Financial Analysts Journal: Recent Episodes
CFA Institute
Quick coverage of the leading practitioner journal in the investment management community. Get a quick overview of each issue with the Editor's Snapshot. Also find article summaries and more.
Heidi Raubenheimer, CFA, managing editor of the Financial Analysts Journal, provides an overview of the Fourth Quarter issue of 2021, featuring the following articles: "Environmental, Social, and Governance Issues and the Financial Analysts Journal"
"Capital Market Liberalization and Investment Efficiency: Evidence from China"
"Index + Factors + Alpha"
"Hedge Funds vs. Alternative Risk Premia"
"Boosting the Equity Momentum Factor in Credit"
"ESG Rating Disagreements and Stock Returns"
"Tax-Loss Harvesting: An Individual Investor's Perspective"
This is a summary of “ESG Rating Disagreement and Stock Returns,” by Rajna Gibson Brandon, Philipp Krueger, and Peter Steffen Schmidt, published in the Fourth Quarter 2021 issue of the Financial Analysts Journal.
This is a summary of “Capital Market Liberalization and Investment Efficiency: Evidence from China” by Liao Peng, Liguang Zhang, and Wanyi Chen, published in the Fourth Quarter 2021 issue of the Financial Analysts Journal.
This is a summary of “Tax-Loss Harvesting: An Individual Investor’s Perspective,” by Kevin Khang, Thomas Paradise, and Joel Dickson, published in the Fourth Quarter 2021 issue of the Financial Analysts Journal.
This is a summary of “Index + Factors + Alpha,” by Andrew Ang, Linxi Chen, Michael Gates, and Paul D. Henderson, published in the Fourth Quarter 2021 issue of the Financial Analysts Journal.
This is a summary of “Hedge Funds vs. Alternative Risk Premia,” by Philippe Jorion, published in the Fourth Quarter 2021 issue of the Financial Analysts Journal.
This is a CFA Institute summary of “Boosting the Equity Momentum Factor in Credit,” published in the Fourth Quarter 2021 issue of the Financial Analysts Journal.
Heidi Raubenheimer, CFA, managing editor of the Financial Analysts Journal, provides an overview of the Third Quarter issue of 2021, featuring the following articles:
"The Financial System Red in Tooth and Claw: 75 Years of Co-Evolving Markets and Technology"
"Volmageddon and the Failure of Short Volatility Products"
"Chinese and Global ADRs: The US Investor Experience"
"To Bundle or Not to Bundle: A Review on Soft Commissions and Research Unbundling"
"Decarbonizing Everything"
"Hedge Fund Performance: End of an Era?"
"Predicting Bond Returns: 70 Years of International Evidence"
To Bundle or Not to Bundle? A Review of Soft Commissions and Research Unbundling
This is a summary of “To Bundle or Not to Bundle? A Review of Soft Commissions and Research Unbundling,” by M. Bender, B. Clapham, P. Gomber, and J. Koch, published in the Third Quarter 2021 issue of the Financial Analysts Journal.
To Bundle or Not to Bundle? A Review of Soft Commissions and Research Unbundling
This is a summary of “Hedge Fund Performance: End of an Era?,” by Nicolas P.B. Bollen, Juha Joenväärä, and Mikko Kauppila, published in the Third Quarter 2021 issue of the Financial Analysts Journal.
Summary: https://www.cfainstitute.org/research/financial-analysts-journal/2021/hedge-fund-performance
This is a summary of “Predicting Bond Returns: 70 Years of International Evidence” by Guido Baltussen, Martin Martens, and Olaf Penninga, published in the Third Quarter 2021 issue of the Financial Analysts Journal.
Summary: https://www.cfainstitute.org/research/financial-analysts-journal/2021/predicting-bond-returns
This is a summary of “Volmageddon and the Failure of Short Volatility Products,” published in the Third Quarter 2021 issue of the Financial Analysts Journal.
Summary: https://www.cfainstitute.org/research/financial-analysts-journal/2021/volmageddon-failure-short-volatility-products
This is a summary of “Chinese and Global ADRs: The US Investor Experience,” published in the Third Quarter 2021 issue of the Financial Analysts Journal.
Summary: https://www.cfainstitute.org/en/research/financial-analysts-journal/2021/chinese-and-global-adrs
This is a summary of “Decarbonizing Everything,” by A. Cheema-Fox, CFA, B. LaPerla, G. Serafeim, D. Turkington, CFA, and H. Wang, published in the Third Quarter 2021 issue of the Financial Analysts Journal.
Summary: https://www.cfainstitute.org/en/research/financial-analysts-journal/2021/decarbonizing-everything
This is a summary of “Risk Mitigation of Corporate Social Performance in US Class Action Lawsuits,” by Daniel V. Fauser and Sebastian Utz, published in the Second Quarter 2021 issue of the Financial Analysts Journal.
