Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JII
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Index Investing
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Index Investing

The Journal of Index Investing

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JII
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Article
Open Access

Editor’s Letter

Brian R. Bruce
The Journal of Index Investing Spring 2016, 6 (4) 2; DOI: https://doi.org/10.3905/jii.2016.6.4.002
Brian R. Bruce
Editor-in-Chief
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF
Loading

We open the Spring issue by discussing sectoral shifts in the market and the economy. The drivers of long-run returns in the market are growth and shifts in certain sectors. In his commentary, using data on the U.S. economy and the sectors of the S&P 500 covering the period 1991–2015, Blitzer demonstrates these shifts. Amenc, Goltz, and Lodh analyze the claims of monkey portfolio proponents, who argue that all smart beta strategies generate positive value and small-cap exposure, which fully explains the strategies’ outperformance. They then present several results that directly contradict the monkey portfolio claims. In 2014 and 2015, Sachs and Tiong surveyed investors and managers and asked, “CTAs—How do they do it?” Their article presents the survey results, the index construction, and how well the index represents the CTA industry.

Next Lu, Holzhauer, and Wang investigate the online search frequency of Google users to explore how traders’ responses to information asymmetry would predict future market liquidity. Staines presents a framework for sizing investments in non-risk-weighted indexes to satisfy risk budgeting objectives. A number of measures of index diversification are considered, and an application to equity indexes is presented. Konstantinovsky, Laipply, and Phelps discuss market efficiency. Using their proprietary measures of liquidity, they investigate the informational efficiency of the USD investment-grade corporate bond market.

Rompotis focuses on water exchange-traded funds (ETFs), namely the ETFs that are invested in several companies involved in the water business, such as entities that conserve and purify water and those that develop equipment and technology used by the water industry. In our final article, Sireklove describes the performance impact of a fossil fuel reserve or energy sector screen on an S&P 500 Index–based portfolio.

We welcome your submissions. Please encourage those you know who have good articles 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 Bruce

Editor-in-Chief

  • © 2016 Pageant Media Ltd

PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Index Investing: 6 (4)
The Journal of Index Investing
Vol. 6, Issue 4
Spring 2016
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Index Investing.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Editor’s Letter
(Your Name) has sent you a message from The Journal of Index Investing
(Your Name) thought you would like to see the The Journal of Index Investing web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Editor’s Letter
Brian R. Bruce
The Journal of Index Investing Feb 2016, 6 (4) 2; DOI: 10.3905/jii.2016.6.4.002

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Editor’s Letter
Brian R. Bruce
The Journal of Index Investing Feb 2016, 6 (4) 2; DOI: 10.3905/jii.2016.6.4.002
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • Editor’s Letter
  • Editor’s Letter
  • Editor’s Letter
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 2154-7238 | E-ISSN: 2374-135X

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies