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
Open Access

Editor’s Letter

Brian R. Bruce
The Journal of Investing Winter 2015, 24 (4) 1-2; DOI: https://doi.org/10.3905/joi.2015.24.4.001
Brian R. Bruce
Editor-in-Chief
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF
Loading

We open the Winter issue with an article by Mozes and Steffens, presenting a model for predicting whether value stocks will outperform growth stocks and whether value stocks’ outperformance will be positively or negatively correlated with equity markets. They find that investors may be able to improve their factor returns and reduce their portfolio volatility by dynamically calibrating their value stock factor exposures. Livnat and Zhang examine the value relevance of the timing of earnings announcement dates relative to prior expectations. They explain that their results can be used by investors to earn abnormal returns, by security analysts in revising their forecasts, and by option traders when earnings announcement dates cross option expiration dates. Platt, Cai, and Platt investigate whether a portion of the declining hedge fund return premium over mutual funds and other investment vehicles is related to the flow of capital into hedge funds. Additionally, they inquire whether either market-neutral or directional funds may be able to avoid the lower returns that come with rising assets.

Next, Wills proposes a new structure for asset owners seeking portfolio returns. He recommends thinking about where the next period of above-average returns will come from and where the greatest risk factors exist that can damage the capital base, rather than focusing primarily on manager selection. Arthur and Rabarison studied U.S. domestic equity fund data from 1999 through 2009 for mutual fund risk-shifting behavior relative to their mid-year performance. Their study implies that actual rankings are still important for the best mid-year performers and being among the winners is different from being the top winner. Therefore, by opting for actively managed funds, investors may want to take a closer look at who the best active manager actually is. De and Clayman look at the relationship between the ESG (environmental, social, and governance) ratings of a company and its stock returns, volatility, and risk-adjusted returns in the post-2008 financial crisis era and find that asset managers can utilize the association between corporate ESG ratings and stock return, volatility, and risk-adjusted return to enhance their stock-picking and portfolio-construction abilities.

Lamponi presents a data-driven categorization of investable assets that shows that the separation of equities and bonds is reflected in the data-driven categorization, while more complex investments and, in particular, alternative investments are exposed to a range of diverse risk factors. Kudoh, Miazzi, and Yamada present study results proving how the low-correlation enhancement can add significant value to the most common alternative beta strategies, such as minimum variance, risk parity, and even equal weighting. Beccacece and Cantù apply Markowitz’s model to compare diamonds with Italian real estate and also German real estate, in order to investigate the diversification contribution of diamonds to a portfolio of financial assets. We conclude the issue with Shulman’s reflection on the ephemeral life of an emerging fund manager in response to the massive transformation the investment industry has been undergoing.

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

TOPICS: ESG investing, analysis of individual factors/risk premia, portfolio constructio

Brian Bruce

Editor-in-Chief

  • © 2015 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: 24 (4)
The Journal of Investing
Vol. 24, Issue 4
Winter 2015
  • 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
Brian R. Bruce
The Journal of Investing Nov 2015, 24 (4) 1-2; DOI: 10.3905/joi.2015.24.4.001

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Editor’s Letter
Brian R. Bruce
The Journal of Investing Nov 2015, 24 (4) 1-2; DOI: 10.3905/joi.2015.24.4.001
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

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

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

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

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1068-0896 | E-ISSN: 2168-8613

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