Summary: https://www.cfainstitute.org/en/research/financial-analysts-journal/2021/risk-mitigation-csp-us-class-action-lawsuits
This is a summary of “Retirement Income Sufficiency through Personalised Glidepaths,” by Michael E. Drew and Jason M. West, published in the Second Quarter 2021 issue of the Financial Analysts Journal.
Summary: https://www.cfainstitute.org/en/research/financial-analysts-journal/2021/retirement-income-sufficiency-personalised-glidepaths
This is a summary of “Identifying Hedge Fund Skill by Using Peer Cohorts” by David Forsberg, David R. Gallagher, and Geoffrey J. Warren, published in the Second Quarter 2021 issue of the Financial Analysts Journal.
Summary: https://www.cfainstitute.org/research/financial-analysts-journal/2021/identifying-hedge-fund-skill-using-peer-cohorts
This is a summary of “Equity Investing in the Age of Intangibles,” by Amitabh Dugar and Jacob Pozharny, published in the Second Quarter 2021 issue of the Financial Analysts Journal.
Summary: https://www.cfainstitute.org/research/financial-analysts-journal/2021/equity-investing-age-of-intangibles
This is a summary of “Active Trading in ETFs: The Role of High-Frequency Algorithmic Trading,” by Archana Jain, Chinmay Jain, and Christine X. Jiang, published in the Second Quarter 2021 issue of the Financial Analysts Journal.
Summary: https://www.cfainstitute.org/research/financial-analysts-journal/2021/active-trading-in-etfs
This is a summary of the article “Maturity-Matched Bond Fund Performance” by Markus Natter, Martin Rohleder, and Marco Wilkens, published in the Second Quarter 2021 issue of the Financial Analysts Journal.
Summary: https://www.cfainstitute.org/en/research/financial-analysts-journal/2021/maturity-matched-bond-fund-performance
Heidi Raubenheimer, managing editor of the Financial Analysts Journal, provides an overview of the Second Quarter issue of 2021, featuring the following articles:
“Equity Investing in the Age of Intangibles”
“Identifying Hedge Fund Skill Using Peer Cohorts"
“Active Trading in ETFs: The Role of High-Frequency Algorithmic Trading”
"Maturity-Matched Bond Fund Performance"
“Risk Mitigation of Corporate Social Performance in U.S. Class Action Lawsuits"
“Retirement Income Sufficiency through Personalised Glidepaths”
This is a summary of “Enhanced Portfolio Optimization” by Lasse Heje Pedersen, Abhilash Babu, CFA, and Ari Levine, published in the Second Quarter 2021 issue of the Financial Analysts Journal.
Summary: https://www.cfainstitute.org/en/research/financial-analysts-journal/2021/enhanced-portfolio-optimization
This is a summary of “Toward ESG Alpha: Analyzing ESG Exposures through a Factor Lens” by Ananth Madhavan, Aleksander Sobczyk, and Andrew Ang, published in the First Quarter 2021 issue of the Financial Analysts Journal.
Summary: https://www.cfainstitute.org/en/research/financial-analysts-journal/2020/toward-esg-alpha
This is a summary of “Should Mutual Fund Investors Time Volatility?” by Feifei Wang, CFA, Xuemin (Sterling) Yan, and Lingling Zheng, published in the First Quarter 2021 issue of the Financial Analysts Journal.
Summary: https://www.cfainstitute.org/en/research/financial-analysts-journal/2020/should-mutual-fund-investors-time-volatility
This is a summary of “Reports of Value’s Death May Be Greatly Exaggerated,” by Robert D. Arnott, Campbell R. Harvey, Vitali Kalesnik, and Juhani T. Linnainmaa, published in the First Quarter 2021 issue of the Financial Analysts Journal.
Summary: https://www.cfainstitute.org/en/research/financial-analysts-journal/2020/reports-of-values-death-may-be-greatly-exaggerated
This is a summary of "Portfolio Choice with Path-Dependent Scenarios” by Mark P. Kritzman CFA, Ding Li Grace (TianTian) Qiu, David Turkington CFA, published in the First Quarter 2021 issue of the Financial Analysts Journal.
Summary: https://www.cfainstitute.org/en/research/financial-analysts-journal/2020/0015198X-2020-1841539
This is a summary of “Levered and Inverse Exchange-Traded Products: Blessing or Curse?” by Colby J. Pessina and Robert E. Whaley, published in the First Quarter 2021 issue of the Financial Analysts Journal.
