We open our Spring issue with Kuo and Li’s discussion of low volatility strategies. They look at the biases created by many of these strategies and provide an alternative with investor-friendly attributes. Giese addresses the question of how far and in what way leveraged ETFs can be used for long-term investing. Investor overconfidence, strategic fund repricing decisions, fund “sentiment contrarian behavior,” and investor dependence on brokers with agency-conflicted incentives are all considered by Haslem in examining the question of why investors continue to buy underperforming actively managed mutual funds. This is followed by Hughen and Ma examining whether the interest in short selling as a predictive value for future stock returns extends to foreign ETFs. A discussion of a methodology to determine the optimal proportional investment strategies for ETFs, using GARCH, GJR, and Kelly criterion, is presented by Zhou, Kim, and Peirce.
In this issue we also feature a special section on Asset Allocation Alpha. The section includes Thatcher’s introduction to the topic, Philips’ discussion of benchmark construction, Hsu and Shakernia’s decomposition of asset allocation alpha, and Johnson and Barnhart’s examination of market timing strategies versus buy and hold investing from the perspective of readily available finance and macro-economic variables.
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
Footnotes
Publisher’s Note:
Institutional Investor, the Publisher of The Journal of Index Investing, wants to extend a special thanks to the sponsor for supporting The Journal of Index Investing. Please note that no sponsor has influence on the editorial content found in The Journal of Index Investing. Representatives from any firm are encouraged to submit an article to our independent editor, Brian R. Bruce, for review and prospective acceptance into the publication. All editorial submissions, acceptances, and revisions are the sole decision of Mr. Bruce. The editorial submission guidelines are found on the last page of the publication. I hope that you enjoy this and future issues of The Journal of Index Investing. Thank you.
Allison Adams
Group Publisher, Institutional Investor Journals, aadams{at}iijournals.com
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