why publish your research with institutional investor ... assets/author_brochure.pdf · state...
TRANSCRIPT
Why publish your research with Institutional Investor Journals?
About UsInstitutional Investor Journals (IIJ) is a boutique publisher of journals and has been well-respected in the financial industry since the launch of its flagship publication, The Journal of Portfolio Management, in 1974. Our current portfolio consists of eleven quarterly publications covering a variety of fields, including fixed income, index investing, alternative investments, and derivatives. We are committed to publishing the best in finance, at the highest editorial standards, from contributors worldwide.
IIJ IS YOUR TRUSTED PARTNER FOR YOUR PUBLISHING NEEDS
Over 40 years of publishing leading research in finance
Articles are written for practitioners
Journal articles are peer-reviewed
Highest editorial standards
Subscribers in more than 70 countries
Join the ranks of industry leaders, Nobel Laureates, and distinguished academics who have been published by Institutional Investor Journals.
www.iijpm.com
Q UA N T I TAT I V E S T R AT EG I E S:FAC TO R I N V E S T I N G
The Voices of Influence | iijournals.com
SPECIAL ISSUE2017
SPONSORED BY
T
HE JO
UR
NA
L O
F P
OR
TFO
LIO
MA
NA
GE
MEN
T
QU
ANTITATIVE STRATEG
IES: FACTOR IN
VESTING | SPECIA
L ISSUE | M
ARCH 2017
CONTRIBUTORS: ANDREW W. ALFORD | NOËL AMENC | ANDREW ANG | CLIFFORD ASNESS | ROBERT BASSJENNIFER BENDER | STEPHEN W. BIANCHI | SWATI CHANDRA | PAUL A COCOMA | MEGAN CZ ASONIS | ELROY DIMSON
FRÉDÉRIC DUCOULOMBIER | MIKHEIL ESAKIA | FRANK J. FABOZZI | SCOT T GL ADSTONE | LISA R. GOLDBERG | FELIX GOLTZANT TI ILMANEN | RONEN ISRAEL | JANG HO KIM | WOO CHANG KIM | MARK KRITZMAN | WAI LEE | DING LIU | PAUL MARSH
EUGENE PODK AMINER | DMITRY A. RAKHLIN | ALL AN ROSENBERG | STEPHEN A. ROSS | RITIRUPA SAMANTASIVAGAMINATHAN SIVASUBRAMANIAN | MIKE STAUNTON | DAVID TURKINGTON
Founded by Peter Bernstein in 1974, The Journal of Portfolio Management is your definitive source of thought-provoking analysis and practical techniques in institutional investing. It gives industry professionals cutting-edge research on asset allocation, performance measurement, market trends, risk management, portfolio optimization, and more.EDITOR: Frank J. Fabozzi ISSN: 0095-4918 JOURNAL IMPACT FACTOR: 0.410 (2016 Journal Citation Reports® Clarivate Analytics, 2017)
FOLLOW US @iijournals www.iijournals.com
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
The Journal of Portfolio Management and The Journal of Derivatives are included in the Web of Science and have Impact Factors (see first and last page)*
Six IIJ journals are ranked in the CiteScore metrics from Scopus.**
Some of the journals are included in the annual “Journal Quality List” by the Australian Business Deans Council (ABDC) and received an A ranking.‡
Our journals are recognized as leading publications by many business schools and research associations (e.g. HEC Paris, WU Vienna, Erasmus)
The Journals are indexed by the following databases and aggregators:
Institutional Investor Journals has current subscribers in more than 70 countries.
Reputation and Discoverability
AudienceReach top industry experts...
A trusted source since 1974
Job Function
Portfolio Manager
12%
Chief Investment Officer or C-Suite Executive
36%
Consultant
2%
87% of the respondents answered with the above job functions, 13% responded “other.”
Academic/Academic Researcher
1%
Investment Strategy
6%
Quantitative Analyst
3%
Investment Researcher
6%
Researcher/Librarian
12%
Senior VP or VP of Investments
3%
Trader
6%
Analyst
8%
Risk Management
5%
87% of the respondents answered with the above job functions, 13% responded “other.”*Results based on a survey conducted by Optimum Source Inc. in December 2016.
JPM Subscriber breakdown*
Your research will be read by experts in financial services, investment services, consulting services, financial planning, and insurance services, as well as by policy makers and academic researchers worldwide.
The journals are included in Cabell’s Directories, which provides an overview of high quality and impact publications.‡‡
*Source: https://login.webofknowledge.com
**Source: https://journalmetrics.scopus.com
‡Source: http://www.abdc.edu.au/master-journal-list.php
‡‡ Source: https://www.cabells.com/
As an author in any of the journals you become eligible to be nominated for the annual Peter L. Bernstein Award sponsored by Research Affiliates. Authors in JPM become eligible for the Bernstein Fabozzi/Jacobs Levy Awards sponsored every year by Jacobs Levy. Both prestigious awards offer cash prizes.
