Journal of Index Investing最新文献

{"title":"Risk-Based Tactical Asset Allocation Strategies toEnhance the Performance of Balanced and LifecycleFunds: Some International Evidence","authors":"J. Okunev","doi":"10.3905/jii.2016.7.3.101","DOIUrl":"https://doi.org/10.3905/jii.2016.7.3.101","url":null,"abstract":"The fund management industry provides numerous financial products to help investors accumulate wealth in preparation for their retirement. Typically, such financial products as balanced funds and lifecycle funds have been the most popular. Recently, because of the two major bear markets from 2000 to 2009, considerable interest has been shown in developing investment strategies that focus on risk rather than returns. In this article, the author proposes a glide path value-at-risk (VaR) approach that takes into account the time variation of risk and return. He shows that the glidepath VaR approach outperforms the terminal value of a 60/40 balanced fund by up to 35%. Furthermore, he proposes that lifecycle funds should not be “age based” but should be “risk based.”","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jii.2016.7.3.101","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70090068","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Editor’s Letter","authors":"Brian R. Bruce","doi":"10.3905/jii.2016.7.3.001","DOIUrl":"https://doi.org/10.3905/jii.2016.7.3.001","url":null,"abstract":"DaviD anTin CEO Dave BliDe Publisher We begin the Winter issue with a methodology from Giese, Ossen, and Bacon to extract an unbiased, standalone environmental, social, and governance (ESG) performance factor from a broad database of ESG indicators and show that this factor can add financial value in portfolios and financial indexes. Next, Alighanbari, Doole, and Shankar delve into the practicalities of low-volatility investing, including construction issues, their performance in different market regimes, and the effect of recent increased demand on the strategy’s behavior. Atwill and Pritamani provide an analysis of how much country tilts have historically contributed to the differences in returns between the standard and small-capitalization indexes in emerging market equities. Next, Blitz finds that the amount of factor exposure provided by popular smart beta strategies differs considerably, as does their degree of focus on a single target factor; he provides insight into how “quality” and “high dividend” indexes relate to academic factors. Talmage, Puddy, Irlicht, and Randall calculate and explain the apparent outperformance for investors domiciled in the United States, Australia, Germany, Japan, Switzerland, or the United Kingdom and then propose a simple adjustment method to the net benchmark to better represent the actual return to an investor based on their location and the actual withholding taxes incurred. Mattar, Marchioni, Antropova, and Finlayson consider recent performance outcomes for beta investors employing both derivative and exchange-traded fund (ETF) vehicles for index replication. They propose a vehicle selection framework, based on a quantitative assessment, that could help investors measure the precision of index replication. Hoxhaj and Khattree introduce the concept of variable leverage for ETFs. They show through simulations that this newly constructed leveraged fund is better behaved than the usual constant-multiple leveraged fund in terms of standard deviations and volatility of the compounded returns. Our special section for the Winter issue focuses on tactical asset allocation. Thompson presents the value of tactical asset allocation within an investment portfolio: how this works, what are the upsides/ downsides, what do financial advisors, asset managers, and end-clients need to know, and some tips learned along the way. Okunev then proposes a glidepath value-at-risk (VaR) approach that takes into account the time variation of risk and return and suggests that that lifecycle funds should not be age based but rather should be risk based. We welcome your submissions. Please encourage those you know who have good papers or have made good presentations on indexing, ETFs, mutual funds, or related subjects to submit them to us. We value your comments and suggestions, so please email us at journals@ investmentresearch.org.","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jii.2016.7.3.001","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70090317","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Designing Low-Volatility Strategies","authors":"M. Alighanbari, S. Doole, Durga Shankar","doi":"10.3905/jii.2016.7.3.021","DOIUrl":"https://doi.org/10.3905/jii.2016.7.3.021","url":null,"abstract":"Since the Global Financial Crisis hit in 2008, low volatility has garnered increased attention from institutional investors. In this article, the authors delve into the practicalities of low-volatility investing, including construction issues, their performance in different market regimes, and the effect of recent increased demand on the strategy’s behavior. They discuss that although heuristic approaches tend to be simpler, only optimization-based approaches can take full advantage of the correlation between stocks. Constraints are essential in creating a well-behaved and investable low-volatility index. The authors show how different constraints can improve a minimum volatility strategy without having a significant impact on its volatility. Via attribution analyses, they analyze the sources of long-term outperformance of a minimum volatility index and discuss the valuation of minimum volatility indexes after the recent increases in demand and outperformance.","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jii.2016.7.3.021","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70090374","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Why Tactical Asset Allocation?","authors":"Bradbury Thompson","doi":"10.3905/jii.2016.7.3.096","DOIUrl":"https://doi.org/10.3905/jii.2016.7.3.096","url":null,"abstract":"A frequently cited Ibbotson study (2009) shows that over an 80-year period, large and small stocks have provided the highest returns and largest increases in wealth. The problem is not the math, it’s the logic: How many investors have an 80-year investment horizon? Most face two lifetime financial phases: 20–25 years spent accumulating wealth and a like period spending it in retirement. Considering the brevity of the two draws attention to the extended secular bear markets that would have negatively affected their outcome: 1929–1949, 1966–1982, and 2000–?? Such extended declines can devastate retirement savers, making lifetime financial success an accident of birth as opposed to purposeful planning. In structuring client portfolios, the goal is not about beating active or passive indexes, but rather providing returns over time that help achieve long-term investment goals while minimizing the emotional trauma along the way. An investment portfolio needs to be constructed to account for all market conditions, and this means including both tactical and more traditional asset allocation strategies. The author attempts to explain the value of tactical asset allocation within a portfolio and how it works; what are the upsides/downsides; what do financial advisors, asset managers, and end-clients need to know; and some tips learned along the