Index + Factors + Alpha

FromFinancial Analysts Journal

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Index + Factors + Alpha

FromFinancial Analysts Journal

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Length:

6 minutes

Released:

Sep 10, 2021

Format:

Podcast episode

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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.

Released:

Sep 10, 2021

Format:

Podcast episode

Titles in the series (61)

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.

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Editor’s Snapshot, Financial Analysts Journal, 2019. Vol 75, No 3: 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... by Financial Analysts Journal
7 min listen
Editor’s Snapshot, Financial Analysts Journal, 2019. Vol 75, No 2: 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... by Financial Analysts Journal
8 min listen
The Equity Differential Factor in Currency Markets: 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. by Financial Analysts Journal
4 min listen
The Near-Term Forward Yield Spread as a Leading Indicator: A Less Distorted Mirror: 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. by Financial Analysts Journal
5 min listen
Editor's Snapshot, Financial Analysts Journal, 2019. Vol 75, No 1: 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... by Financial Analysts Journal
6 min listen
The Tax Benefits of Separating Alpha from Beta: 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. by Financial Analysts Journal
3 min listen
Net Share Issuance and Asset Growth Effects: The Role of Managerial Incentives: 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. by Financial Analysts Journal
4 min listen
Inefficiencies in the Pricing of Exchange-Traded Funds: An Interview with Antti Petajisto: 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... by Financial Analysts Journal
16 min listen
Buffett's Alpha: An Interview with Andrea Frazzini: 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... by Financial Analysts Journal
14 min listen
Corporate Governance, ESG, and Stock Returns around the World: 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. by Financial Analysts Journal
5 min listen
Editor’s Snapshot, Financial Analysts Journal, 2020. Vol. 76, No. 1: 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... by Financial Analysts Journal
5 min listen
Carry Investing on the Yield Curve: 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. by Financial Analysts Journal
4 min listen
Do Investors Consider Nonfinancial Risks When Building Portfolios?: 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. by Financial Analysts Journal
4 min listen
Optimal Timing and Tilting of Equity Factors: 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. by Financial Analysts Journal
5 min listen
Optimal Currency Hedging for International Equity Portfolios: 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. by Financial Analysts Journal
6 min listen
Risk Management and Optimal Combination of Equity Market Factors: 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. by Financial Analysts Journal
5 min listen
Change Is a Good Thing: 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. by Financial Analysts Journal
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Decentralized Efficiency? Arbitrage in Bitcoin Markets: 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. by Financial Analysts Journal
4 min listen
Editor's Snapshot, Financial Analysts Journal, 2020. Vol. 76, No. 3: 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... by Financial Analysts Journal
5 min listen
Option Investor Rationality Revisited: The Role of Exercise Boundary Violations: 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. by Financial Analysts Journal
6 min listen
Public Sentiment and the Price of Corporate Sustainability: 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. by Financial Analysts Journal
4 min listen
Looking under the Hood of Active Credit Managers: 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. by Financial Analysts Journal
4 min listen
Targeting Retirement Security with a Dynamic Asset Allocation Strategy: 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. by Financial Analysts Journal
5 min listen
Editor's Snapshot, Financial Analysts Journal, Fourth Quarter, 2019. Vol 75, No 4: Managing Editor of the Financial Analysts Journal, Heidi Raubenheimer, CFA, provides an overview of the Fourth Quarter issue of 2019. by Financial Analysts Journal
8 min listen
Editor’s Snapshot, Financial Analysts Journal, 2020. Vol. 76, No. 2: 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... by Financial Analysts Journal
6 min listen
Portfolio Choice with Path-Dependent Scenarios: 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:... by Financial Analysts Journal
6 min listen
Editor's Snapshot, Financial Analysts Journal, First Quarter, 2021, Vol. 77, No. 1: 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... by Financial Analysts Journal
5 min listen
A New Framework for Analyzing Market Share Dynamics among Fund Families: 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. by Financial Analysts Journal
5 min listen
When Managers Change Their Tone, Analysts and Investors Change Their Tune: 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. by Financial Analysts Journal
6 min listen
Conditional Volatility Targeting: 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 by Financial Analysts Journal
5 min listen

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Editor's Snapshot, Financial Analysts Journal, Fourth Quarter, 2021, Vol. 77 No. 4: 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"... by Financial Analysts Journal
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Tax-Loss Harvesting: An Individual Investor’s Perspective: This is a summary of “,” by Kevin Khang, Thomas Paradise, and Joel Dickson, published in the Fourth Quarter 2021 issue of the Financial Analysts Journal. by Financial Analysts Journal
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Hedge Funds vs. Alternative Risk Premia: This is a summary of “,” by Philippe Jorion, published in the Fourth Quarter 2021 issue of the Financial Analysts Journal. by Financial Analysts Journal
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Boosting the Equity Momentum Factor in Credit: This is a CFA Institute summary of “,” published in the Fourth Quarter 2021 issue of the Financial Analysts Journal. by Financial Analysts Journal
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Editor's Snapshot, Financial Analysts Journal, Third Quarter, 2021, Vol. 77, No. 3: 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... by Financial Analysts Journal
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To Bundle or Not to Bundle? A Review of Soft Commissions and Research Unbundling: 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... by Financial Analysts Journal
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Hedge Fund Performance: End of an Era?: 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:... by Financial Analysts Journal
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Equity Investing in the Age of Intangibles: 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:... by Financial Analysts Journal
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Maturity-Matched Bond Fund Performance: 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:... by Financial Analysts Journal
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Index + Factors + Alpha

Index + Factors + Alpha

Description

Titles in the series (61)

More Episodes from Financial Analysts Journal