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John C. Bogle The Vanguard Group and Bogle Financial Markets Research Center

“ In the very first issue of The Journal of Portfolio Management, way back in 1974, Paul Samuelson demanded ‘brute evidence’ that particular money managers could beat the stock market on ‘a repeatable, sustainable basis.’ He found none. That article—‘Challenge to Judgment’—played a major role in my decision, less than a year later, to start the world’s first index mutual fund. Today index funds constitute the lion’s share of some $3.2 trillion of assets entrusted to Vanguard by our shareholders. So, thank you, Paul Samuelson; thank you, founding editor Peter Bernstein; and thank you, Journal of Portfolio Management, which I continue to read—and to learn from— to this day.”

Robert Engle Stern School of Business New York University Nobel Prize in Economics (2003)

“ The Journal of Derivatives is a highly respected outlet for publication in a wide range of topics relevant for derivative pricing and risk management. The authors are predominantly academics and the articles are all peer reviewed. I find it an important outlet for my research and find many useful articles published there.”

Mark Anson Commonfund

“ I have found the II Journals to provide high-quality research for both the academic and the practitioner. In particular, I find The Journal of Portfolio Management, The Journal of Private Equity, The Journal of Alternative Investments, and The Journal of Investing to be highly informative.”

Mike Sebastian Aon Center for Innovation and Analytics (ACIAÒ) in Singapore

“ I began my career in investments reading JPM. It¹s a must-read for anyone who practices the art and science of finance.”

John A. Haslem

Robert H. Smith School of Business, University of Maryland

“ I began publishing with II Journals in 2001 and have found them to be ideal for my primarily mutual funds research designed to engage both finance professionals and academics with similar interest”

Cliff Asness AQR Capital Management, LLC

“ The Journal of Portfolio Management is literally required reading for anyone in the field of quantitative finance. If it had horoscopes and sports, I wouldn’t need any other periodicals.”

James P. Garland CFA, The Jeffrey Company

“ Ignorance isn’t bliss. The Journal of Portfolio Management is an invaluable tool for those serious practitioners who want to understand investments. With rigorous research plus practical advice, the Journal should be a core holding in every investor’s intellectual portfolio.”

Marcos López de Prado Guggenheim Partners

“ I view The Journal of Portfolio Management as the main synaptic connection between the industry and leading academics. It should be mandatory reading in every business school. Arguably, no other journal has had a comparable influence on both sides of the divide over the last four decades.”

The Voices of Influence

Table of Contents

Stay Connected

Special Editorial Calendar

2 Special Issues

Publishing Calendar

3 Journals & Special Issues

Publication Descriptions

4 The Journal of Portfolio Management

6 The Journal of Retirement

8 The Journal of Index Investing

10 The Journal of Trading

12 The Journal of Investing

14 The Journal of Alternative Investments

16 The Journal of Wealth Management

18 The Journal of Private Equity

20 The Journal of Fixed Income

22 The Journal of Derivatives

24 The Journal of Structured Finance

26 Practical Applications

Print Advertising Opportunities

28 Journals and Guides Rates

29 Journals Mechanical Specs

30 Special & Custom Print

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Digital Advertising Opportunities

31 Digital Rates

and Integrated Content Promotion

Custom Webcasting Programs

33 Webcast Presentations

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special issues and guides

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guidesJPM special issues

JOI

SPECIAL ISSUESEDITORIAL CALENDAR

Pension & Longevity Risk Transfer for Institutional Investors

Mailing Date: September 30, 2018

Space Close: August 15, 2018 Materials Due: September 1, 2018

The Journal of Portfolio Management / Quantitative Strategies: Factor Investing Special Edition

Mailing Date: March 31, 2018

Space Close: February 15, 2018 Materials Due: March 1, 2018

The Journal of Investing FinTech Special Section

Mailing Date: TBD

Space Close: TBD Materials Due: TBD

PENSION & LONGEVITYRISK TRANSFER

for INSTITUTIONAL INVESTORS

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MULTI-ASSET STRATEGIES | SPECIAL ISSUE | DECEM

BER 2017

CONTRIBUTORS: ANDREW W. ALFORD | NOËL AMENC | ANDREW ANG | CLIFFORD ASNESS | ROBERT BASSJENNIFER BENDER | STEPHEN W. BIANCHI | SWATI CHANDRA | PAULA COCOMA | MEGAN CZASONIS | ELROY DIMSON

FRÉDÉRIC DUCOULOMBIER | MIKHEIL ESAKIA | FRANK J. FABOZZI | SCOTT GLADSTONE | LISA R. GOLDBERG | FELIX GOLTZANTTI ILMANEN | RONEN ISRAEL | JANG HO KIM | WOO CHANG KIM | MARK KRITZMAN | WAI LEE | DING LIU

PAUL MARSHEUGENE PODKAMINER | DMITRY A. RAKHLIN | ALLAN ROSENBERG | STEPHEN A. ROSS | RITIRUPA SAMANTASIVAGAMINATHAN SIVASUBRAMANIAN | MIKE STAUNTON | DAVID TURKINGTON

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MULTI-ASSET STRATEGIES

The Journal of Portfolio Management Stephen Ross Special Issue

Mailing Date: June 30, 2018

Space Close: May 15, 2018 Materials Due: June 1, 2018

The Journal of Portfolio Management / Multi-Asset Strategies Special Edition

Mailing Date: December 31, 2017

Space Close: November 15, 2018 Materials Due: December 1, 2018

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CONTRIBUTORS: ANDREW W. ALFORD | NOËL AMENC | ANDREW ANG | CLIFFORD ASNESS | ROBERT BASSJENNIFER BENDER | STEPHEN W. BIANCHI | SWATI CHANDRA | PAULA COCOMA | MEGAN CZASONIS | ELROY DIMSON

FRÉDÉRIC DUCOULOMBIER | MIKHEIL ESAKIA | FRANK J. FABOZZI | SCOTT GLADSTONE | LISA R. GOLDBERG | FELIX GOLTZANTTI ILMANEN | RONEN ISRAEL | JANG HO KIM | WOO CHANG KIM | MARK KRITZMAN | WAI LEE | DING LIU | PAUL MARSH

EUGENE PODKAMINER | DMITRY A. RAKHLIN | ALLAN ROSENBERG | STEPHEN A. ROSS | RITIRUPA SAMANTASIVAGAMINATHAN SIVASUBRAMANIAN | MIKE STAUNTON | DAVID TURKINGTON

STEPHEN R. ROSSSpecial Issue 2018

A Tribute to

SPONSORED BY:

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Q UA N T I TAT I V E S T R AT EG I E S:FAC TO R I N V E S T I N G


SPECIAL ISSUE2017

SPONSORED BY

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ARCH 2017

CONTRIBUTORS: ANDREW W. ALFORD | NOËL AMENC | ANDREW ANG | CLIFFORD ASNESS | ROBERT BASSJENNIFER BENDER | STEPHEN W. BIANCHI | SWATI CHANDRA | PAUL A COCOMA | MEGAN CZ ASONIS | ELROY DIMSON

FRÉDÉRIC DUCOULOMBIER | MIKHEIL ESAKIA | FRANK J. FABOZZI | SCOT T GL ADSTONE | LISA R. GOLDBERG | FELIX GOLTZANT TI ILMANEN | RONEN ISRAEL | JANG HO KIM | WOO CHANG KIM | MARK KRITZMAN | WAI LEE | DING LIU | PAUL MARSH

EUGENE PODK AMINER | DMITRY A. RAKHLIN | ALL AN ROSENBERG | STEPHEN A. ROSS | RITIRUPA SAMANTASIVAGAMINATHAN SIVASUBRAMANIAN | MIKE STAUNTON | DAVID TURKINGTON

The Journal of Investing Environmental, Social, & Governance (ESG) Special Section

Mailing Date: TBD


T H E J O U R N A L O F

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7 GO BIG OR GO HOME: THE CASE FOR AN EVOLUTION IN RISK TAKINGMIKE SEBASTIAN

16 OPTIMIZING PORTFOLIOS WITH ALLOCATIONS TO INSURED DEATH BENEFIT: A PROPOSED METHODOLOGY FOR EVALUATIONROBERT G. DANIELSEN, SERGEY S. BARABANOV, JOHN SCHWEERS, AND MICHAEL F. SULLIVAN

28 COMBINING QUANTITATIVE AND FUNDAMENTAL ANALYSIS: A QUANT-AMENTAL APPROACHEDWARD N.W. AW, CHRISTOPHER R. DORNICK, AND JOHN Q. JIANG

44 ENHANCING THE INVESTMENT PERFORMANCE OF YIELD-BASED STRATEGIESWESLEY R. GRAY AND JACK VOGEL

51 AN EMPIRICAL EXAMINATION OF EX ANTE ESTIMATES OF THE MARKET RISK PREMIUMAUSTIN MURPHY, LIANG FU, AND TERRY BENZSCHAWEL

59 DIM SUM BONDS: A RETURN AND RISK ANALYSISHUNG-GAY FUNG, GLENN KO, AND JOT YAU

69 WHY SHOULD YOU INVEST IN THE BEST COMPANIES TO WORK FOR?VICHET SUM

74 A LONG-TERM PERSPECTIVE FOR PENSION FUND PORTFOLIOS IN CHILE, PERU, AND MEXICODAVID TUESTA AND CARLOS HERRERA

92 INITIAL PUBLIC OFFERINGS AND LONG-TERM PERFORMANCETHEODOR TONCA

ESG: SPECIAL SECTION

96 INVESTOR BEHAVIOR UNDER CHANGING MARKET VOLATILITYAGUSTÍN DAVIOU AND FLORENTINA PARASCHIV

114 MOMENTUM’S HIDDEN SENSITIVITY TO THE STARTING DAYPHILIP Z. MAYMIN, ZAKHAR G. MAYMIN, AND GREGG S. FISHER

124 EXTREME VALUES THEORY AND RETURN LEVEL ANALYSIS FOR CATASTROPHE PREDICTIONAMITESH KAPOOR AND UTKARSH SHRIVASTAVA

Fall 2017 Volume 23 Number 2 THEORY & PRACTICE FOR FUND MANAGERS

INVESTOR BEHAVIOR UNDER CHANGING

FLORENTINA PARASCHIV

MOMENTUM’S HIDDEN SENSITIVITY TO THE STARTING DAY GREGG S. FISHER

ENVIRONMENTAL, SOCIAL,

& GOVERNANCE

(ESG)special section



6 MEASURING INVESTOR OVERREACTIONRAY R. STURM

18 WHY NOT DIVERSIFY INTO EMERGING EQUITY MARKETS VIA ADRS?TIAN YUAN, RAKESH GUPTA, AND EDUARDO ROCA

28 THE RETIREMENT GLIDEPATH: AN INTERNATIONAL PERSPECTIVEJAVIER ESTRADA

55 DIVIDENDS, PROFITABILITY, AND LIFECYCLE INVESTINGWAI MUN FONG AND ZHEHAN ONG

64 IDIOSYNCRATIC MOMENTUM: U.S. AND INTERNATIONAL EVIDENCEDENIS B. CHAVES

77 SWING PRICING 101: A CLOSER LOOK AT THE DEALING COSTS OF INVESTMENT FUNDS ACROSS THE GLOBEMILAN BORKOVEC, VITALY SERBIN, AND ZHECHAO ZHOU

90 IS THE ARITHMETIC OR HARMONIC MEAN THE BEST VALUATION ESTIMATE?DANIEL YANUSHEVSKY AND RAFAEL YANUSHEVSKY

SPECIAL SECTION: FINTECH

96 THE IMPACT OF SUSTAINABLE INVESTMENT STRATEGIESKEVIN D. MAHN

103 BEST PRACTICES IN ESG INVESTINGHERB BLANK, GREGG SGAMBATI, AND ZACK TRUELSON

113 CAN ESG ADD ALPHA? AN ANALYSIS OF ESG TILT AND MOMENTUM STRATEGIESZOLTÁN NAGY, ALTAF KASSAM, AND LINDA-ELING LEE

125 USEFULNESS OF ASSET4 ESG FOR SOCIALLY RESPONSIBLE INVESTING IN A SMALL ECONOMY RASHID AMEER

136 SIN IS IN: AN ALTERNATIVE TO SOCIALLY RESPONSIBLE INVESTING?GREG M. RICHEY

SUMMER 2017 Volume 26 Number 2 THEORY & PRACTICE FOR FUND MANAGERS

FinTechspecial section

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Thought-Leading Sponsor

The Journal of Investing Smart Beta Special Section

Mailing Date: TBD




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7 GO BIG OR GO HOME: THE CASE FOR AN EVOLUTION IN RISK TAKINGMIKE SEBASTIAN

