Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOI
    • 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 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 Investing

The Journal of Investing

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

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

Editor’s Letter

Brian B. Bruce
The Journal of Investing Spring 2012, 21 (1) 1-2; DOI: https://doi.org/10.3905/joi.2012.21.1.001
Brian B. 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

On behalf of The Journal of Investing, we thank John Guerard for his efforts on this special quantitative investing issue.

In addition to the articles from the McKinley Capital Management Research Seminar, the issue includes Yan, Zhao, and Sun’s study of herding and momentum at the industry level. They find that the momentum effect is magnified when there is a low level of investor herding. Tower uses Tobin’s q, momentum, the Campbell–Shiller CAPE, and a new variant of the CAPE—the CAPER—to predict the stock market. We close the issue with Kaya, Lee, and Wan, who examine the idea of displacing “asset classes” with “risk classes” for the purpose of asset allocation and find that the practical application of the risk class approach presents its own set of challenges.

As always, we welcome your submissions. We value your comments and suggestions, so please email us at journals{at}investmentresearch.org.

Brian Bruce

Editor-in-Chief

We were very pleased when Brian Bruce, The Journal of Investing’s editorin-chief, asked me to invite the speakers from the McKinley Capital Management Research Seminar to submit articles for this special issue. At McKinley, we believe in testing not only models, but also the research tools used to develop and estimate models and construct portfolios. The old adage of “garbage in, garbage out” applies equally well to various investment tools and to data. McKinley hosted an afternoon Research Seminar on Friday, July 15, 2011. The speakers exchanged ideas in a (relatively) noncompetitive environment and heard each other’s research and presentations. We discussed topics and issues in applied investment management and how tools are becoming developed, estimated, and implemented to address our clients’ needs. The speakers and topics included:

  • • D. J. Orr, MSCI Barra, “Spectral Corrections for Optimized Portfolios”

  • • Laurence Wormald, Sungard APT, “Optimization and Reverse Stress Testing with APT Risk Models”

  • • Anureet Saxena, Axioma, “Factor Alignment Problems: Sources, Effects, Analysis, and Solutions”

  • • Samuel Choo, FactSet Research Systems, “Mixing and Matching: An Agnostic Platform for Portfolio Construction, Management, and Risk Measurement”

The articles submitted by these speakers were peer reviewed. The time and effort of the following reviewers is greatly appreciated and acknowledged: Shijie Deng, Georgia Institute of Technology; Richard Michaud, New Frontier Advisors; Robert Michaud, New Frontier Advisors; Robert Korajcyzk, Northwestern University; James Vander Weide, Duke University; Mustafa Gultekin, University of North Carolina, Chapel Hill; and Alan King, IBM.

Finally, we are delighted and grateful to Harry Markowitz for contributing an “Introduction” to this special issue.

John B. Guerard, Jr.

Special Editor

  • © 2012 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 Investing: 21 (1)
The Journal of Investing
Vol. 21, Issue 1
Spring 2012
  • 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 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 Investing
(Your Name) thought you would like to see the The Journal of 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
The Journal of Investing Feb 2012, 21 (1) 1-2; DOI: 10.3905/joi.2012.21.1.001

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
The Journal of Investing Feb 2012, 21 (1) 1-2; DOI: 10.3905/joi.2012.21.1.001
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

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

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

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

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

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

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1068-0896 | E-ISSN: 2168-8613

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