Skip to main content

Main menu

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

Editor’s Letter

Brian R. Bruce
The Journal of Beta Investment Strategies Fall 2017, 8 (2) 1; DOI: https://doi.org/10.3905/jii.2017.8.2.001
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 begin the Fall issue with Johansson and Johansson’s argument that investment style biases can be avoided by estimating a fair value that not only considers economic size metrics but also controls for individual stocks’ heterogeneous risk and reward characteristics independent from market price. Curcio and Dickerson test the premise that leveraged exchange-traded funds, used beyond a single day or very short time periods, will lead to value destruction.

In our special section on low volatility, D’Auria and McDermott investigate the major low and minimum volatility indexes used as benchmarks for the largest ETFs in the space and find that the indexes examined provide superior risk-adjusted performance relative to a market capitalization benchmark. De Franco, Monnier, and Rulik assess the exposure of stock portfolios sorted by total volatility to interest rate risk and determine whether this nonequity risk can explain differences in risk and risk-adjusted returns between low- and high-volatility portfolios over a 25-year period for U.S. equities. Alighanbari, Doole, and Melas show that simple constraints could be used effectively in minimum volatility strategies to manage risks beyond volatility.

Next, Alonso and Barnes report that portfolio country weights can vary widely depending on the currency used in calculating risk and provide empirical evidence that the currency of the risk calculation should match the currency used in evaluating the portfolio’s performance. Staines, Wu, Li, and Romahi discuss the value of simplifying portfolio construction and demonstrate a simple method that can be used to build more robust volatility-lowering portfolios.

We conclude the issue with Brzenk and Soe, who use the S&P 500 Low Volatility Index and S&P 500 Minimum Volatility Index to show that there are meaningful differences regarding the indexes’ risk/return profiles, sector composition, and factor exposures, which suggest that market participants should conduct thorough due diligence on sources of returns and evaluate whether active risks taken are compensated or not.

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.

TOPICS: Analysis of individual factors/risk premia, exchange-traded funds and applications, portfolio construction

Brian Bruce

Editor-in-Chief

  • © 2017 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: 8 (2)
The Journal of Beta Investment Strategies
Vol. 8, Issue 2
Fall 2017
  • 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 Beta Investment Strategies Aug 2017, 8 (2) 1; DOI: 10.3905/jii.2017.8.2.001

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 Beta Investment Strategies Aug 2017, 8 (2) 1; DOI: 10.3905/jii.2017.8.2.001
del.icio.us logo Digg logo Reddit logo Twitter 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
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

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 2154-7238 | E-ISSN: 2374-135X

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