16 OPTIMIZING PORTFOLIOS WITH ALLOCATIONS TO INSURED DEATH BENEFIT: A PROPOSED METHODOLOGY FOR EVALUATIONROBERT G. DANIELSEN, SERGEY S. BARABANOV, JOHN SCHWEERS, AND MICHAEL F. SULLIVAN

28 COMBINING QUANTITATIVE AND FUNDAMENTAL ANALYSIS: A QUANT-AMENTAL APPROACHEDWARD N.W. AW, CHRISTOPHER R. DORNICK, AND JOHN Q. JIANG

44 ENHANCING THE INVESTMENT PERFORMANCE OF YIELD-BASED STRATEGIESWESLEY R. GRAY AND JACK VOGEL

51 AN EMPIRICAL EXAMINATION OF EX ANTE ESTIMATES OF THE MARKET RISK PREMIUMAUSTIN MURPHY, LIANG FU, AND TERRY BENZSCHAWEL

59 DIM SUM BONDS: A RETURN AND RISK ANALYSISHUNG-GAY FUNG, GLENN KO, AND JOT YAU

69 WHY SHOULD YOU INVEST IN THE BEST COMPANIES TO WORK FOR?VICHET SUM

74 A LONG-TERM PERSPECTIVE FOR PENSION FUND PORTFOLIOS IN CHILE, PERU, AND MEXICODAVID TUESTA AND CARLOS HERRERA

92 INITIAL PUBLIC OFFERINGS AND LONG-TERM PERFORMANCETHEODOR TONCA

SMART BETA: SPECIAL SECTION

96 INVESTOR BEHAVIOR UNDER CHANGING MARKET VOLATILITYAGUSTÍN DAVIOU AND FLORENTINA PARASCHIV

114 MOMENTUM’S HIDDEN SENSITIVITY TO THE STARTING DAYPHILIP Z. MAYMIN, ZAKHAR G. MAYMIN, AND GREGG S. FISHER

124 EXTREME VALUES THEORY AND RETURN LEVEL ANALYSIS FOR CATASTROPHE PREDICTIONAMITESH KAPOOR AND UTKARSH SHRIVASTAVA

Fall 2017 Volume 23 Number 2 THEORY & PRACTICE FOR FUND MANAGERS

SMART BETA

special section

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Practical Applications Multi-Asset Special Issue

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Sponsored by

Risk-Based Approaches to Multi-Asset

Strategies Pg. 4

R. Evan Inglis and David R. Wilson Pg. 9 Brian J. Jacobsen Pg. 13

Gueorgui Konstantinov Pg. 16 Antti Paatela, Elias Noschis, and Ari-Pekka Hameri Pg. 19

Edward N.W. Aw, Stephen J. LaPerla, and Gregory Y. Sivin Pg. 23 Wei Ge Pg. 27

Gerald Garvey, Ronald N. Kahn, and Raffaele Savi Pg. 30

Antti Ilmanen, David G. Kabiller, Laurence B. Siegel, and Rodney N. Sullivan Pg. 34

Borrowing the best of DB Plans to help

DC Plans Pg. 34

The LONG and short of long-term care. Pg. 34

Multi-Asset Special Issue

№ 1Volume 5

Fall 2017

www.practicalapplications.com

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February Issues

Space Materials Cover Reservation Due Date

Jan 15 Feb 1 Feb 28

May Issues


April 15 May 1 May 31

November Issues


Oct 15 Nov 1 Nov 30

August Issues


July 15 Aug 1 Aug 31

January Issues


Dec 15 Jan 1 Jan 31

April Issues


March 15 April 1 April 30

October Issues


Sept 15 Oct 1 Oct 31

July Issues


June 15 July 1 July 31

JOURNALS PUBLISHING CALENDAR

JII Spring / JOI Spring / JPE Spring / JOD Spring

JII Summer / JOI Summer / JPE Summer / JOD Summer

JII Winter / JOI Winter / JPE Winter / JOD Winter

JII Fall / JOI Fall / JPE Fall / JOD Fall

JPM Winter / PA Winter / JWM Spring

JSF Winter / JOR Winter

JPM SP / PA SP / JWM SU / JSF SP / JOR SP

JPM Fall / PA Fall / JWM Winter / JSF Fall / JOR

JPM SU / PA SU / JWM Fall / JSF Summer / JOR SU

JAI Spring / JFI Spring / JOT Spring

JAI Summer / JFI Summer / JOT Summer

JAI Winter / JFI Winter / JOT Winter

JAI Fall / JFI Fall / JOT Fall

JPM–Quantitative Strategies: Factor Investing Special Edition

Guide – Pension & Longevity Risk Transfer for Institutional Investors

JPM–A Tribute to Stephen R. Ross Special Edition

March Issues


Feb 15 March 1 March 31

June Issues


May 15 June 1 June 30

December Issues


Nov 15 Dec 1 Dec 31

September Issues


Aug 15 Sept 1 Sept 30

4 JPM

The Journal of Portfolio Management (JPM) is a definitive source of thought-leading analyses and practical techniques that many institutional investors turn to for insight on the financial markets. JPM offers cutting-edge research on all major topics in investments, including asset allocation, performance measurement, market trends, portfolio optimization, and risk management. The topics to be included, but are not limited to, asset allocation, portfolio construction, security selection, risk management, performance measurement, controlling transaction costs, portfolio optimization, quantitative asset techniques, factor-based investing, and back testing methodologies. Invited editorials in each quarterly issue cover important issues facing the profession. Periodically the journal publishes a special issue on topics of current interest.

See page 2 for thematic special issues.

publication calendar

Edition Reservation Date Art Materials Due Cover Date

Winter 2018 December 15, 2017 January 1, 2018 January 31, 2018

Spring 2018 March 15, 2018 April 1, 2018 April 30, 2018

Summer 2018 June 15, 2018 July 1, 2018 July 31, 2018

Fall 2018 September 15, 2018 October 1, 2018 October 31, 2018

advertising rates – Complete Rate Card on Page 28

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EDITORIAL COMMENT: Frank J. Fabozzi and Sergio M. Focardi

INVITED EDITORIAL COMMENT: Don Ezra and Geoffrey J.Warren

Active Portfolio Management and Positive Alphas: Fact or Fantasy?

Robert A. JarrowSignal WeightingRichard Grinold

Thinking about Indices and “Passive” versus Active Management

Russell J. Fuller, Bing Han, andYiningTung

Constraint Attribution

Robert A. Stubbs and DieterVandenbussche

The Properties of Equally Weighted Risk Contribution Portfolios

Sébastien Maillard,Thierry Roncalli, and JérômeTeïletche

Rewarding Fundamentals

Eric H. Sorensen and Sanjoy Ghosh

Portfolios Weighted by Repurchase and Total Payout

Jack Clark Francis, Christopher Hessel, JunWang, and Ge Zhang

Reflections on Buy-Side Risk Management After (or Between) the Storms

BennettW. Golub and Conan C. Crum

The Problems and Challenges of High-Yield Bond Benchmarking

Robert Levine, Eve Drucker, and Steven Rosenthal

Market-Based Default Rate Forecasting

Karen Sterling amd Martin Fridson

Warren Buffett, Black–Scholes, and theValuation of Long-Dated Options

Bradford Cornell

Educational Endowments in Crises

William N. Goetzmann, John Griswold, andYung-Fang (Ayung)Tseng

A Style-Based Market Risk Model for Hedge Fund Portfolios

Xuelong Zhou,Adam Litke, and Michael McLaughlin

VOLUME 36 NUMBER 4

SUMMER 2010

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INVITED EDITORIAL COMMENTS

Robert F. Engle and AndrewW. LoCrisis and Innovation

Robert J. Shiller

Risk Management Lessons Worth Remembering

from the Credit Crisis of 2007–2009

BennettW. Golub and Conan C. Crum

Accentuated Intraday Stock PriceVolatility: What Is the Cause?

Deniz Ozenbas, Michael S. Pagano, and Robert A. Schwartz

Finding FairValue in Global Equities: Part II—Forecasting Returns

Kevin Daly,Anders Ersbak Bang Nielsen, and Peter Oppenheimer

Stocks of Admired and Spurned Companies

Deniz Anginer and Meir Statman

AValuation Study of Stock Market Seasonality and the Size Effect

Zhiwu Chen and Jan Jindra

Do Seasonal Anomalies Still Work?

Constantine Dzhabarov andWilliamT. Ziemba

Volatility Exposure for Strategic Asset Allocation

Marie Brière,Alexandre Burgues, and Ombretta Signori

Valuation-Indifferent Weighting for Bonds

Robert D.Arnott, Jason C. Hsu, Feifei Li, and Shane D. Shepherd

A Bond-Picking Model for Corporate Bond Allocation

Mathieu L’Hoir and Mustafa Boulhabel

VOLUME 36 NUMBER 3

SPRING 2010

www.iijpm.com


JPM_Cover.qxp:Cover 4/19/10 1:00 PM Page 1

INVITED EDITORIAL COMMENTS

Mohamed A. El-Erian; Ronald N. Kahn

Portfolio of Risk Premia: A New Approach to Diversification

Jennifer Bender, Remy Briand, Frank Nielsen, and Dan Stefek

Horizon Diversification: Reducing Risk in a Portfolio of Active Strategies

Simon Polbennikov,Albert Desclée, and Jay Hyman

Efficient Replication of Factor Returns: Theory and Applications

Dimitris Melas, Raghu Suryanarayanan, and Stefano Cavaglia

KnowYourVMS Exposure

Roger Clarke, Harindra de Silva, and StevenThorley

Maybe It Really Is Different This TimeRobert C. Jones

Optimizing Carry Pickup in Real Money Portfolios

PavanWadhwa and Christian O’Donnell

Finding FairValue in Global Equities: Part I

Jessica Binder,Anders Ersbak Bang Nielsen, and Peter Oppenheimer

Regimes: Nonparametric Identification and Forecasting

Hakan Kaya,Wai Lee, and Bobby Pornrojnangkool

The Ps of Pricing and Risk Management, Revisited

Vineer Bhansali

Correlation andVolatility Dynamics in REIT Returns:

Performance and Portfolio Considerations

Peng Fei, Letian Ding, and Yongheng Deng

Illiquidity and Portfolio Risk of Thinly Traded Assets

Ping Cheng, Zhenguo Lin, andYingchun Liu

VOLUME 36 NUMBER 2www.iijpm.com

WINTER 2010

Tribute to Paul Samuelson by Robert C. Merton


Announcing

The 11th Annual

Bernstei

n Fabozzi

/Jacobs Levy

Awards

IIJ-JPM-COVER:TOC 1/20/10 11:40 AM Page 1

On the Persistence of Style ReturnsStan Beckers and Jolly Ann Thomas

Finding Better Securities while Holding Portfolios: Is Stochastic Dominance the Answer?

Haim ShalitDesigning the New Policy Portfolio: A Smart, but Humble Approach

Frederick E. DopfelA Scenarios Approach to Asset AllocationSusan GoslingMeasuring Global Systemic Risk: What Are Markets Saying about Risk?