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
the Journal of
Journals Platform
Marketing/PR
The Institutional Investor Journals marketing team is committed to promoting your research to a global audience. We use a mix of digital marketing, including email, landing pages, social media, SEO, and paid search to constantly engage and increase our readership.
Advanced search functionality allows users to search across all journals on our website by year, volume, issue, DOI, author, title, key words, and publication date.
Sessions up 25% (Year over year 2016 vs. 2017)
Unique visitors up 35% (Year over year 2016 vs. 2017)
Page views up 25% (Year over year 2016 vs. 2017)
Online journal usage grows yearly.*
We are your marketing department
Promotion through parent brand Pageant Media and other industry partners.
We create webcasts on hot topics with panels of industry experts and publish special issues on select subjects, including quantitative finance, real estate, and ETFs.
We work with agencies that expose our press releases to over 1,250 outlets*
Your work may be cited in news media*
Our social media audience grew by over 20% within the last 12 months.
1,400+ fans
8,900+ members
3,600+ followers
*Source: Atypon Literarum and Google Analytics.
*A selection of examples are shown.
IIJ is represented at leading industry conferences including CFA Institute Annual Conference and the American Economic Association conference (ASSA).
New website 2017IIJ has a new website with improved functionality, mobile usability, and advanced search features!
Discover the Best Journals for Your Research
Our editors and advisory board members have deep expertise in finance and economics and are among the best-known and respected names in the industry. Our success is built on the community of practitioners, researchers, editors, reviewers, and authors who never stop to innovate, debate, and collaborate.
We are always looking for new ideas that help push the industry forward. If you would like to publish your research in our journals, we would truly welcome the opportunity to speak with you.
FOLLOW US @iijournals www.iijournals.com
The Voices of Influence | iijournals.com
The Journal of A
lternative Investments
Vo
lum
e 19, Issue 4 | S
prin
g 2017
Spring 2017 – Volume 19 Issue 4 | www.iiJAI.com
Official Publication of the CAIA Association®
CommoditiesSpicing Up a Portfolio with Commodity Futures: Still a Good Recipe?Robert T. Daigler, Brice Dupoyet, and Leyuan You
Oil Price Movements and Risks of Energy InvestmentsGregory Brown, Raymond Chan, Wendy Y. Hu, and Jian Zhang
Time-Varying Risk Premiums and Term Premiums in Commodity FuturesDenis B. Chaves
Private EquitySynthetic Peer Benchmarking for Diversified Private Equity ProgramsJeroen Cornel
An Analysis of Returns of Moderately Aged Buyout Funds with Low Residual ValuesJeffrey Hooke, Steven Hee, and Ken Yook
Introducing Excess Return on Time-Scaled Contributions: An Intuitive Return Measure and New Solution to the IRR and PME ProblemYindeng Jiang
WHAT DOES IMPLIED VOLATILITY SKEW MEASURE?SCOTT MIXON 8
A SIMPLE AND ACCURATE SIMULATION APPROACH TO THE HESTON MODELJIANWEI ZHU 28
PRICING AND HEDGING QUANTO FORWARD-STARTING FLOATING-STRIKE ASIAN OPTIONSCHUANG-CHANG CHANG, TZU-HSIANG LIAO, and CHUEH-YUNG TSAO 37
THE PRICING OF PATH-DEPENDENT STRUCTURED FINANCIAL RETAIL PRODUCTS: THE CASE OF BONUS CERTIFICATESRAINER BAULE and CHRISTIAN TALLAU 42
LOCALLY CAPPED INVESTMENT PRODUCTS AND THE RETAIL INVESTORCAROLE BERNARD, PHELIM P. BOYLE, and WILLIAM GORNALL 66
RISK MANAGEMENT MODELS: CONSTRUCTION, TESTING, USAGEROBERT A. JARROW 76
T H E J O U R N A L O F
DERIVATIVES
The Voices of Influence | iijournals.com