Summary: https://www.cfainstitute.org/en/research/financial-analysts-journal/2020/levered-and-inverse-exchange-traded-products
Heidi Raubenheimer, managing editor of the Financial Analysts Journal, provides an overview of the First Quarter issue of 2021, featuring the following articles:
“Levered and Inverse Exchange-Traded Products: Blessing or Curse?”
“Should Mutual Fund Investors Time Volatility?”
“Reports of Value's Death May Be Greatly Exaggerated”
“Toward ESG Alpha: Analyzing ESG Exposures through a Factor Lens”
“Portfolio Choice with Path-Dependent Scenarios”
A summary of “When Equity Factors Drop Their Shorts” by David Blitz, Guido Baltussen, and Pim van Vliet, published in the Fourth Quarter 2020 issue of the Financial Analysts Journal.
Summary
http://www.cfainstitute.org/en/research/financial-analysts-journal/2020/when-equity-factors-drop-their-shorts
A summary of “Factor Exposure Variation and Mutual Fund Performance,” by Manuel Ammann, Sebastian Fischer, and Florian Weigert, published in the Fourth Quarter 2020 issue of the Financial Analysts Journal.
Summary
http://www.cfainstitute.org/en/research/financial-analysts-journal/2020/factor-exposure-variation
A summary of “Provision of Longevity Insurance Annuities” by Dale Kintzel and John A. Turner, published in the Fourth Quarter 2020 issue of the Financial Analysts Journal.
Summary
https://www.cfainstitute.org/en/research/financial-analysts-journal/2020/provision-of-longevity-insurance-annuities
A summary of “Conditional Volatility Targeting” by Dion Bongaerts, Xiaowei Kang, CFA, and Mathijs van Dijk, published in the Fourth Quarter 2020 issue of the Financial Analysts Journal.
Summary
http://www.cfainstitute.org/en/research/financial-analysts-journal/2020/conditional-volatility-targeting
A summary of “An Empirical Evaluation of Tax-Loss-Harvesting Alpha” by S.E. Chaudhuri, T.C. Burnham, and A.W. Lo, published in the Third Quarter 2020 issue of the Financial Analysts Journal.
Summary
http://www.cfainstitute.org/en/research/financial-analysts-journal/2020/empirical-evaluation-tax-loss-harvesting-alpha
A summary of “Risk Management and Optimal Combination of Equity Market Factors,” by Roger Clarke, Harindra de Silva, CFA, and Steven Thorley, CFA, published in the Third Quarter 2020 issue of the Financial Analysts Journal.
A summary of “A New Framework for Analyzing Market Share Dynamics among Fund Families,” by Jan Jaap Hazenberg in the Third Quarter issue of the Financial Analysts Journal.
A summary of “Targeting Retirement Security with a Dynamic Asset Allocation Strategy,” by Adam Kobor, CFA, and Arun Muralidhar, published in the Third Quarter 2020 issue of the Financial Analysts Journal.
A summary of “A Framework for Constructing Equity-Risk-Mitigation Portfolios,” by J. Baz, J. Davis, S. Sapra, N. Gillmann, and J. Tsai, published in the Third Quarter 2020 issue of the Financial Analysts Journal.
A summary of “Decentralized Efficiency? Arbitrage in Bitcoin Markets,” by Sinan Krückeberg and Peter Scholz, published in the Third Quarter 2020 issue of the Financial Analysts Journal.
Managing Editor of the Financial Analysts Journal Heidi Raubenheimer provides an overview of the Third Quarter issue of 2020.
We continue to celebrate 75 years in research publishing with our opening article. Six research articles follow, covering retirement saving, equity defense, multifactor management, tax-loss harvesting, market share, and bitcoin.
A summary of “Public Sentiment and the Price of Corporate Sustainability,” by George Serafeim, published in the Second Quarter 2020 issue of the Financial Analysts Journal.
A summary of “The Equity Differential Factor in Currency Markets,” by David Turkington, CFA, and Alireza Yazdani, published in the Second Quarter 2020 issue of the Financial Analysts Journal.
A summary of “When Managers Change Their Tone, Analysts and Investors Change Their Tune,” by M. Druz, I. Petzev, A. Wagner, and R. Zeckhauser, published in the Second Quarter 2020 issue of the Financial Analysts Journal.
A summary of the article “Looking under the Hood of Active Credit Managers,” by Diogo Palhares and Scott Richardson, published in the Second Quarter 2020 issue of the Financial Analysts Journal.
We open with the first of our series celebrating 75 years of the Journal. Next “The Big Market Delusion” and four research articles: two using big data “Public Sentiment and the Price of Corporate Sustainability” followed by “When Managers Change Their Tone, Analysts and Investors Change Their Tune”; next “The Equity Differential Factor in Currency Markets “and “Looking under the Hood of Active Credit Managers.”