Rodney N. Sullivan, Steven P. Peterson, and David T. Waltenbaugh

Offensive Risk Management II: The Case for Active Tail Hedging

Vineer Bhansali and Joshua M. Davis

On the Consistent Use of VaR in Portfolio Performance Evaluation: A Cautionary Note

Valeri Zakamouline

Is Patience a Virtue? The Unsentimental Case for the Long View in Evaluating Returns

David L. Donoho, Robert A. Crenian, and Matthew H. Scanlan

The Empirical Law of Active Management: Perspectives on the Declining Skill of U.S. Fund Managers

Edouard Sénéchal

The Sustainability of Endowment Spending Levels: A Wake-up Call for University Endowments

Gregory P. Ho, Haim A. Mozes, and Pavel Greenfield

VOLUME 37 NUMBER 1

FALL 2010

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Q UA N T I TAT I V E S T R AT EG I E S:FAC TO R I N V E S T I N G


SPECIAL ISSUE2017

SPONSORED BY

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TITATIVE STRATEGIES: FACTO

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RCH 2017

CONTRIBUTORS: ANDREW W. ALFORD | NOËL AMENC | ANDREW ANG | CLIFFORD ASNESS | ROBERT BASS

JENNIFER BENDER | STEPHEN W. BIANCHI | SWATI CHANDRA | PAUL A COCOMA | MEGAN CZ ASONIS | ELROY DIMSON

FRÉDÉRIC DUCOULOMBIER | MIKHEIL ESAKIA | FRANK J. FABOZZI | SCOT T GL ADSTONE | LISA R. GOLDBERG | FELIX GOLTZ

ANT TI ILMANEN | RONEN ISRAEL | JANG HO KIM | WOO CHANG KIM | MARK KRITZMAN | WAI LEE | DING LIU | PAUL MARSH

EUGENE PODK AMINER | DMITRY A. RAKHLIN | ALL AN ROSENBERG | STEPHEN A. ROSS | RITIRUPA SAMANTA

SIVAGAMINATHAN SIVASUBRAMANIAN | MIKE STAUNTON | DAVID TURKINGTON

SPECIAL ISSUE / DECEMBER 2017

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MULTI-ASSET STRATEGIES / SPECIAL ISSUE / DECEM

BER 2017

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THOMAS MCFARREN / VINCENT MILHAU / PETER NYSTRUP / SÉBASTIEN PAGE / K. STUART PESKIN / THOMAS RAFFINOTADRIENNE ROSS / LAURA RYAN / MICHAEL SENOSKI / OMID SHAKERNIA / CHARLES SHRIVER / JOSEPH SIMONIAN

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The Journal of Retirement (JOR) is both a scholarly and practitioner-focused journal that presents cutting-edge retirement research. JOR explores a diverse range of subjects, including retirement preparedness, pension plan design, behavioral finance, risk management strategies, demographics, longevity, social security, regulatory policy, and financial literacy and education.

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RETIREMENT FALL 2013 Volume 1 Number 2 www.iijor.comThe Glidepath Illusion… and Potential SolutionsROBERT D. ARNOTT, KATRINA F. SHERRERD, AND LILLIAN WUAlpha, Beta, and Now… GammaDAVID BLANCHETT AND PAUL KAPLANApplying a Stochastic Financial Planning System to an Individual:

Immediate or Deferred Life Annuities?AGNIESZKA KAROLINA KONICZ AND JOHN M. MULVEYLegacy Stabilization Using Income Annuities

MATTHEW B. KENIGSBERG AND PRASENJIT DEY MAZUMDARA Goal-Focused Approach to Full Funding: Making Pension Plans More Adaptive to Change

ANDY HUNT AND STUART JARVISDo Mutual Fund Companies Eat Their Own Cooking?TOMAS DVORAK AND JIGME NORBUConverting Traditional Defined Benefit Plans to Hybrid Plans:

A Decade of ChangeROBERT L. CLARK, ALAN GLICKSTEIN, AND TOMEKA HILLDeveloping and Disseminating Financial Guidelines for Retirement Planning

WILLIAM G. GALE AND BENJAMIN H. HARRISProviding Longevity Insurance Annuities:

A Comparison of the Private Sector versus Social SecurityJOHN A. TURNER

Thought Leadership Sponsor

TH

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RETIREMENT SUMMER 2013 Volume 1 Number 1 www.iijor.com

IntroductIon to the Inaugural IssueGEORGE A. (SANDY) MACKENZIE

Retirement Income for Participants in Defined Contribution Plans and Holders of IRAs: Recent Developments in Immediate Life Annuities and Other Income Products

MARK J. WARSHAWSKY

Framing Lifetime IncomeJEFFREY R. BROWN, JEFFREY R. KLING, SENDHIL MULLAINATHAN, and MARIAN V. WROBEL

The Economic Implications of the Department of Labor’s 2010 Proposals for Broker-Dealers

ALICIA H. MUNNELL, ANTHONY WEBB, and FRANCIS M. VITAGLIANO

Disability: A Threat to Long-Term Financial Security Is Growing More Serious in a World of Increasing Individual Responsibility

ANNA M. RAPPAPORT

Can the Risk of Medical Expenditure Explain the Wealth Trajectories of Elderly Singles?

SUDIPTO BANERJEE

Be Kind to Your Retirement Plan—Give It a BenchmarkDANIEL P. CASSIDY, MICHAEL W. PESKIN, LAURENCE B. SIEGEL, and STEPHEN SEXAUER

Pitfalls in RetirementDAVID LASTER, ANIL SURI, and NEVENKA VRDOLJAK

Analyzing an Income Guarantee Rider in a Retirement PortfolioWADE D. PFAU

Investment Performance, Inflation, and Taxes: Redefining History’s Bear MarketsMATTHEW B. KENIGSBERG

Optimizing Retirement Income: An Adaptive Approach Based on Assets and Liabilities

YUAN-AN FAN, STEVE MURRAY, and SAM PITTMAN

Thought Leadership Sponsor

TH

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*Based on a 12 month circulation average from November 2017 or December 2017. Not indicative of every issue. Quantities may vary by issue.

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Dynamic Choice and Optimal AnnuitizationDAVID BLANCHETT, Morningstar Investment Management

National Retirement Risk Index (NRRI) Update Shows Half of Working-Age Americans Still Falling ShortALICIA H. MUNNELL, WENLIANG HOU, and ANTHONY WEBB,

Center for Retirement Research

Standard and Behavioral Life-Cycle Theories and Public PolicyMEIR STATMAN, Santa Clara University

Autonomous Portfolio: A Decumulation Investment Strategy That Will Get You ThereIOULIA TRETIAKOVA and MARK S YAMADA, PUR Investing Inc.

Social Security Claiming Strategies for Widows and WidowersWILLIAM REICHENSTEIN, Baylor University and Social Security Solution, Inc. and WILLIAM MEYER, Social Security Solution, Inc.

The Glidepath Illusion… and Potential SolutionsROBERT D. ARNOTT, KATRINA F. SHERRERD, and LILLIAN WU,

Research Affiliates

The Trimmed Bootstrap: An Empirical Simulation Technique for Pension Finance ResearchersBRETT DORAN and GRAHAM BORNHOLT, Griffith University

Retirement Income for Participants in Defined Contribution Plans and Holders of IRAs: Recent Developments in Immediate Life Annuities and Other Income ProductsMARK J. WARSHAWSKY, Towers Watson

U.S. Retirement Policy Considerations for the 21st CenturySYLVESTER J. SCHIEBER, former Chairman of the Social Security Advisory Board,

retired from Towers Watson and is currently an Independent Consultant

Minimizing the Risk of Opportunity Loss in the Social Security Claiming DecisionBRIAN J. ALLEVA, Social Security Administration

most-read articles from 2017

circulation highlights

The Journal of Retirement has a targeted circulation that includes CFOs, Heads of HR, benefit consultants within plan sponsors, pension funds, and other relevant professionals.


http://jor.iijournals.com

8 JII

editor Brian R. Bruce

subscription price $929


launch date 2010

circulation 1,000*

The Journal of Index Investing (JII) provides coverage of the latest innovations in Exchange-Traded Funds (ETFs), Exchange-Traded Products (ETPs), and Indexes. It offers rigorous research and analysis of products, sector allocations, and investment strategies for those creating or investing in index products. JII addresses challenging ideas and practical tools that help investors to optimize investment prospects, identify innovative uses for indexes, ETFs and ETPs, and incorporate the latest research in the market into their own investment plans. It has a long history of exclusively publishing articles on beta-based products and offering timely analysis of this growing field. JII is essential to understanding the growth and innovation in the index and exchange-traded product marketplace today - this market continues to evolve and requires fresh research and strategy discussions on an ongoing basis; JII seeks to meet that challenge.



Spring 2018 January 15, 2018 February 1, 2018 February 28, 2018

Summer 2018 April 15, 2018 May 1, 2018 May 31, 2018

Fall 2018 July 15, 2018 August 1, 2018 August 31, 2018

Winter 2018 October 15, 2018 November 1, 2018 November 31, 2018


* Based on a 12-month circulation average from October 2015 to September 2016. Not indicative of every issue. Quantities may vary by issue. Format breakdown is 60% print and 40% digital eBook.

1× Insertion

4 × Insertion

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Europe 4.50%


THE JOURNAL OF

ETFs, ETPs & Indexing

FALL 2017 VOLUME 8 NUMBER 2 | www.IIJII.com


ETFs within a Mutual Fund’s PortfolioPhysical versus Futures-Based Replication:

The Case of Commodity ETFs

Long-Term Rewarded Equity Factors:

What Can Investors Learn from Academic Research? How Different Are Alternative

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D. ELI SHERRILL, Illinois State University;

SARA E. SHIRLEY, Roger Williams University;

AND JEFFREY R. STARK, Bridgewater State UniversityGERASIMOS G. ROMPOTIS

National and Kapodistrian University of Athens

NOËL AMENC AND FELIX GOLTZ

EDHEC-Risk Institute and ERI Scientific Beta

CARMINE DE FRANCO, BRUNO MONNIER,

JOHANN NICOLLE, AND KSENYA RULIK OssiamREY SANTODOMINGO, VASSILII NEMTCHINOV, AND TIANCHUAN LI

Parametric Portfolio Associates LLCMEHDI ALIGHANBARI AND CHIN PING CHIA

MSCI

MICHAEL R. HUNSTADNorthern Trust Asset Management

JENNIFER BENDER, XIAOLE SUN, AND TAIE WANG State Street Global Advisors

JOE STAINES, WEI (VICTOR) LI, AND YAZANN ROMAHI J.P. Morgan Asset Management

SPECIAL SECTION: SMART BETA

THE JOURNAL OF


SUMMER 2017 VOLUME 7 NUMBER 1 | www.IIJII.com


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Stock Price Volatility of Banks and Other

Financials Emanating from the Inception

of Leveraged, Inverse, and Traditional ETFsCovariance Patterns of the Commodity and Equity Markets: A Recent SurpriseAn Equity Portfolio Framework for Combining Active

Management and Index-Based ImplementationMutual Fund Governance and Fund Performance

Expect More from Your Smart BetaThe Latest Wave in Advanced Beta: Combining Value, Low Volatility, and QualityNo Silver Bullets in Investing (Just Old Snake Oil in New Bottles)The Smart Beta Indexing Puzzle

Value Investing: Smart Beta versus Style IndexesSmart Beta: Building Low-Volatility Portfolios of ETFsMaking Your Smart Beta Even SmarterSmart Beta ETFs: A Bird’s-Eye View of the Market

and Analysis of its Performance Trends

12

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Kent State University and University of Central Florida,

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MICHAEL W. CROOK UBS

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JASON HSU

Research Affiliates, LLC and UCLA Anderson School of ManagementVINCENT DENOISEUX Deutsche Asset & Wealth ManagementSABRINA CALLIN AND OLIVIA ALBRECHT PIMCOSEDDIK MEZIANI Montclair State University


THE JOURNAL OF


SPRING 2017 VOLUME 7 NUMBER 4 | www.IIJII.com


Commentary: Sectoral Shifts in the Market and the EconomySmart Beta Is Not Monkey Business

A Liquid and Investable Benchmark Index for the Commodity Trading Advisor and Managed Futures IndustryOnline Search Frequency, Information Asymmetry, and Market LiquidityComponent Risk Parity: Using Traditionally Weighted Indexes in an Equal Risk FashionLiquidity and Market Efficiency: Cash Corporates, ETFs, and CDX

Evaluating a New Hot Trend: The Case of Water Exchange-Traded FundsFossil-Free Investing

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DAVID M. BLITZER S&P Dow Jones Indices

NOËL AMENC, EDHEC Risk Institute and ERI Scientific Beta FELIX GOLTZ, EDHEC Risk Institute and ERI Scientific Beta AND ASHISH LODH, ERI Scientific Beta

TILLMANN SACHS, J8 Capital Management LLP AND ROBERT L.K. TIONG, Nanyang Technological University

XING LU, Indiana University South Bend HUNTER M. HOLZHAUER, University of Tennessee at Chattanooga AND JUN WANG, University of Montevallo

JOE STAINES J.P. Morgan Asset Management

VADIM KONSTANTINOVSKY, Barclays Capital, Inc. STEPHEN A. LAIPPLY, BlackRock, Inc. AND BRUCE D. PHELPS, Barclays Capital, Inc.