WINTER 2017 | VOL. 26 | NO. 1 | IIJOD.COM
o The Credit Risk Premium n Attakrit Asvanunt and Scott Richardson
o Are the Probabilities Right? New Multiperiod Calibration Tests n Andreas Blöchlinger
o A Structural Model for Optimal Selection of Maturity and Timing of Callable Bond Issuance
n Shengguang Qian, S. Lakshmivarahan, and Duane Stock
o Liquidity in the U.K. Corporate Bond Market: Evidence from Trade Data
n Matteo Aquilina and Felix Suntheim
o Revisiting Interest Rate Swap Valuation with Counterparty Risk, Wrong-Way Risk, and OIS Discounting
n Ayoub Gargouri, Van Son Lai, and Issouf Soumaré
o Why Is Accounting Information Important to Bondholders? n Doina Chichernea, Alex Petkevich, and Kainan Wang
FIXED INCOMEThe Journal of
VOLUME 26 NUMBER 3 WINTER 2017
TH
E JO
UR
NA
L O
F FIXE
D IN
CO
ME
W
INT
ER
2017 VO
LU
ME
26, NU
MB
ER
3
The Voices of Influence | iijournals.com
www.iijfi.com
THE JOURNAL OF
ETFs, ETPs & IndexingSPRING 2017 VOLUME 7 NUMBER 4 | www.IIJII.com
The Voices of Influence | iijournals.com
It’s All about Active ETFs
Structured Products and the Mischief of Self-Indexing
Social Change through Indexing: A Gender Diversity Index
Crowding, Capacity, and Valuation of Minimum Volatility Strategies
Exchange-Traded Funds: Sector Performance and Diversification
Capturing the Chinese A-Shares and H-Shares Price Anomaly
Big Data, Small Pickings: Predicting the Stock Market with Google Trends
Blockchain-Enabled, Subscriber-Based Capital Markets Index Data Distribution
6
16
30
41
51
60
75
83
THE JOURNAL OF INDEX INVESTING ETFs | ETPs | INDEXINGS
PR
ING
20
17 VO
LU
ME
7 N
UM
BE
R 4
PHIL MACKINTOSH KCG
GENG DENG, Wells FargoCRAIG McCANN, AND MIKE YAN
Securities Litigation and Consulting Group, Inc.
TAIE WANG State Street Global Advisors
ANDREW ANG, ANANTH MADHAVAN, AND ALEKSANDER SOBCZYK
BlackRock
CARL F. LUFT, DePaul UniversityAND JOHN P. PLAMONDON, Envestnet Retirement Solutions
EDDIE PONG, PETER GUNTHORP, AND ALEX CHEN
FTSE Russell
WAI MUN FONGNational University of Singapore
WARREN PENNINGTON AND JOHN EVANS Vanguard Group
T H E J O U R N A L O F
WINTER 2016 Volume 25 Number 4THEORY & PRACTICE FOR FUND MANAGERS
Volume 25 N
umb
er 4TH
E J
OU
RN
AL O
F IN
VE
STIN
G
THEO
RY
& P
RA
CTIC
E FO
R F
UN
D M
AN
AG
ER
S W
INTE
R 2
016 •
7 IN DEFENSE OF ALL-ACTIVE MANAGER STRUCTURES
HAMILTON LEE AND JACQUELINE WILLIAMS
20 FRONTIER MARKET INVESTING: ACTIVE VERSUS PASSIVE
LARRY SPEIDELL
27 RISK AND VOLATILITY: A DIFFERENTIAL VIEW
KOROK RAY
34 THE ALPHAS OF ASSET ALLOCATORS
DON M. CHANCE
51 HOW DO MUNICIPAL BONDS BEHAVE WITHOUT TAX EXEMPTION?
RUSTIN T. YERKES, LAUREN W. BATES, AND SARA HELMS McCARTY
64 SMART CURRENCY HEDGING FOR SMART BETA GLOBAL EQUITIES
SANNE de BOER
79 DETERMINANTS OF SHORT INTEREST TRADING
HARLAN PLATT AND LANGXUAN YIN
87 WHY GOLD HAS A REAL RETURN—AND HOW TO VALUE IT
JULIAN VAN ERLACH
97 SHARE ISSUANCE AND EXPECTED RETURNS AROUND THE WORLD
ADAM ZAREMBA AND SZYMON OKON
SPECIAL SECTION: LIABILITY-DRIVEN INVESTING
109 ASSESSING LOW-VOLATILITY ASSETS IN THE LDI FRAMEWORK
WEI GE
121 LDI: LOW YIELDS, CUSTOMIZATION, AND MANAGING DOWNSIDE RISK—AVOIDING A “MEXICAN STANDOFF”
SEAN KURIAN
134 COMMERCIAL MORTGAGES: AN ALTERNATIVE TO LONG CORPORATE BONDS FOR PENSION PLAN DE-RISKING
XISUO LOUIS LIU
142 LONG BONDS FOR THE SHORT RUNR. EVAN INGLIS AND DAVID R. WILSON
special section
LIABILITY-DRIVEN
INVESTING
WWW.IIJPE.COM | VOL. 20, NO. 2 | SPRING 2017
The Voices of Influence | www.iijournals.com
Th
e Jo
ur
na
l o
f P
riv
at
e E
qu
ity
VO
LU
ME
2
0, N
UM
BE
R 2
|
S
PR
ING
20
17
“Prepare for 2017 disruptive changes: they portend new opportunities with stronger U.S. growth, fiscal stimulus, and less regulation.”
