« Clawbacks in Play with SEC, Dodd-Frank | Main | Interview with Christine Richard, Author of "Confidence Game" »

08/17/2010

Recent Research: Highlights from August 2010


Click to Print This Page

Celebrating 10 Years of ETFs in Europe.” The Journal of Index Investing (Summer 2010). Deborah Fuhr, Shane Kelly.

This article is a comprehensive report on the history and outlook for the exchange-traded fund industry in Europe. It covers both ETFs and exchange-traded products (ETPs). ETFs are open-end index funds that provide daily portfolio transparency, are listed and traded on exchanges like stocks on a secondary basis, and utilize a unique creation and redemption process for primary transactions. ETPs are products that have similarities to ETFs in the way they trade and settle, but they do not use a mutual fund structure. The use by ETPs of other structures, including grantor trusts, partnerships, notes, and commodity pools, can create different tax and regulatory implications for investors when compared to ETFs.

Active Portfolio Management and Positive Alphas: Fact or Fantasy?The Journal of Portfolio Management (Summer 2010). Robert A. Jarrow.

It is commonly believed that active portfolio management can generate positive alphas. This is partly based on the belief that positive alphas represent disequilibrium returns, which can exist in complex financial markets. In contradiction, this article shows that positive alphas represent arbitrage opportunities, not just disequilibrium returns. As persistent and frequent arbitrage opportunities are much rarer, even in complex markets, Jarrow argues that positive alphas are more fantasy than fact. He introduces the notion of an unobservable factor that can generate false positive alphas, and which resolves the inconsistency between common belief and the sparsity of positive alphas.

Examining the Use of Investment Policy Statements.” The Journal of Wealth Management (Fall 2010). Steve P. Fraser, William W. Jennings.

Using a sample of Investment Policy Statements from college and university endowments, the authors examine the form and use of these important documents. Direct examination of the IPS reveals subtleties that surveys may obscure. In addition to providing statistical insights into endowment management, the authors extract what they view as best practices from the Investment Policy Statements themselves. This study provides valuable insights for individual and institutional investors and their advisors.

NYSSA members can purchase some of the above journals at a 25% reduced price. To redeem the discount, first log into your NYSSA account or call 1-800-437-9997. 

Related Posts Plugin for WordPress, Blogger...

Comments

The comments to this entry are closed.

UConn-ad

NYSSA Job Center Search Results

To sign up for the jobs feed, click here.


UPCOMING EVENT
MF16

NYSSA Market Forecast™: Investing In Turbulent Times
January 7, 2016

Join NYSSA to enjoy free member events and other benefits. You don't need to be a CFA charterholder to join!


CFA® EXAM PREP

CFA® Level I 4-Day Boot Camp
Midtown

Thursday November 12, 2015
Instructor: O. Nathan Ronen, CFA

CFA® Level II Weekly Review - Session A Monday
Midtown

Monday January 11, 2016
Instructor: O. Nathan Ronen, CFA

CFA® Level III Weekly Review - Session A Wednesday
Midtown

Wednesday January 13, 2016
Instructor: O. Nathan Ronen, CFA

CFA® Level III Weekly Review - Session B Thursday
Thursday January 21, 2016
Instructor: O. Nathan Ronen, CFA

CFA® Level II Weekly Review - Session B Tuesday
Thursday January 26, 2016
Instructor: O. Nathan Ronen, CFA