GERASIMOS G. ROMPOTIS National and Kapodistrian University of Athens

JENNIFER SIREKLOVE Parametric

THE JOURNAL OF

ETFs, ETPs & IndexingWINTER 2016 VOLUME 7 NUMBER 3 | www.IIJII.com

THE JOURNAL OF INDEX INVESTING ETFs | ETPs | INDEXINGW

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Commentary: Governments and Stock Markets

Decomposing Fundamental Indexation

The Cross-Section of Liquid Absolute Return Funds

Practical Investing: Evaluating Actively Managed Mutual Funds in Relation to Their Respective Indexes

On the Use of Leveraged-Inverse ETFs to Hedge Risk in Publicly Traded Mortgage Portfolios

Where Have All the Utilities Gone? Financials Now Dominate a Crowded Low Volatility World

Pricing Efficiency and Price Discovery of Indian Equity ETFs

DAVID M. BLITZER S&P Dow Jones Indices

GREGG S. FISHER, Gerstein Fisher RONNIE SHAH, Gerstein Fisher

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JIM BRYAN AND WILLIAM DePLEDGE Fresno Pacific University

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ANTHONY A. RENSHAW Axioma, Inc.

G. ADITYA, Sri Sathya Sai Vidya Vahini, Center of Excellence Training AND RUCHIR DESAI, Sri Sathya Sai Institute of Higher Learning


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Controlled circulation copies are distributed to buy side firms for organizational use.

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10 JOT




launch date 2006

circulation 290*

The Journal of Trading (JOT) offers in-depth analysis of new tools and strategies in institutional trading and demonstrates how to use them in a practical way. JOT aims to provide critical intelligence on algorithmic trading, pre- and post-trade analysis, liquidity issues, trading platforms, best execution, research strategies, and analytical models. Themes frequently covered in JOT include assessing trading strategies, measuring trade execution performance, analyzing transaction costs, evaluating commission allocations, and avoiding trading pitfalls.

The Journal of Trading was launched with the mission of educating investment professionals by providing critical knowledge and in-depth analysis of the latest strategies and trends in institutional trading.



Spring 2018 February 15, 2018 March 1, 2018 March 31, 2018

Summer 2018 May 15, 2018 June 1, 2018 June 30, 2018

Fall 2018 August 15, 2018 September 1, 2018 September 30, 2018

Winter 2018 November 15, 2018 December 1, 2018 December 31, 2018



JOTW W W . I I J O T . C O M

S P R I N G 2 0 1 5 V O L U M E 1 0 N U M B E R 2

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5 A Comparative Analysis on the Volume-ReturnRelationship of the Exchange-

Traded Fund and the Stock Market

Jung-Chu Lin, Takming University of Science and Technology; and Vichet Sum, University ofMaryland Eastern Shore

23 The State of Play inEuropean Over-the-Counter Equities TradingPeter Gomber, Goethe University; Satchit Sagade, Goethe University;

Erik Theissen, University ofMannheim; Moritz Christian Weber,

Goethe University; and Christian Westheide, University

of Mannheim

High-FrequencyTrading: Special Section34 Expected Return in High-Frequency TradingRick Cooper and Ben Van Vliet, Illinois Institute

of Technology

41 The Effects ofAlgorithmic Trading onSecurity Market Quality

Frederick H. deB. Harris, Wake Forest University

54 First Steps inDeveloping High-Frequency TradingModels Bruce Vanstone and Tobias Hahn,

Bond University

72 Effects of High-FrequencyTrading in the MultidealerSpot Foreign Exchange

Anatoly Schmidt, NYU PolytechnicInstitute of Engineering

79 Should More Be Done toAddress High-FrequencyTrading?Jason M. Valdez, Penserra Securities LLC

81 Recommendations forEquitable Allocation ofTrades in High-Frequency

Trading EnvironmentsJohn McPartland, Federal ReserveBank of Chicago

101 Two Years after “TheGood, the Bad, and theUgly” of Automated

High-Frequency TradingTommi A. Vuorenmaa, Triangle Intelligence

103 What Is Wrong withCanada’s CapitalMarkets?Jos Schmitt, Aequitas Innovations Inc.

JOT-COVER.qxp:Layout 1 3/17/15 11:24 AM Page 1JOT6 The Cost of Liquidity in the FX Market

Milan Borkovec, James Cochrane, Ian Domowitz, and Christopher Escobar,

ITG

21 Trading Strategies Around EarningsAnnouncementsPadma Kadiyala, Pace University

37 Evaluation of Systematic Trading ProgramsMikhail Munenzon, Reformation Technologies

56 On the Trading Behavior of Emerging Market ETFsGerasimos G. Rompotis, National and Kapodistrian University of Athens

87 A Framework for Stop-Loss Analysison Trading Strategies Oliver Chan and Alfred Ka Chun Ma,

CASH Axiom Capital Limited

96 Does Broker Competition in Liquidity Supply Matter?Kristoffer Kevin Avila, The University of Sydney Business School; Joel Fabre, SMBC Nikko Securities Inc.; and Elvis Jarnecic,The University of Sydney Business School

W I N T E R 2 0 1 5 V O L U M E 1 0 N U M B E R 1

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F A L L 2 0 1 5 V O L U M E 10 N U M B E R 4WWW . I I J O T . C O M


5Performance Measurements for Machine-Learning Trading SystemsDror Parnes, Washington State University

17Predictable ETF Order Flows and Market Quality Hendrik Bessembinder,

Arizona State University

24Top 50 Australian Stocks’ Exchange Dark Pool Participation Rate David Stocken, Stocken Consulting

and Andrew McCauley, Veritas Securities

Special Section: Venue Analysis

29Garbage In, Garbage Out: An Optical Tour of the Role of Strategy in Venue Analysis

Ian Domowitz, Kristi Reitnauer, and Colleen Ruane, ITG

40Competition and Innovation in Option-Market Models Asli Ascioglu, Bryant University;

Richard Holowczak, Baruch College; David Louton, Bryant University; and Hakan Saraoglu, Bryant University

51A Tale of Two Consequences Ravi Kashyap, Markit and City University of Hong Kong

Th

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1× Insertion

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$10,546

$8,437

$33,748


11TITLE




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WEB FEATURES Average Monthly Page Views for jot.iijournals.com: 4,922*











Firm

JOB

AUM

Firm

JOB

AUM

Firm

JOB

AUMcirculation demographics*

Under $50 million

20%



20%

Over $100 billion

40%


100% of the respondents answered with the above AUM.

Firm Type

100% of the respondents answered with the above firm types.

Brokerage

15%


5%

Job Function


Portfolio Manager

15%

Trader

23%


15%

Analyst

8%

Risk Management

8%

Quantitative Analyst

23%


35%Asset Allocator/

Pension Fund or Public Fund

5%Hedge Fund

10%

Mutual Fund

5%

Investment Researcher

8%


15%


10%

http://jot.iijournals.com

12 JOI

The Journal of Investing (JOI) is a scholarly journal for the financial services industry, appealing to both the academic and practitioner audiences. JOI offers practical analysis and leading-edge investment strategies used in the investment profession today. Articles lay out implementable models and critical insights on a range of current investment topics. JOI focuses on easy-to-read analysis that is applicable across many markets, including practical information on emerging markets, asset allocation, retirement planning, and rebalancing portfolios. JOI offers access to the most promising investment opportunities worldwide—proven ideas and advice that can help to maximize assets and manage portfolios more effectively.








* Based on a 12 month circulation average from November 2017 or December 2017. Not indicative of every issue. Quantities may vary by issue.


WINTER 2016 Volume 25 Number 4

THEORY & PRACTICE FOR FUND MANAGERS

Volume 25 N

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7 IN DEFENSE OF ALL-ACTIVE MANAGER STRUCTURES

HAMILTON LEE AND JACQUELINE WILLIAMS

20 FRONTIER MARKET INVESTING: ACTIVE VERSUS PASSIVE

LARRY SPEIDELL 27 RISK AND VOLATILITY: A DIFFERENTIAL VIEW

KOROK RAY 34 THE ALPHAS OF ASSET ALLOCATORS

DON M. CHANCE 51 HOW DO MUNICIPAL BONDS BEHAVE WITHOUT TAX EXEMPTION?

RUSTIN T. YERKES, LAUREN W. BATES, AND SARA HELMS McCARTY

64 SMART CURRENCY HEDGING FOR SMART BETA GLOBAL EQUITIES

SANNE de BOER 79 DETERMINANTS OF SHORT INTEREST TRADING

HARLAN PLATT AND LANGXUAN YIN

87 WHY GOLD HAS A REAL RETURN—AND HOW TO VALUE IT

JULIAN VAN ERLACH 97 SHARE ISSUANCE AND EXPECTED RETURNS

AROUND THE WORLDADAM ZAREMBA AND SZYMON OKON

SPECIAL SECTION: LIABILITY-DRIVEN INVESTING

109 ASSESSING LOW-VOLATILITY ASSETS IN THE LDI FRAMEWORK

WEI GE

121 LDI: LOW YIELDS, CUSTOMIZATION, AND MANAGING

DOWNSIDE RISK—AVOIDING A “MEXICAN STANDOFF”

SEAN KURIAN 134 COMMERCIAL MORTGAGES: AN ALTERNATIVE TO LONG

CORPORATE BONDS FOR PENSION PLAN DE-RISKING

XISUO LOUIS LIU 142 LONG BONDS FOR THE SHORT RUN

R. EVAN INGLIS AND DAVID R. WILSON

special section

LIABILITY-DRIVEN INVESTING


FALL 2017 Volume 26 Number 3


Volume 26 N

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7 COMMENTARY: PASSIVE INVESTING AND MARKET EFFICIENCY

BRADFORD CORNELL 10 WHEN DO PE RATIOS MATTER?HAIM A. MOZES AND HANNAH ROZEN

21 RISK PREMIUM OF SOCIAL MEDIA SENTIMENT

PATRICK HOULIHAN AND GERMÁN G. CREAMER

29 EQUITY DURATION AND PORTFOLIO RISK MANAGEMENT

JOHN B. BROUGHTON AND BENTO J. LOBO

41 VALUE EFFECT AND MACROECONOMIC RISK

CATHY XUYING CAO, CHONGYANG CHEN, AND VINAY DATAR

53 SIZE MATTERS: TAIL RISK, MOMENTUM, AND TREND FOLLOWING

IN INTERNATIONAL EQUITY PORTFOLIOS

ANDREW CLARE, JAMES SEATON, PETER N. SMITH, AND STEPHEN THOMAS

65 PROTECTING AGAINST LOSS: PROTECTIVE PUT STRATEGIES

VERSUS STOP-LOSS STRATEGIESRYAN McKEON AND MARKO SVETINA

77 DYNAMIC LIQUIDITY AND MUTUAL FUND PERFORMANCE

QIANG BU AND NELSON LACEY 89 SCALING UP MARKET ANOMALIES

DORON AVRAMOV, SI CHENG, AMNON SCHREIBER,

AND KOBY SHEMER

SPECIAL SECTION: VOLATILITY 107 A CONTINUOUS RETURN MODEL FOR THE

LOW-VOLATILITY AND LOW-BETA ANOMALIES

ANNA AGAPOVA, ROBERT FERGUSON,

AND DEAN LEISTIKOW 121 MANAGING U.S. STOCK MARKET OIL PRICE

RISK USING EXCHANGE-TRADED FUNDS

ROBERT PATTERSON, RICHARD HASKELL,

AND RONALD MANO 129 IMPLIED VOLATILITY CHANGES AS EVIDENCE

OF STOCK PRICE DISEQUILIBRIUMDEAN DIAVATOPOULOS AND ANDY FODOR

144 SYSTEMATIC DIVERSIFICATION USING BETAPAUL BOUCHEY, TIANCHUAN LI,

AND VASSILII NEMTCHINOV

VOLATILITYspecial section



SUMMER 2017 Volume 26 Number 2


FIXED INCOMEspecial section

6 HOW WIDESPREAD AND PREDICTABLE IS STOCK BROKER MISCONDUCT?CRAIG McCANN, CHUAN QIN, AND MIKE YAN 26 DIVIDEND-YIELD STRATEGIES: A NEW BREED OF DOGSGREG FILBECK, HUNTER M. HOLZHAUER,

AND XIN ZHAO

48 SECTOR MOMENTUMJUN WANG, ROBERT BROOKS, XING LU, AND HUNTER M. HOLZHAUER

61 STOCKS SHOULD BE VALUED WITH A TERM STRUCTURE OF REQUIRED RETURNSGARY SMITH AND ALBERT XU

69 NOTE ON RATIONALITYJOSEPH CALANDRO, JR.

SPECIAL SECTION: FIXED INCOME 78 BOND PORTFOLIO HOLDING PERIOD RETURN DECOMPOSITIONROBERT BROOKS AND KATE UPTON 91 ON THE DYNAMICS OF EMU BOND PORTFOLIOS:

IS THE DIVERSIFICATION OF RISK FACTORS DRIVING

TO CONVERGENCE OF FUND EXPOSURE?GUEORGUI KONSTANTINOV

102 USING PRIME ALPHA TO SEPARATE SKILL FROM LUCK

IN FIXED-INCOME STRATEGIESANDREW CHIN AND PIYUSH GUPTA 110 THE LIFE EXPECTANCY OF FALLEN ANGELSDROR PARNES AND SAGI AKRONVolum

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SPRING 2017 Volume 26 Number 1THEORY & PRACTICE FOR FUND MANAGERS

Volume 26 N

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CONTRIBUTORS

BRIAN R. BRUCE

ROBERT EDELMAN

PETER ENCINOSA

CLAUDE B. ERB

GEORGE FRANKFURTER

JOHN B. GUERARD, JR.