A summary of “Option Investor Rationality Revisited: The Role of Exercise Boundary Violations,” by Robert Battalio, Stephen Figlewski, and Robert Neal, published in the First Quarter 2020 issue of the Financial Analysts Journal.
A summary of “Change Is a Good Thing,” by David M. Blanchett, CFA, Michael S. Finke, and James A. Licato, published in the First Quarter 2020 issue of the Financial Analysts Journal.
A summary of “Net Share Issuance and Asset Growth Effects: The Role of Managerial Incentives,” by Shingo Goto, Zhao Wang, and Shu Yan, published in the First Quarter 2020 issue of the Financial Analysts Journal.
A summary of “The Tax Benefits of Separating Alpha from Beta,” by Joseph Liberman, Clemens Sialm, Nathan Sosner, and Lixin Wang, published in the First Quarter 2020 issue of the Financial Analysts Journal.
We open with “Dynamics of ETF Fees,” followed by five research articles: “Change Is a Good Thing,” highlighting the effectiveness of fund selection and switching; “The Tax Benefits of Separating Alpha from Beta”; an equity strategy in “Net Share Issuance and Asset Growth Effects: The role of managerial incentives.”; and finally “Option Investor Rationality Revisited: The Role of Exercise Boundary Violations”—revealing opportunities in the intraday options market.
Andrea Frazzini talks about the article “Buffett’s Alpha,” Graham and Dodd winner in 2018 from the Financial Analysts Journal. Warren Buffett’s Berkshire Hathaway returns appear to be neither luck nor magic but, rather, a reward for leveraging cheap, safe, high-quality stocks.
Managing Editor of the Financial Analysts Journal, Heidi Raubenheimer, CFA, provides an overview of the Fourth Quarter issue of 2019.
A summary of “Carry Investing on the Yield Curve,” by Martin Martens, Paul Beekhuizen, Johan Duyvesteyn, CFA, and Casper Zomerdijk, CFA, published in the Fourth Quarter 2019 issue of the Financial Analysts Journal.
A summary of “The Near-Term Forward Yield Spread as a Leading Indicator: A Less Distorted Mirror,” by Eric C. Engstrom and Steven A. Sharpe, published in the Fourth Quarter 2019 issue of the Financial Analysts Journal.
A summary of “Optimal Timing and Tilting of Equity Factors,” by Hubert Dichtl, Wolfgang Drobetz, Harald Lohre, Carsten Rother, and Patrick Vosskamp, published in the Fourth Quarter 2019 issue of the Financial Analysts Journal.
A summary of “Corporate Governance, ESG, and Stock Returns around the World,” by Mozaffar Khan, published in the Fourth Quarter 2019 issue of the Financial Analysts Journal.
A summary of “Do Investors Consider Nonfinancial Risks When Building Portfolios?,” by David M. Blanchett, CFA, and Michael Guillemette, published in the Fourth Quarter 2019 issue of the Financial Analysts Journal.
A summary of “Optimal Currency Hedging for International Equity Portfolios,” by Jacob Boudoukh, Matthew Richardson, Ashwin Thapar, and Franklin Wang, published in the Fourth Quarter 2019 issue of the Financial Analysts Journal.
Seven research articles. The first asks, “Are Passive Funds Really Superior?” The second defends portfolio optimization, and the third article assists us in “Choosing and Using Utility Functions.” These three are followed by “Machine Learning for Stock Selection” and “The Impact of Crowding in Alternative Risk Premia Investing.” Next, we investigate “Financial Statement Anomalies in the Bond Market,” and the issue ends with the confusion provoked by the titles used by “Brokers or Investment Advisers.
A viewpoint on Crypto Asset Regulation, a Perspectives article on Spending Policy and five research articles: 1) “Revenge of the Stock Pickers,” showing how much alpha is left behind by ETFs in a sudden selloff, 2) “What Is Quality?,” an in depth investigation into quality factors, 3) a study of the market impact costs of factor strategies , 4) a demonstration of the benefit of tax management, and 5) “Trusting Clients’ Financial Risk Tolerance Survey Scores.”
Two perspective articles: SeLFIES as an antidote to financial ignorance and “Long-Horizon Predictability: A Cautionary Tale. Four research articles follow: “Missing the Mark: Mortgage Asset Valuation Accuracy and Credit Modeling”; “The Returns to Private Debt: Primary Issuances vs. Secondary Acquisitions”; “Trends’ Signal Strength and the Performance of CTAs.”; and “Comparing Cost-Mitigation Techniques.”
Antti Petajisto talks about his article “Inefficiencies in the Pricing of Exchange Traded Funds,” Graham and Dodd winner in 2017 from the Financial Analysts Journal. He found that prices of exchange-traded funds (ETFs) can deviate significantly from their net asset values (NAVs).