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
  • Subscribe Now
  • 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
  • Subscribe Now
  • 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 R. Bruce
The Journal of Investing April 2020, 29 (3) 1; DOI: https://doi.org/10.3905/joi.2020.29.3.001
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

To open this issue, Mozes provides evidence, using a more refined definition of value, that the value stock return premium is far more consistent over time than is commonly believed and that it has been positive in recent years. Rodríguez examines the market timing ability of individual investors in the US and finds that investors correctly time the market during the full sample period and during sub periods based on different market conditions.

Next, Pae and Atra compare the performance of retirement portfolios using the average glide path of five popular target date funds to general rules of thumb for asset allocation. Zaremba, Umutlu, and Karathanasopoulos offer a new integrated framework to combine alpha momentum and alpha reversal into a superior investment strategy for international equity markets. The results are robust to alternative weighting schemes, the effect of trading costs, alternative alpha models, and controlling for popular return predictive variables.

As we continue, Malkiel and Saha examine funds chosen based on various fund characteristics and find that a portfolio of funds chosen based on the combination of characteristics of lowest expense ratio, and lowest turnover and highest Sharpe ratio, generates considerably better future performance than the average actively managed fund and the difference in returns is statistically significant. Dong and Guo explore the separate momentum effect in the positive and negative return environments at both the time domain and the frequency domain and present their findings.

To conclude the issue, Agudze, Ibhagui, and Thompson revisit the association between changes in the cross-currency basis and the dollar from a purely empirical, data-driven perspective, taking a deeper look at rolling, rather than static, correlations at different windows and using the dollar bases of G10 and 10 emerging market currencies. The results have implications for trade positioning in the cross-currency basis swap markets. Blackburn and Cakici study the frontier markets in the regions of Europe, Africa, Middle East, and Asia; factor mimicking portfolios based on market capitalization, book-to-market equity, and momentum; and reveal significant returns to value and momentum for all size groups. Their evidence suggests that frontier and developed markets are segmented.

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

  • © 2020 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: 29 (3)
The Journal of Investing
Vol. 29, Issue 3
April 2020
  • Table of Contents
  • Index by author
  • Complete Issue (PDF)
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 Mar 2020, 29 (3) 1; DOI: 10.3905/joi.2020.29.3.001

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 Mar 2020, 29 (3) 1; DOI: 10.3905/joi.2020.29.3.001
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
  • COMMENTARY: Last Page
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