PHILIP HALPERN

CAMPBELL R. HARVEY

ROGER G. IBBOTSON

THOMAS M. IDZOREK

PAUL D. KAPLAN

MICHAEL KEPPLER

DAVID LEINWEBER

THUSITH I. MAHANAMA

JOHN R. MINAHAN

DONALD J. PETERS

LAURENCE B. SIEGEL

LAWRENCE S. SPEIDELL

M. BARTON WARINGanniversary issue | 1992–2

017





Europe 7.80%


1× Insertion

4 × Insertion

4 × Total

$10,546

$8,437

$33,748



U.S. subscription price $961


launch date 1992

circulation 414*

13TITLE




www





WEB FEATURES Average Monthly Page Views for joi.iijournals.com: 10,814*











Firm

JOB

AUM

Firm

JOB

AUM

Firm

JOB


Under $50 million

9%

$50 million–$500 million

14%


32%

$11 billion–$100 billion

18%

Over $100 billion

27%


Firm Type

Job Function

83% of the respondents answered with the above job functions, 17% answered “other.”

Portfolio Manager

12%Investment Strategy

4%


5%


54%

Asset Allocator/ Pension Fund or Public Fund

10%

Hedge Fund

3%Mutual Fund

2%


8%Investment Bank

5%


5%


8%


44%

Consultant

4%

Trader

12%


12%

Analyst

12%



http://joi.iijournals.com

14 JAI

editor Hossein Kazemi



launch date 1998

circulation 9,000*

The Journal of Alternative Investments (JAI) offers detailed analysis and expert insight on the evolving field of alternative investments. JAI strives to provide its readers with practical tools such that they can (a) benefit from the growth of alternatives investment products, (b) determine the optimal mix of traditional and alternative investments, (c) manage their alternative investment portfolios with proven risk management practices, and (d) use the latest techniques to perform financial and operational due diligence on managers of private funds.

The Journal of Alternative Investments is the official publication of the Chartered Alternative Investment Analyst Association® (CAIA).









The Journal of A

lternative Investments

Volum

e15, Issue

3 | Winter 2013

Winter 2013 – Volume 15 Issue 3 | www.iiJAI.com

Offi cial Publication of the CAIA Association®

Risk ManagementThe Different Faces of Volatility Exposure in Portfolio Management

Joanne M. Hill

Performance Issues in Alternative Investments

Managed Futures Research: A Composite CTA Performance Review

Thomas Schneeweis, Richard Spurgin, and Edward SzadoVenture Capital in Crisis: The Impact of the Economic

Downturn in Company’s Time to Exit

Yannis Pierrakis

Sustainability in Alternative Investments

Risk Assessment for a Structured Product

Specifi c to the CO2 Emission Permits Market

Marius-Christian Frunza and Dominique GueganFinancial Turmoil in Carbon Markets

Takashi KanamuraVoluntary Environmental Regulation

and Firm Performance: The Chicago Climate Exchange

Catherine Boulatoff, Carol Boyer, and Stephen J. Ciccone

Theof

Journal

Fall 2017 – Volume 20 Number 2 | www.iiJAI.com

The Journal of A


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all 2017



Trend-Following StrategiesJust a One-Trick Pony?

An Analysis of CTA Risk and Return

Jason Foran, Mark C. Hutchinson, David F. McCarthy, and John O’Brien

Uncovering Trend RulesPaul Beekhuizen and Winfried G. Hallerbach

Private Equity and Illiquid AssetsMeasuring Liquidity Premiums for Illiquid Assets

Mark Anson

RATZ IRR: Performance Measurement

in the Absence of Cash Flow Data

John Renkema, Rob van den Goorbergh, and Carlos Garcia RivasVolatility

VIX Christmas EffectTodd Feldman and Alan JungCommodity Returns and Their Volatility in Relation

to Speculation: A Consistent Empirical Approach

Marco Haase, Yvonne Seiler Zimmermann, and Heinz Zimmermann

Theof

Summer 2017 – Volume 20 Number 1 | www.iiJAI.com

The Journal of Alternative Investm

ents

Volume

20, Num

ber 1 | Summ

er 2017



Factor ModelsMeasuring Factor Exposures: Uses and AbusesRonen Israel and Adrienne RossFactor Investing and Risk Allocation: From Traditional to Alternative Risk Premia Harvesting

Jean-Michel Maeso and Lionel MartelliniTo Hedge or Not to Hedge: Factor Dependence and Skill among Hedge Funds

Arjun Jayaraman, MacDuff Kuhnert, Joseph Gubler, and Ryan MyersReal Estate Limits to Diversifi cation: Tail Risks in Real Estate PortfoliosMichael Stein

REITs in a Mixed-Asset Portfolio: An Investigation of Extreme RisksSteven J. Stelk, Jian Zhou, and Randy I. Anderson

Direct LendingThe Investment Opportunity in U.S. Middle Market Direct Lending

Stephen L. Nesbitt


The Journal of A


Vo

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Spring 2017 – Volume 19 Issue 4 | www.iiJAI.com

Official Publication of the CAIA Association®

CommoditiesSpicing Up a Portfolio with Commodity Futures: Still a Good Recipe?Robert T. Daigler, Brice Dupoyet, and Leyuan You

Oil Price Movements and Risks of Energy InvestmentsGregory Brown, Raymond Chan, Wendy Y. Hu, and Jian Zhang

Time-Varying Risk Premiums and Term Premiums in Commodity FuturesDenis B. Chaves

Private EquitySynthetic Peer Benchmarking for Diversified Private Equity ProgramsJeroen Cornel

An Analysis of Returns of Moderately Aged Buyout Funds with Low Residual ValuesJeffrey Hooke, Steven Hee, and Ken Yook

Introducing Excess Return on Time-Scaled Contributions: An Intuitive Return Measure and New Solution to the IRR and PME ProblemYindeng Jiang

*Based on the digital distribution as of October 2017. Not indicative of every issue. Quantities may vary by issue. The majority of the circulation is achieved via an eReader format. Paid subscribers receive a quarterly print issue.

geographic breakdown* As of November 2017




Europe 0.05%


1× Insertion

4 × Insertion

4 × Total

$10,546

$8,437

$33,748


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0 10 20 30 40 50 60




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WEB FEATURES Average Monthly Page Views for jai.iijournals.com: 7,683*











Due Diligence, Compliance, and/or Legal

6%

Product Development

4%

Accounting/Fund Administration

4%

0 10 20 30 40 50 60

Risk Management

6%

Marketing

5%

Academic/Student

4%

Business Development

13%Consultant

11%

Firm

JOB

AUM

0 10 20 30 40 50 60

circulation demographics*

Firm Type (Asset Classes Where CAIA Members Work)

54.8%

46.1%

45.9%

42.4%

35.2%

32.6%

29.6%

26.3%

21.7%

Hedge Funds

Private Equity

Fixed Income Alternatives

Real Estate

Commodities

Real Assets, Infrastructure, Farmland, Timberland

Managed Futures

Structured Products

Venture Capital

Job Function

100% of the respondents answered with the above titles.

Portfolio Management

21%

Asset Allocator

7%

*Statistics based on 2015 CAIA Association Annual Member Survey.

Analyst

19%

http://jai.iijournals.com

16 JWM

The Journal of Wealth Management (JWM) is the only peer-reviewed journal devoted exclusively to original research and practical guidance for high-net-worth investors and family offices. JWM addresses the investment concerns of wealthy families and keeps practitioners abreast of the latest investment strategies in private asset management. Themes of JWM include generating high after-tax returns while mitigating volatility, balancing tax and risk concerns, optimizing asset allocation and money management selection, determining hedge fund allocation and employing effective performance measurement techniques, and using estate planning to enhance cross-generational wealth concerns. JWM offers a unique and in-depth view into the world of wealth management.



Spring 2018 December 15, 2017 January 1, 2018 January 31, 2018

Summer 2018 March 15, 2018 April 1, 2018 April 30, 2018

Fall 2018 June 15, 2018 July 1, 2018 July 31, 2018

Winter 2018 September 15, 2018 October 1, 2018 October 31, 2018



Volume 15 No. 4

Spring 2013

“Combining unique individual strategic asset allocations,

current firm-wide views of opportunities, and a systematic

portfolio tilting model allows each portfolio to be totally

unique and to reflect opportunities in a consistent manner

across the firm.” Jean Brunel - Editor’s Letter

The Voices of Influence | www.iijournals.com

www.iijwm.com

T

he Journal of Wealth M

anagement

Spring 2013, Volume 15, N

o. 4

9 Steven DymRecognizing Investor “Comfort” Assets

in Portfolio Optimization17 Brian BoscaljonDefining an Individual’s Critical Wealth Level

29 Stephen M. Horan, Robert R. Johnson, and Thomas R. Robinson

The Taxation Paradox: It’s Global, Not Local

41 Alexander Conconi, Monica Demidow, Peter Klein,

and Jijun NiuLearn More About the Equal Sector Strategy

of Select Sector SPDRs49 James Chong and G. Michael Phillips

Portfolio Size Revisited61 Donald J. SmithBad Bond Math: An Object Lesson Using

Bloomberg’s After-Tax Yields on Market

Discount Bonds69 Nuria Bajo Davó, Carmen Mendoza Resco,

and Manuel Monjas BarrosoFinancially Diversified Portfolios with Alternative

Investments: The Impact of Life Settlements

88 Manu Sharma, Rajnish Aggarwal, And Esha Prashar

Biotechnology ETFs: Performance Analysis

and Demystifying the Correlation Matrix

94 Nils S. Tuchschmid and Erik Wallerstein

UCITS: Can They Bring Funds of Hedge Funds

On-Shore?110 Olivier MeslySatisfaction and Financial Predation: A Large

Group Study Revealing Their Mathematical Link

Volume 16 No. 3

Winter 2013“The idea of using liquid, low fee and low transaction

cost vehicles to enhance the overall tax-efficiency of

a diversified portfolio may well make sense, at least

in all jurisdictions where capital gains are taxed.”

Jean Brunel - Editor’s Letter


www.iijwm.com

T


anagement

Winter 2013, Volum

e 16, No. 3

11 Robert DuboisAsset Price Trend Theory: Reframing Portfolio

Theory from the Ground Up31 Jacek Niklewski and Keith RedheadTime Diversification Frontiers and Efficiency

Frontiers: Implications for Long-Term Portfolio

Management43 Steven CosaresGenerating a Family of Optimal Glide Paths

for Investment Planning with Target Dates54 James Chong and G. Michael Phillips

Low- (Economic) Volatility Optimization69 Aymen KarouiThe Asset Allocation of Managers and Investors: Evidence from

Hybrid Funds82 Andrei ReztsovAn Adaptive Approach to the Ranking

of Investment Funds 87 George Crawford, Jim Kyung-Soo Liew,

and Andrew MarksSpot Commodities as Inflation Protection112 Haim A. Mozes and Serge Cooks

The Disconnect Between Physical Gold Demand

and Gold Prices122 Olivier MeslyTwenty Recommendations to Reduce Financial

Predation and Blind Trust in Small Family-Owned

Financial Businesses141 Greg N. GregoriouBook Review: The Complete Guide to Hedge Funds

& Hedge Fund Strategies

Volume 16 No. 2

Fall 2013“ Family education is not a luxury. It ensures that each generation is appropriately prepared to deal with the responsibilities associated with being wealthy and to make

those decisions that need to be made when the time comes.

