ask spread, and John Haslem examines the fees paid by 401(k) pension plans for their investments in mutual funds.

Steven Dolvin and Jill Kirby examine momentum trading in ETFs under the trading rule “there’s always a bull market somewhere.” This is followed by an article by Larry Prather, Ting-Heng Chu, Imtiaz Mazumder, and Che-Chun Lin, who investigate alternative S&P 500 indexing strategies utilizing mutual funds and SPDRs. Manu Sharma and Rajnish Aggarwal examine returns of several Dow Jones Credit Suisse Hedge Fund broad indexes and determine that they dwindled to a lesser degree than other market indexes during 2008–2009 period. Next K. Vaidyanathan provides evidence that the assets under management for mutual fund families in the U.S. follow a Pareto distribution. We conclude this issue with a review by Bruce Costa, Keith Jakob, and Scott Niblock of the risk-adjusted returns of socially responsible mutual funds; they find that SRI mutual fund managers may not be selecting benchmark indexes that are reflective of the fund’s risk characteristics.

We welcome your submissions. Please encourage those you know who have good papers or who 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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