way.","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jii.2016.7.3.096","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70090061","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Global Equities Underperformance Disguised asOutperformance","authors":"Megan Talmage, Aidan Puddy, L. Irlicht, Adam Randall","doi":"10.3905/jii.2016.7.3.049","DOIUrl":"https://doi.org/10.3905/jii.2016.7.3.049","url":null,"abstract":"Investors exactly replicating the MSCI World Index can show an apparent outperformance versus MSCI World (net) of up to 50 basis points per annum, on average, depending on their country of residence. This apparent outperformance is entirely due to the different dividend-withholding tax rates in the benchmark versus what is actually applicable to the investor—and not due to manager skill. It arises because the withholding tax assumptions used in the construction of the benchmark are significantly higher than those actually faced by investors, due to the availability of double-taxation treaties. Investors need to be aware of this effect to ensure they don’t mistakenly attribute this apparent outperformance to manager skill. In this article, the authors calculate and explain this apparent outperformance for investors domiciled in the United States, Australia, Germany, Japan, Switzerland, or the United Kingdom and then propose a simple adjustment method to the net benchmark to better represent the actual return to investors based on their location and the actual withholding taxes incurred.","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jii.2016.7.3.049","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70090439","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Evaluating Investor Outcomes when AccessingEquity Indexes through Derivatives and ETFs: An Update","authors":"Patrick Mattar, Ursula Marchioni, S. Antropova, Ross Finlayson","doi":"10.3905/jii.2016.7.3.057","DOIUrl":"https://doi.org/10.3905/jii.2016.7.3.057","url":null,"abstract":"When seeking to replicate the performance of an equity index, investment vehicle selection can heavily influence an investor’s outcome. In this article, the authors consider recent performance outcomes for beta investors employing both derivative and exchange-traded fund (ETF) vehicles for index replication. They find that, although end-user positioning has always been a driver of derivative pricing, this element has grown in influence. Similar dynamics apply to equity swaps, as both futures and swaps markets have common fundamental drivers: supply/demand pressures and leverage. The authors propose a vehicle selection framework, based on a quantitative assessment, that could help investors measure the precision of index replication.","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jii.2016.7.3.057","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70090481","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"ESG as a Performance Factor for Smart Beta Indexes","authors":"G. Giese, Arnfried Ossen, Steven Bacon","doi":"10.3905/jii.2016.7.3.007","DOIUrl":"https://doi.org/10.3905/jii.2016.7.3.007","url":null,"abstract":"Although traditional financial factors, such as value, growth, and momentum, have become common practice in the construction of smart beta indexes, the question whether environmental, social, and governance (ESG) data can be used as a performance factor in a similar way is a controversial topic in the asset management community. In this article, the authors develop a methodology to extract an unbiased standalone ESG performance factor from a broad database of ESG indicators and apply this ESG factor in different smart beta type of index methodologies. The results show that this ESG factor can add financial value in portfolios and financial indexes and can be used the same way as or in addition to traditional common performance factors.","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jii.2016.7.3.007","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70090327","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Same Leverage, Less Volatility: An Alternative Approach to the Construction of Leveraged Funds","authors":"Valmira Hoxhaj, R. Khattree","doi":"10.3905/jii.2016.7.3.075","DOIUrl":"https://doi.org/10.3905/jii.2016.7.3.075","url":null,"abstract":"This article introduces the concept of variable leverage for exchange-traded funds while keeping in mind that the target value for the leverage value is still fixed. This is done to ensure that the daily percentage hedging demand is kept constant, which in turn provides some assurance to investors that excessive buying and selling will not take place. By using simulations, the authors show that this newly constructed leveraged fund is better behaved than the usual constant multiple leveraged fund in terms of standard deviations and volatility of compounded returns.","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jii.2016.7.3.075","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70090494","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Impact of Country Tilts on Emerging Market Small-Cap Indexes","authors":"Timothy W. Atwill, Mahesh Pritamani","doi":"10.3905/jii.2016.7.3.035","DOIUrl":"https://doi.org/10.3905/jii.2016.7.3.035","url":null,"abstract":"Many investors invest in emerging market small-capitalization equities to capture the small-cap premium. Investor approach to this investment is greatly influenced by how MSCI, the leading benchmark provider for emerging markets, constructs its small-cap indexes. MSCI’s choice to primarily focus on the smallest stocks in the entire emerging markets investable universe, and not the smallest stocks in each country, has many ramifications. Most importantly, it leads to dramatically different country weights between the MSCI Emerging Markets Small Cap Index and the standard MSCI Emerging Markets Index. This influences the empirical small-cap premium, which is calculated as the difference in performance between the standard and small-cap indexes. In many years, a material portion of this premium is driven by differences in country exposures. Investors need to keep this in mind as they go about allocating their assets to the small-cap segment of emerging markets.","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jii.2016.7.3.035","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70090387","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"ETFs within a Mutual Fund’s Portfolio","authors":"D. Sherrill, Sara E. Shirley, Jeffrey R. Stark","doi":"10.3905/JII.2016.7.2.006","DOIUrl":"https://doi.org/10.3905/JII.2016.7.2.006","url":null,"abstract":"The authors document extensive use of exchange-traded funds (ETFs) within mutual fund portfolios and find that their use grew substantially between 2004 and 2014, in both total dollar value and the number of unique ETFs held. Although the findings are most notable in long ETF positions, they find extensive short ETF positions within the mutual fund industry as well. When looking at the use of inverse or leveraged ETFs, they find far less utilization. As the popularity of ETFs continues to increase, the authors expect that their importance within mutual fund portfolios will continue to grow as well.","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/JII.2016.7.2.006","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70090157","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}