Education in the heat of the moment is not only unlikely to be

successful; it can expose the family to irreparable damage.” Jean Brunel - Editor’s Letter


www.iijwm.com

T


anagement

Fall 2

013, Volum

e 16, N

o. 2

9 Stephen Morison, David Lincoln, Benjamin Kinnard, and Zhi Ying Ng

The Changing Nature of Global Wealth Creation: Shifts and

Trends in the Ultra High Net Worth (UHNW) Community15 Andrew Rudd and Laurence B. SiegelUsing an Economic Balance Sheet for Financial Planning25 Javier EstradaStocks, Bonds, Risk, and the Holding Period:

An International Perspective45 Daniel Alan Seiver and Samuel Joseph Frame

Using Value Line’s Median Appreciation Potential to Forecast Long-Horizon Market Returns55 David M. Blanchett, Michael Finke, and Wade D. PfauLow Bond Yields and Safe Portfolio Withdrawal Rates

63 Gaurav Anand, Iliya Kutsarov, Thomas Maier, and Marcus StorrThe Influence of Macroeconomic and Behavioral Factors on Tactical Strategy

Allocation (TSA) for Funds of Hedge Funds77 Tom Arnold and John H. Earl, Jr.Transparency, Level 3 Assets, and the Investor80 Daniele LamponiAre Small CTA Funds Better than Large Ones? An Empirical Analysis88 Joachim Klement, James Greenrod, and Jay O’NeilOptimal Domestic Equity Allocations for Australian Investors and the Role of Franking Credits99 Stephen Horan, George Szundi, C. Edward Van Deman,

and Kevin P. WhalenTechnology and the Family Office

Volume 20 No. 3 Winter 2017

“ Behavioral biases impact the way investors interact with markets, thus individuals must constantly check themselves to question their impulses, to verify their information sources, to be aware of the ‘naïve probability’ of any outcome occurring, and to use disciplined processes.”

Jean Brunel - Editor’s Letter


www.iijwm.com

T


anagement

Winter 2

01

7, Volum

e 20

, No. 3

10 Manuel González-Igual, Teresa Corzo Santamaría, and Patricia Castán AgustínPrevailing Behavioral Biases and Investor Profiles: A Survey of Professional Investors

24 Jarkko Peltomäki and Janne ÄijöWhere Is the “Meat” in Smart Beta Strategies?

33 Daniel Ziggel, Christian Armbruester, Josua Gösmann, and Tom TardifPrivate Lending as a Source of Fixed-Income Yields

45 Robert DubilIs It Time to Switch from Bond Funds to Individual Bond Buying?

52 Kristine L. Beck, James Chong, and G. Michael PhillipsRisk-Adjusted Performance of the Largest Active ETFs

65 John A. HaslemMutual Fund Revenue Sharing and Defensive 12b-1 Plans: “Oz Revisited”

75 Salma Ben Amor and Maher KooliFrom IPO to M&A: Further Evidence

94 C. Michael SmithTrading Moving Average Crossovers: Further Testing of Risk-Adjusted and After-Tax Returns

101 Greg N. Gregoriou and Jason MoschellaThe Efficiency and Productivity of Hedge

Fund Families

113 Anwar Hasan Abdullah Othman, Hasanuddeen Abdul Aziz, and Salina KassimWhat Does the Relationship among Unit Trust Funds Indicate about Optimal Portfolio Investment Diversification Strategy? The Case of the Malaysian Islamic Unit Trust Funds Industry

129 Kevin A. DiehlHow to Choose between Donor-Advised Funds and Family Foundations


1× Insertion

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$4,536

$18,144





Europe 4.90%


editor Jean L.P. Brunel

U.S. subscription price $1,058


launch date 1998

circulation 390*

17TITLE




www





WEB FEATURES Average Monthly Page Views for jwm.iijournals.com: 5,899*











Firm

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AUM

Firm

JOB

AUM

Firm

JOB


Under $50 million

11%

$50 million–$500 million

17%



5%

Over $100 billion

39%


Firm Type

Consultancy

7%


10%

Job Function


45%

Asset Allocator/ Pension Fund or Public Fund

3%

Mutual Fund

3%


16%Government Office/ Financial Regulator

3%


13%




Portfolio Manager

7%


43%

Consultant

3%

Risk Management

3%

Investment Strategy

17%

Trader

10%


7%

Analyst

10%

http://jwm.iijournals.com

18 JPE

editor F. John Mathis



launch date 1997

circulation 200*

The Journal of Private Equity (JPE) provides research and analysis on investment in venture capital and private equity, including secondary market sales, taxation, and policy issues. JPE highlights the critical components of successful deals with detailed explanations, probing analyses, and real-life case studies. Themes covered in the JPE include applying new techniques to enhance deal profitability, managing and monitoring private equity portfolios, locating opportunities and managing risk, and assessing business plans and management teams.

The Journal of Private Equity seeks to offer practical analysis and advice on the strategies and techniques of today’s most successful venture investors. JPE encompasses research on creative innovation, productivity, job creation, and economic growth.









WWW.IIJPE.COM | VOL. 19, NO. 2 | SPRING 2016

The Voices of Influence | www.iijournals.comT

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20

16

“In 2016 private equity, including venture

capital, will face a return to more normal

monetary policy with tightening liquidity

conditions and continued moderate

economic growth.”

F. John Mathis, Editor

Entrepreneurial Orientation: What Is It and Why Might It

Be a Hidden Strategy for Building Long-Term Enterprise

Value? | Timothy G. Kelly | p. 7The Impact of Board Structure on IPO Underpricing

Steven D. Dolvin and Jill E. Kirby | p. 15The Cost of Private Equity Investing and the Impact

of Dry Powder | Reiner Braun and Ingo Stoff | p. 22

Seeding Venture Capital: Insights into State-by-State

Equity Tax Credit Legislation | Joseph R. Bell

and Jeff B. Woodmansee | p. 34Staged Financing as a Means to Alleviate Risk

in VC/PE Financing | J.K. Sharma and Smita Tripathi

p. 43

Is the Public Sector Generating Sufficient Revenue

from Its Resources? The Investment Behavior

of Public and Private Firms | Suresh Chandra Bihari

and Neeraj Sundar Pradhan | p. 53Flow of Private Equity and Growth of Corporate India:

A Review of Literature | Raj S. Dhankar and Kunjana Malik

p. 60

The Correlation between Taiwan’s Box Office Revenue

and Economic Development | Tzu-Yi Yang, Yu-Tai Yang,

and Jau-Rong Chen | p. 66

Market Snapshot | p. 81

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“In 2016 private equity, including venture

capital, will face a return to more normal

monetary policy with tightening liquidity

conditions and continued moderate economic growth.”


Entrepreneurial Orientation: What Is It and Why Might It

Be a Hidden Strategy for Building Long-Term Enterprise

Value? | Timothy G. Kelly | p. 7The Impact of Board Structure on IPO Underpricing

Steven D. Dolvin and Jill E. Kirby | p. 15The Cost of Private Equity Investing and the Impact

of Dry Powder | Reiner Braun and Ingo Stoff | p. 22Seeding Venture Capital: Insights into State-by-State

Equity Tax Credit Legislation | Joseph R. Bell

and Jeff B. Woodmansee | p. 34Staged Financing as a Means to Alleviate Risk

in VC/PE Financing | J.K. Sharma and Smita Tripathi

p. 43

Is the Public Sector Generating Sufficient Revenue

from Its Resources? The Investment Behavior

of Public and Private Firms | Suresh Chandra Bihari

and Neeraj Sundar Pradhan | p. 53Flow of Private Equity and Growth of Corporate India:

A Review of Literature | Raj S. Dhankar and Kunjana Malik

p. 60

The Correlation between Taiwan’s Box Office Revenue

and Economic Development | Tzu-Yi Yang, Yu-Tai Yang,

and Jau-Rong Chen | p. 66


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“Growing evidence of a rise in nonperforming loans, a slowdown in credit growth, stagnant wages, depressed energy prices, a slight rise in unemployment, and a growing trade deficit, suggest a first quarter pause in PR activity could persist.”


Private Equity in Emerging Markets: Yesterday, Today,

and Tomorrow | Josh Lerner, Jake Ledbetter, Andrew Speen,

Ann Leamon, and Chris Allen | p. 8

Venture Capital and Entrepreneurial Growth by Acquisitions: A Case Study from Emerging MarketsDarek Klonowski | p. 21

Factors Driving Abnormal Returns in Private Equity Industry: A New Perspective | Raviraj Karmvir Gohil

and Vijay Vyas | p. 30

Creditor Protection Law Effects on Venture Capital Investment in Africa: Country-Level EvidenceJonathan O. Adongo | p. 37

Private Equity Portfolio Company Political ActivityTodd L. Boudreau, Erika E. Alba, and Michelle E.P. Nuñez

p. 51

Best Practices in Applying Multiples for Valuation Purposes | Thomas Plenborg and Rene Coppe Pimentel

p. 55

A Holistic Look into Life Sciences Venture FundingJon Carrick | p. 65

Private Equity Performance: A Literature ReviewRaviraj Karmvir Gohil and Vijay Vyas | p. 76


WWW.IIJPE.COM | VOL. 19, NO. 4 | FALL 2016


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“U.S. economic and political uncertainty is threatening globalization and economic growth globally.”


Who Is the Sovereign among Sovereign Wealth Funds?

A Network Analysis of Co-Investments

Gianfranco Gianfrate and Enrico Merlin | p. 7

Competencies, Clusters, and Star Performance

at a Leading PE Firm | Avi Turetsky | p. 19

Analysis of Investment Strategies of VC/PE Funds

in the Indian Infrastructure Sector | Smita Tripathi p. 35

Understanding Potential Recharacterization and

Subordination Attacks against Bridge Loans Made

by Venture Capital and Private Equity Firms

David Kupetz | p. 47

Overcoming Private Debt: Unblocking and Rebuilding

the Loan-Burdened Real Economy in Cyprus

Savvakis C. Savvides | p. 51

Case Study: Jyothy Laboratories | Amit Shrivastava

p. 60

The IPO Exit: A Practical Legal Guide for Financial

Sponsors | James H. Ball, Jr., and Alex Gefter | p. 69

Appraisal Rights Limitations Coming to Delaware

Michael R. Huttenlocher and Sandra B. Saunders | p. 75






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Private Equity in Emerging Markets: Yesterday, Today, and TomorrowJOSH LERNER, Harvard Business School; JAKE LEDBETTER, Bella Research Group;

ANDREW SPEEN, Bella Research Group; ANN LEAMON, Bella Research Group;, and CHRIS ALLEN, Bella Research Group

An Empirical Analysis of Investment Return Dispersion in Emerging Market Private EquityJOSH LERNER Harvard Business School and MARK BAKER, Bella Research Group

Analyzing European SPACsELENA IGNATYEVA, CHRISTIAN RAUCH, and MARK WAHRENBURG,

Goethe University

SPECIAL FEATURE REPORT: European Healthcare: A Golden Opportunity for Private EquityYAIR EREZ, JUSTAS GRIGALAUSKAS, DMITRY PODPOLNY, and THOMAS RUDOLPH, McKinsey & Company Private Equity

and Principal Investors Practice

Private Equity Performance: A Literature ReviewRAVIRAJ KARMVIR GOHIL, RK University and Shanti Business School and VIJAY VYAS, Shri N.J. Sonecha Management & Technical Institute

Three Trends in Middle Market Private EquityCAROLYN MATHIS, Harbor View Advisors

Best Practices in Applying Multiples for Valuation PurposesTHOMAS PLENBORG, Copenhagen Business School and RENE COPPE PIMENTEL, University of Sao Paulo

Venture Capital Investment Choice: Multicriteria Decision MatrixSARITA MISHRA, DINABANDHU BAG, and SIDDHARTH MISRA,

School of Management of NIT Rourkela

The Performance of Private Equity Funds in IndiaRAVIRAJ GOHIL, RK University

Venture Capital and Entrepreneurial Growth by Acquisitions: A Case Study from Emerging MarketsDAREK KLONOWSKI, Brandon University

Where Are the Deals? Private Equity and Venture Capital Funds’ Best Practices in Sourcing New InvestmentsDAVID TETEN, Teten Advisors, LLC and CHRIS FARMER, General Catalyst Partnersand ENRICO MERLIN, Mediobanca

http://jpe.iijournals.com

20 JFI

editor Stanley J. Kon



launch date 1991

circulation 452*

The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types—investment grade, high-yield, municipals, ABS and MBS, and structured products such as CDOs and credit derivatives. Industry experts offer detailed models and analyses of fixed income structuring, performance tracking, and risk management. JFI helps readers to manage bond portfolios more efficiently, evaluate interest rate strategies and manage interest rate risk, gain insights on structured products, and to stay on the cutting edge of fixed income markets.

