Download complete issue - IndexUniverse.com

More documents

Recommendations

Info

Editor’s Note Taking A Fresh Look Jim Wiandt Editor Sometimes life is just blind luck. At no point in time did we solicit articles for an issue titled “New Perspectives.” We had an entirely different topic planned for March/April, but when we peeked in our hopper, we saw that we had a bevy of very good but disparate independently submitted articles that offer new perspectives on some established ideas. Not being ones to look a gift horse in the mouth, we took it and ran with it. It has made for some great reading. Mebane Faber and Prabhat Dalmia of Cambria Investment Management kick off the issue with a discussion of the cyclically adjusted price-to-earnings, or CAPE, ratio that was developed by Robert Shiller. They examine the metric’s applicability across a range of foreign markets and how it can be used in building portfolios. We then check in with Robert Maynard of the Public Employee Retirement System of Idaho for our regular institutional investor feature to discuss how he manages one of the country’s most successful public pension funds. Felix Goltz, Véronique Le Sourd and Masayoshi Mukai of the EDHEC-Risk Institute follow up with a discussion of a survey of American investment professionals and their main concerns and requirements with regard to the benchmarks they use, including their views on alternatively weighted indexes. On the same general theme, David Blitz of Robeco then weighs in with a commentary on what he sees as the problems with “smart beta” indexes. Next up, S&P Dow Jones Indices’ David Blitzer offers a unique angle on the wave of ETF closures that took place in 2012. David Blanchett of Morningstar steps in after that to provide evidence that actively managed mutual funds have become increasingly less active in recent years, raising the question of whether the trend is because of the rise of index funds. Brigham Young University Professor Craig Israelsen follows with a reality check for investors who might be thinking about jettisoning (or significantly reducing) their fixed-income allocation. And Ronald Slivka, Sharad Bhat and Sridhar Nonabur Srinivasamurthy offer a blueprint for how one might go about constructing a coveredcall ETF for an emerging market. Finally, always-quick-on-the-uptake JOI Managing Editor Heather Bell puts the issue to bed with a meditation on her shocking realization that the sky hasn’t fallen. We hope you find the issue as useful as we have and that your 2013 is off to a good start. Jim Wiandt Editor 8 March / April 2013
InsideIndexing risk, return & inDexing strAtegies 2 nd annual conference 2013 Producers of: InsideETFs InsideCommodities InsideFixedIncome InsideETFsTrading April 22-23, 2013 Westin COPLeY PLACe • BOstOn, MA SAve the dAte! Designed for Pension Plans, endowments & Foundations Today’s institutional investors are looking at how investment strategies using index funds can assist in their goal to create “all-weather,” “volatility-buffered,” “crash-proof” portfolios. For two days, join leading practitioners as well as globally recognized index providers, index fund managers, ETF issuers and academics to address the most significant and timely issues facing investment officers and other institutional managers. LunchEon SpEakErS: Nate Silver Founder FiveThirtyEight.com Donald L. Luskin chief Investment officer TrendMacro CE credits available pending approval tAke ADvAntAge OF Our eArLY-BirD rAtes! www.insideindexingConference.com/JOi or call 415-659-9006 Presented by:
Page 1 and 2: Plus an interview with Robert Mayna
Page 3 and 4: www.journalofndexes.com Vol. 16 No.
Page 5 and 6: McGRAW-HILL You can never have too
Page 7 and 8: ©2013 Morningstar, Inc. All rights
Page 9: THE POWERSHARES DB COMMODITY INDEX
Page 13 and 14: kets and currencies—as particular
Page 15 and 16: and the Nasdaq-100 Technology Secto
Page 17 and 18: ficially drive up the price of copp
Page 19 and 20: Over 70 years ago, Benjamin Graham
Page 21 and 22: are high as they do when valuations
Page 23 and 24: the U.K.), but most of the other co
Page 25 and 26: JOI: But PERSI’s strategy does se
Page 27 and 28: www.journalofindexes.com have been
Page 29 and 30: Figure 1 Main Index Providers And R
Page 31 and 32: Figure 5 Five Key Issues With Equit
Page 33 and 34: Figure 8 Important Issues When Sele
Page 35 and 36: indexes that do not rely on a buy-a
Page 37 and 38: Figure 13 Relative Risk of Alternat
Page 39 and 40: For example, in a recent paper, we
Page 41 and 42: value of the Maximum Diversificatio
Page 43 and 44: Despite high t-statistics, statisti
Page 45 and 46: There is a growing body of research
Page 47 and 48: olling annual correlation to the re
Page 49 and 50: Interest rates go up. And down. And
Page 51 and 52: Figure 4 Impact Of Worst-Case Bond
Page 53 and 54: conference schedule the world’s b
Page 55 and 56: While the global financial crisis t
Page 57 and 58: [Kapadia & Szado, 2007] and reached
Page 59 and 60: tic, we found it prudent to test th
Page 61 and 62:
Morningstar Index Funds U.S. Style
Page 63 and 64:
Exchange-Traded Dow Jones U.S. Indu
Page 65 and 66:
News continued from page 15 Malkiel
Page 67 and 68:
ETF Analytics There are over 1,000
show all

Download complete issue - IndexUniverse.com

Create successful ePaper yourself

Delete template?

Save as template?