Editor’s Letter

Welcome to the latest edition of The Journal of Investing.

This issue has a special section dedicated to trading. Our goal is to discuss the critical market dynamics reshaping today’s trading landscape—from the dramatic reorganization of US markets and the new era of global regulation, to the dynamic evolution of the buyside/sellside relationship.

To begin the issue, we have another wonderful insight from Richard Ennis. Ennis looks at the performance of endowment managers and is a must read.

After Ennis, our trading articles begin. First we have Favreau and Garvey examining changes in market liquidity around the triggering of US equity market-wide circuit breakers. Next, Gómez-Martínez, Orden-Cruz, and Medrano-García discuss algorithmic trading systems that use Machine Learning and Artificial Intelligence (AI). They propose an AI model using predictor variables based on trend-following momentum indicators.

Wu and Wang follow with an article on retail investor trading. Retail investors have been viewed as noise traders by academics for decades. This article provides a fresh perspective on the effect of an increasing number of new retail investors joining the stock market on asset prices at the market level.

We continue our trading section with an article by Chakraborty, Grant, Trahan, and Varma, who look at the rotational and performance implications for traders of EVA style analysis. Bolster, Trahan, and Ebrahimi examine trading opportunities created by stock rating changes from Morningstar.

Next, Madhavan, Pasquali, and Sommer show how advanced trading analytics can help asset managers deliver improved investment outcomes for portfolios.

Liu, Viswanathan, and Xia conclude our trading section with an interesting article about the effect of large trades in the Chiag A-shares market. They find several interesting results.

Next we have an article by Van Loon that looks at the tension between long-term goals and short-term risks. It shows that an investor might have a specific end-goal in mind when structuring an investment portfolio, but the realization of a short-term risk in the interim can force a stop-out before the end-goal is achieved.

We conclude the issue with some final thoughts from Jim Grant, who helped us put this special issue together.

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

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