The Journal of Fixed Income aims to be the forum for academics and fixed income portfolio managers to exchange information that advances the practice of investment management.









❏ A Stochastic U.S. House Price Model for Valuing Residential

Mortgages and Other House Price–Dependent Assets

■ Kevin J. Stoll❏ Modification Effectiveness: The Private-Label Experience

and Its Public Policy Implications

■ Laurie S. Goodman, Lidan Yang, Roger Ashworth,

and Brian Landy❏ A Simple, Transparent, and Accurate Mortgage Valuation

Yield Curve■ Robert A. Jarrow and Donald R. van Deventer❏ Valuing Financial Assets with Liquidity Discount:

An Implication for Basel III■ Ren-Raw Chen, William Filonuk, Dilip K. Patro, and An Yan

❏ Capital Allocation and Per-Unit Risk in Inhomogeneous

and Stressed Credit Portfolios

■ Gregor Dorfleitner and Tamara Pfister❏ A Binomial-Tree Model for Convertible Bond Pricing

■ Krasimir Milanov, Ognyan Kounchev, Frank J. Fabozzi,

Young Shin Kim, and Svetlozar T. Rachev

FIXED INCOME

The Journal of

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o The Financial Crisis and Temporary Liquidity Guarantee

Program: Their Impact on Fixed-Income Markets

n Brent W. Ambrose, Yiying Cheng, and Tao-Hsien Dolly Kingo Are Credit Rating Announcements Contagious?

Evidence on the Transmission of Information across Industries

in Credit Default Swap Markets n Janko Cizel

o The Supply and Demand Factor in the Bond Market:

Implications for Bond Risk and Return n Longzhen Fan, Canlin Li, and Guofu Zhouo Corporate Retail Notes: A Good Alternative for

Individual Investors? n Igor Kozhanov and Joseph P. Ogdeno A Default Risk Model under Macroeconomic Conditions

n Weiping Li

o Explaining Debt Recovery Using an Endogenous

Bankruptcy Model n Wulin Suo, Wei Wang, and Amber Qi Zhang

VOLUME 23 NUMBER 2

FALL 2013

FIXED INCOMEThe Journal of

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❏ The Inflation Risk Premium: Evidence from the TIPS Market

■ Olesya V. Grishchenko and Jing-Zhi Huang❏ An Ex Post Performance Analysis of the TIPS Program ■ Dave Chung, Colin Kim, and Allen X. Zhang

❏ U.S. Interest Rates and Emerging Market Bond Yield Spreads:

A Changing Relationship? ■ Cheikh A. Gueye and Amadou N.R. Sy❏ The Correlation Structure of the CDS Market:

An Empirical Investigation ■ Lara Cathcart, Lina El-Jahel, and Leonard Evans❏ Asset Value Correlation Bounds for Firms with Foreign

Exchange Exposure ■ Hans Byström

❏ Return Chasing in Bond Funds ■ Jon A. Fulkerson, Bradford D. Jordan, and Timothy B. Riley

VOLUME 22 NUMBER 4

SPRING 2013

FIXED INCOMEThe Journal of

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13/03/13 9:55 AM

o Liquidity Risk and Momentum Spillover from Stocks to Bonds

n Hai Lin, Junbo Wang, and Chunchi Wu

o Quantifying and Explaining the New-Issue Premium in the Post-Glass–Steagall Corporate Bond Market

n Robert S. Goldberg and Ehud I. Ronn

o Structural Credit Loss Distributions under Non-Normality

n Enrique Batiz-Zuk, George Christodoulakis, and Ser-Huang Poon

o Counterparty Risk in Exchange-Traded Notes (ETNs) n Balazs Cserna, Ariel Levy, and Zvi Wiener

o Debt Investments in Private Firms: Legal Institutions and Investment Performance in 25 Countries

n Douglas Cumming and Grant Fleming

VOLUME 23 NUMBER 1 SUMMER 2013FIXED INCOME

The Journal of

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It Is Time to Shift Log-NormalREN-RAW CHEN, Fordham University; PEI-LIN HSIEH, Xieman University; and JEFFREY HUANG, KGI Bank

A Conditional Variance Model of Corporate Bond Excess Return DistributionsKEVIN J. STOLL, Sterling Capital Management

Measuring Correlated Default Risk: A New Metric and Validity TestsSIAMAK JAVADI, University of Texas Rio Grande Valley; SEOYOUNG KIM, Santa Clara

University; TIM KREHBIEL, Oklahoma State University; and ALI NEJADMALYERI,

Oklahoma State University

Overlooked Market Risk Shocks: Prepayment Uncertainty and Option-Adjusted SpreadsALEXANDER N. BOGIN, NATALIYA POLKOVNICHENKO, and WILLIAM M. DOERNER,

Federal Housing Finance Agency

Pricing Coupon Bond Options and Swaptions under the Two-Factor Hull-White ModelVINCENZO RUSSO, Assicurazioni Generali S.p.A.; and FRANK J. FABOZZI, EDHEC Business School

The New Market for Treasury Floating Rate NotesKARAN BHANOT, University of Texas and LIANG GUO, California State University

Bond Liquidity ScoresMOHAMED BEN SLIMANE and MARIELLE DE JONG, Amundi

The Credit Risk PremiumATTAKRIT ASVANUNT, AQR Capital Management and SCOTT RICHARDSON,

AQR Capital Management and London Business School

CDS Implied Credit RatingsJEROEN JANSEN, Palladyne International Asset Management and FRANK J. FABOZZI, EDHEC Business School

ESG Ratings and Performance of Corporate BondsSIMON POLBENNIKOV, ALBERT DESCLÉE, LEV DYNKIN, and ANANDO MAITRA,

Barclays Research

A Stochastic U.S. House Price Model for Valuing Residential Mortgages and Other House Price–Dependent AssetsKEVIN J. STOLL, Smith Breeden Associate

Reinsurance or CAT Bond? How to Optimally Combine BothDENIS-ALEXANDRE TROTTIER, Laval University and VAN SON LAI, Laval University

and IPAG Business School

http://jfi.iijournals.com

22 JOD

editor Stephen Figlewski



launch date 1993

circulation 419*

The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD provides full treatment of mathematical and statistical information on derivative products and techniques, with a focus on results-oriented analysis. Some of the topics appearing frequently in JOD include: the latest valuation and hedging models for derivative instruments and securities; new tools and models for financial risk management; the application of academic derivatives theory and research to real-world problems; and rigorous analysis of key innovations in the derivatives markets.

The Journal of Derivatives seeks to be the leader in bringing insights on innovation in the derivatives to its readership.









WHAT DOES IMPLIED VOLATILITY SKEW MEASURE?

SCOTT MIXON 8A SIMPLE AND ACCURATE SIMULATION

APPROACH TO THE HESTON MODEL

JIANWEI ZHU 28PRICING AND HEDGING QUANTO FORWARD-

STARTING FLOATING-STRIKE ASIAN OPTIONS

CHUANG-CHANG CHANG, TZU-HSIANG LIAO,

and CHUEH-YUNG TSAO 37THE PRICING OF PATH-DEPENDENT

STRUCTURED FINANCIAL RETAIL PRODUCTS:

THE CASE OF BONUS CERTIFICATES

RAINER BAULE and CHRISTIAN TALLAU 42LOCALLY CAPPED INVESTMENT PRODUCTS

AND THE RETAIL INVESTORCAROLE BERNARD, PHELIM P. BOYLE,

and WILLIAM GORNALL 66RISK MANAGEMENT MODELS: CONSTRUCTION,

TESTING, USAGEROBERT A. JARROW 76

T H E J O U R N A L O FDERIVATIVES


FALL 2017 | VOL. 26 | NO. 4 | IIJOD.COM WHAT DOES IMPLIED VOLATILITY SKEW MEASURE?

SCOTT MIXON 8

A SIMPLE AND ACCURATE SIMULATION

APPROACH TO THE HESTON MODELJIANWEI ZHU 28

PRICING AND HEDGING QUANTO FORWARD-

STARTING FLOATING-STRIKE ASIAN OPTIONS

CHUANG-CHANG CHANG, TZU-HSIANG LIAO,

and CHUEH-YUNG TSAO 37THE PRICING OF PATH-DEPENDENT

STRUCTURED FINANCIAL RETAIL PRODUCTS:

THE CASE OF BONUS CERTIFICATESRAINER BAULE and CHRISTIAN TALLAU 42LOCALLY CAPPED INVESTMENT PRODUCTS

AND THE RETAIL INVESTORCAROLE BERNARD, PHELIM P. BOYLE,

and WILLIAM GORNALL 66RISK MANAGEMENT MODELS: CONSTRUCTION,

TESTING, USAGEROBERT A. JARROW 76

T H E J O U R N A L O FDERIVATIVES


SUMMER 2017 | VOL. 26 | NO. 3 | IIJOD.COM

WHAT DOES IMPLIED VOLATILITY SKEW MEASURE?SCOTT MIXON 8

A SIMPLE AND ACCURATE SIMULATION APPROACH TO THE HESTON MODELJIANWEI ZHU 28

PRICING AND HEDGING QUANTO FORWARD-STARTING FLOATING-STRIKE ASIAN OPTIONSCHUANG-CHANG CHANG, TZU-HSIANG LIAO, and CHUEH-YUNG TSAO 37

THE PRICING OF PATH-DEPENDENT STRUCTURED FINANCIAL RETAIL PRODUCTS: THE CASE OF BONUS CERTIFICATESRAINER BAULE and CHRISTIAN TALLAU 42

LOCALLY CAPPED INVESTMENT PRODUCTS AND THE RETAIL INVESTORCAROLE BERNARD, PHELIM P. BOYLE,

and WILLIAM GORNALL 66

RISK MANAGEMENT MODELS: CONSTRUCTION, TESTING, USAGEROBERT A. JARROW 76


DERIVATIVES


SPRING 2017 | VOL. 26 | NO. 2 | IIJOD.COM

WHAT DOES IMPLIED VOLATILITY SKEW MEASURE?SCOTT MIXON 8

A SIMPLE AND ACCURATE SIMULATION APPROACH TO THE HESTON MODELJIANWEI ZHU 28

PRICING AND HEDGING QUANTO FORWARD-STARTING FLOATING-STRIKE ASIAN OPTIONSCHUANG-CHANG CHANG, TZU-HSIANG LIAO, and CHUEH-YUNG TSAO 37

THE PRICING OF PATH-DEPENDENT STRUCTURED FINANCIAL RETAIL PRODUCTS: THE CASE OF BONUS CERTIFICATESRAINER BAULE and CHRISTIAN TALLAU 42

LOCALLY CAPPED INVESTMENT PRODUCTS AND THE RETAIL INVESTORCAROLE BERNARD, PHELIM P. BOYLE, and WILLIAM GORNALL 66

RISK MANAGEMENT MODELS: CONSTRUCTION, TESTING, USAGEROBERT A. JARROW 76


DERIVATIVES


WINTER 2017 | VOL. 26 | NO. 1 | IIJOD.COM





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Apologia Pro Vita SuaEMANUEL DERMAN, Columbia University

Beer Annuities: Hold the Interest and PrincipalInterest Rate Swap Credit Valuation AdjustmentCARLOS E. ORTIZ, Arcadia University; CHARLES A. STONE, Brooklyn College, City

University of New York; and ANNE ZISSU, CITYTECH, City University of New York and

New York University Tandon School of Engineering

Rent-to-Own Housing Contracts under Financial ConstraintsSANJIV JAGGIA and PRATISH PATEL, California Polytechnic State University

A Simple Closed-Form Formula for Pricing BasketKIN HUNG (FELIX) KAN, RBC

Pricing Variance, Gamma, and Corridor Swaps Using Multinomial TreesHONGLEI ZHAO, ZHE ZHAO, RUPAK CHATTERJEE, THOMAS LONON and IONUT FLORESCU, Stevens Institute of Technology

Conic Option PricingDILIP B. MADAN, University of Maryland; and WIM SCHOUTENS, K.U. Leuven

An Energy Market Modeling Approach for Valuing Real OptionsMARLIESE UHRIG-HOMBURG, Karlsruhe Institute of Technology (KIT); and NILS UNGER, ansa capital management

Options DecimalizationFAITH CHIN, London Business School; and COREY GARRIOTT, Bank of Canada

Short Interest, Bearish Option Trades, and Short-Sale ConstraintsBRIAN DU, California State University, East Bay

Extracting Model-Free Volatility from Option Prices: An Examination of the VIX IndexGEORGE J . JIANG, University of Arizona; and YISONG S . TIAN, York University

The VIX Futures Basis: Evidence and Trading StrategiesDAVID P. SIMON, Bentley University; and JIM CAMPASANO, University of Massachusetts

A Guide to Volatility and Variance SwapsKRESIMIR DEMETERFI , EMANUEL DERMAN , MICHAEL KAMAL , and JOSEPH ZOU, Goldman Sachs

A Simple and Efficient Two-Factor Willow Tree Method for Convertible Bond Pricing with Stochastic Interest Rate and Default RiskLING LU and WEI XU, Tongji University

http://jod.iijournals.com

24 JSF










The Journal of Structured Finance (JSF) is the only international, peer-reviewed journal devoted to empirical analysis and practical guidance on structured finance instruments, techniques, and strategies. JSF offers insightful, comprehensive research and commentary on all aspects of structured finance and project finance, including ABS, MBS, and CDOs. JSF covers a wide range of topics including credit derivatives and synthetic securitization, secondary trading in the CDO market, securitization in emerging markets, trends in major consumer loan categories, accounting, regulatory, and tax issues in the structured finance industry.

The Journal of Structured Finance intends to be the leading publication in covering financial theory and practice related to structured products.




Europe 18.50%


editor Mark H. Adelson



launch date 1995

circulation 337*

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Did the U.S. Housing Crisis Start in 2003? The Impact of Borrower Subsequent DebtJIAWEI “DAVID” ZHANG, MSCI; and HUA “TONY” TANG, TIG Advisors

The Definition of Structured FinanceHENRY A. DAVIS, Researcher, Writer and Editor

Toward a Scalable Capital Markets Funded Lease–Purchase Strategy for Low- and Moderate-Income FamiliesMICHAEL A. STEGMAN, Milken Institute Center for Financial Markets

What Credit Risk Transfer Tells Us About G-FeesKEVIN PALMER, Freddie Mac

A Study of RMBS Litigation Cases of Six Major U.S. BanksJOHN A. RUDDY, MURLI RAJAN and IORDANIS PETSAS, University of Scranton

Fixing a Dysfunctional Market: The Case of HECM Reverse MortgagesJACK GUTTENTAG, University of Pennsylvania

The Impact of Higher Interest Rates on the Mortgage MarketLAURIE S. GOODMAN and BING BAI, Urban Institute

Trends in Mortgage Credit Availability: The Evidence and Its ImplicationsMICHAEL FRATANTONI, Mortgage Bankers Association

Is There a Competitive Equilibrium for the GSEs?RICHARD COOPERSTEIN and ANDREW DAVIDSON, Andrew Davidson & Co.

Higher Mortgage Rates: The Effect on Housing and Mortgage MarketsFRANK E. NOTHAFT, CoreLogic

The Great Unwind: How Changes to the Federal Reserve’s Balance Sheet Will Likely Impact Mortgage Rates and the Broader U.S. EconomyDOUGLAS DUNCAN and MICHAEL VANGELOFF, Fannie Mae

Bubble or Overblown: Ambiguous Signals in the Subprime Auto Lending MarketROBBIN CONNER, ABS Consultant

ABS East 2016 Conference NotesMARK ADELSON, Independent Consultant and Editor of The Journal of Finance

How Securitization Can Benefit from Blockchain TechnologyLEWIS RINAUDO COHEN, LEE SAMUELSON, and HALI KATZ, Hogan Lovells US LLP

http://jsf.iijournals.com

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InvIted edItorIal CommentsMarcos López de Prado and Frank J. Fabozzi; Meir Statman

A Century of Evidence on Trend-Following InvestingBrian Hurst, Yao Hua Ooi, and Lasse Heje Pedersen

Factor Timing with Cross-Sectional and Time-Series PredictorsPhilip Hodges, Ked Hogan, Justin R. Peterson, and Andrew Ang

From Risk Premia to Smart Betas: A Unified FrameworkAlexandre S. Da Silva and Wai Lee

King of the Mountain: The Shiller P/E and Macroeconomic ConditionsRobert D. Arnott, Denis B. Chaves, and Tzee-man Chow

Strategic Asset Allocation: Combining Science and Judgment to Balance Short-Term and Long-Term Goals

Peng Wang and Jon Spinney

The Road Not TakenJohn C. Bogle

Deconstructing the Low-Vol AnomalyAlexios Beveratos, Jean-Philippe Bouchaud, Stefano Ciliberti, Laurent Laloux,

Yves Lempérière, Marc Potters, and Guillaume Simon

Sin Stocks Revisited: Resolving the Sin Stock AnomalyDavid Blitz and Frank J. Fabozzi

U.S. Company Earnings, Earnings Growth, and Equity Performance in the New Millennium

Francis Gupta

Should You Tilt Your Equity Portfolio to Smaller Countries?Gregg S. Fisher, Ronnie Shah, and Sheridan Titman

Using Simulation to Better Understand Price Determination in a Nonfrictionless Equity MarketJian Hua, Robert A. Schwartz, and Gregory Sipress

VOLUME 44, NUMBER 1 FALL 2017www.iijpm.com


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YOUR AD HERE

ADVERTISING OPPORTUNITIES

CUSTOM PRINT ADVERTISING OPPORTUNITIESII Journals offer several options other than display advertising within the Journals and Guides. Some of the most common options include: bellybands, inserts, gatefold ads, and false covers.

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Cover 2 Gatefold


Finding Better Securities while Holding Portfolios: Is Stochastic Dominance the Answer?Haim Shalit

Designing the New Policy Portfolio: A Smart, but Humble ApproachFrederick E. Dopfel

A Scenarios Approach to Asset AllocationSusan Gosling

Measuring Global Systemic Risk: What Are Markets Saying about Risk?Rodney N. Sullivan, Steven P. Peterson, and David T. Waltenbaugh

Offensive Risk Management II: The Case for Active Tail HedgingVineer Bhansali and Joshua M. Davis

On the Consistent Use of VaR in Portfolio Performance Evaluation: A Cautionary NoteValeri Zakamouline

Is Patience a Virtue? The Unsentimental Case for the Long View in Evaluating ReturnsDavid L. Donoho, Robert A. Crenian, and Matthew H. Scanlan

The Empirical Law of Active Management: Perspectives on the Declining Skill of U.S. Fund ManagersEdouard Sénéchal

The Sustainability of Endowment Spending Levels: A Wake-up Call for University EndowmentsGregory P. Ho, Haim A. Mozes, and Pavel Greenfield

VOLUME 37 NUMBER 1 FALL 2010www.iijpm.com

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Please contact Mark Lee to discuss pricing and other details | Tel: (212) 224-3140 II Journals reserves the right to review any inserts for content.

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Journal Interior

YOUR AD HERE


Finding Better Securities while Holding Portfolios: Is Stochastic Dominance the Answer?Haim Shalit

Designing the New Policy Portfolio: A Smart, but Humble ApproachFrederick E. Dopfel

A Scenarios Approach to Asset AllocationSusan Gosling

Measuring Global Systemic Risk: What Are Markets Saying about Risk?Rodney N. Sullivan, Steven P. Peterson, and David T. Waltenbaugh

Offensive Risk Management II: The Case for Active Tail HedgingVineer Bhansali and Joshua M. Davis

On the Consistent Use of VaR in Portfolio Performance Evaluation: A Cautionary NoteValeri Zakamouline

Is Patience a Virtue? The Unsentimental Case for the Long View in Evaluating ReturnsDavid L. Donoho, Robert A. Crenian, and Matthew H. Scanlan

The Empirical Law of Active Management: Perspectives on the Declining Skill of U.S. Fund ManagersEdouard Sénéchal

The Sustainability of Endowment Spending Levels: A Wake-up Call for University EndowmentsGregory P. Ho, Haim A. Mozes, and Pavel Greenfield

VOLUME 37 NUMBER 1 FALL 2010www.iijpm.com

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YOUR AD HERE

YOUR AD HERE


31

DIGITAL ADVERTISING

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II Journals offers a unique marketing package to disseminate research. The approach includes an eReader and a brief video (5 to 7 minutes) with the article author(s) discussing the nature of their paper and their findings.

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Sponsored by:

As factor based investing continues to grow in importance, traditional managers are increasingly expected to be able to communicate their strategies and performance in the context of factor exposures. In this video, Ruben Falk—Global Head, Investment Management Solutions—discusses this trend and how S&P Global Market Intelligence is increasingly focused on helping our clients to implement factor based strategies and performance attribution.

FACTOR INVESTINGSpecial Edition

FACTOR INVESTINGSpecial Edition

Sponsored by:

Factor-Based Investing: The Long-Term EvidenceELROY DIMSON, PAUL MARSH, and MIKE STAUNTON

The Journal of Portfolio Management March 2017 Special Issue Pg. 4

Factor Investing and Risk Allocation: From Traditional to Alternative Risk Premiums Harvesting

JEAN-MICHEL MAESO and LIONEL MARTELLINI

The Journal of Alternative Investments Summer 2017 Pg. 61

Smart Beta Efficiency versus Investability: Introducing the Cost-Adjusted Factor Efficiency Ratio

DANIEL UNG

The Journal of Index Investing Summer 2017 Pg. 48

Smart Beta is the Gateway Drug to Risk Factor InvestingEUGENE PODKAMINER


Contrarian Factor Timing is Deceptively DifficultCLIFFORD ASNESS, SWATI CHANDRA, ANTTI ILMANEN, and RONEN ISRAEL


The Expanding Role of Factor Based InvestingRUBEN FALK

S&P Global Market Intelligence Introduction Pg. 2

33ADVERTISING OPPORTUNITIES

webcast and audiocast presentations

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Factor Perspectives: Separating Factors from Fiction

Original Air Date: Wednesday, April 26, 2017

Sponsoring Firm: BlackRock

Participating Firms: Man Group, Research Affiliates, and AQR

Total Registrations Procured: 1200+

Replay Link: http://bit.ly/2o9w3ii

Risk-Based Approaches to Multi-Asset Strategies

Original Air Date: Thursday, September 28, 2017

Sponsoring Firm: Columbia Threadneedle

Participating Firms: Fidelity Investments, SSGA, and Cambridge Associates LLC

Total Registrations Procured: 560+

Replay Link: http://bit.ly/2l3iwvK:

Brinson Meets Smart Beta

Original Air Date: Wednesday, September 27, 2017

Sponsoring Firm: S&P Global

Participating Firms: State Street Global Advisors

Total Registrations Procured:280+ :

Cost:

$37,000 NET (II Journals’ moderated web event)

$32,000 NET (Moderator furnished by sponsor[s] with II Journals approval)

II Journals (II Journals), in conjunction with the participating firm[s], will develop an interactive and educational platform to discuss research relevant to the II Journals’ publishing agenda and audience.

II Journals aims to deliver a turnkey process that involves insights from the participating firm on all stages of content curation, audience development, production, and distribution. To help ensure editorial integrity, II Journals delivers content-driven web events with more than one participating firm.

Sponsorship arrangements can be with a single sponsor or multiple sponsors, and may also include invited panelists. II Journals is happy to facilitate with procurement of the participating panel from II Journal’s extensive editorial relationships to provide expertise and color on particular topics and research. II Journals’ Content Director, Mark Adelson is available to moderate the event.

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MARK LEE | Advertising Director | Tel: (212) 224-3140 | [email protected]

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