F. John Mathis, Editor
Increasing the Odds of Having the Right CEOs Running
Portfolio Companies | Matt Brubaker, MaryCay Durrant, and Josh Kuehler | p. 7
Generating Great Results through ZBB
Frederico Gama Gondim | p. 12
The Returns of Private Equity Funds:
A Swiss Perspective | Daniel Steger | p. 15
Corporate Raiders at the Gates of Germany?
Value Drivers in Buyout Transactions | Fabian Söffge and Reiner Braun | p. 28
Benchmark Construction and Performance Evaluation
of Mezzanine Finance Funds | Yaacov Kopeliovich
p. 46
Venture Capital Investment Choice:
Multicriteria Decision Matrix | Sarita Mishra, Dinabandhu Bag, and Siddharth Misra | p. 52
From Waitress to Professor: Surprising Lessons for Investing in 920 Emerging Markets
Carolyn Campbell | p. 69
Audit Expectation Gap among Undergraduate
Accounting Students at Jordanian Universities
Najeb Masoud | p. 73
Market Snapshot | p. 90
T H E J O U R N A L O F
The Voices of Influence | iijournals.com
RETIREMENT SPRING 2017 Volume 4 Number 4 www.iijor.com
Floods and Deserts: Why the Dream of a Secure Pension for Everyone Is Still Unattained
STEPHEN C. SEXAUER and LAURENCE B. SIEGEL
Health State and the Savings Required for a Sustainable RetirementW.V. HARLOW and KEITH C. BROWN
Improving the Defined-Contribution System: The U.S. Can Learn from Other Countries’ Approaches
to Helping Retirees Convert Their Savings into Lifetime IncomeARON SZAPIRO
Do People Get the Information They Need When They Claim Social Security? Evidence from Observations of the Social Security Administration Claims Process
LAUREL BEEDON, LILIA CHAIDEZ, SUSAN CHIN, MARK GLICKMAN, and JOEL MARUS
Too Little or Too Much? Women’s Economic Risk ExposureCHRISTIAN E. WELLER and MICHELE E. TOLSON
To Roll or Not to Roll: A Framework for Assessing the Benefit of IRA Rollovers
DAVID M. BLANCHETT and PAUL D. KAPLAN
The Role of Long-Maturity TIPS in Retirement PortfoliosSTEVE SAPRA and NIELS PEDERSEN
White Label Funds: A No-Nonsense Design HandbookROD BARE, JAY KLOEPFER, LORI LUCAS, and JAMES VENERUSO
Thought Leadership Sponsor
TH
E JOU
RN
AL O
F RET
IREM
ENT
SPR
ING
2017 Volum
e 4 N
umber 4
The Voices of Influence | iijournals.com
An Examination of Post-Crisis Financial Markets LitigationJOSEPH HELLER and GENE PHILLIPS, PF2 Securities Evaluations
Indian Securitization Market: A PrimerVINOD KOTHARI and ABHIRUP GHOSH, Vinod Kothari Consultants P. Ltd.
Much of Model Risk Does Not Come from Any ModelMARTIN GOLDBERG, Validationquant, LLC
Public–Private Partnerships in the U.K. Post-E.U. ReferendumAMIRA MUSTAFA, Menara Analytics
Credit Risk Transfer Is Not a Panacea for Fannie and FreddieLANDON D. PARSONS and MICHAEL SHEMI, Moelis & Company
Enabling Bond Market Finance for Infrastructure Projects in India: The Problem of Credit RatingsDHRUBA PURKAYASTHA and K.C. IYER, IIT Delhi
Potential Legal and Regulatory Issues Affecting the Securitization Industry in 2017PATRICK DOLAN, Norton Rose Fulbright US
Climate Change Driving Financial Innovation: The Case of Green BondsANDREAS HORSCH and SYLVIA RICHTER, Technische Universität Bergakademie Freiberg
Design, Structure, and Risk Assessment of a Pre-Securitization Financing Facility for Rooftop Solar Projects in IndiaARSALAN ALI FAROOQUEE, cKers Finance
Representations and Warranties in Mortgage-Backed SecuritiesMARK ADELSON, Independent Consultant
Highlights from
MAX ADAMS
Highlights from Structured Finance Industry Group (SFIG)
Spring 2017 Volume 23 Number 1 www.iijsf.com
W W W . I I J O T . C O M S P R I N G 2 0 1 7 V O L U M E 1 2 N U M B E R 2
Th
e Jou
rn
al o
f Tr
ad
ing
Sp
rin
g 20
17
Vo
lum
e 12
, nu
mb
er 2
The Voices of Influence | iijournals.com
5Microstructure under the Microscope: Tools to Survive and Thrive in the Age of
(Too Much) InformationRavi Kashyap, IHS Markit
and City University of Hong Kong
28Quintet Volume ProjectionVladimir Markov,
Olga Vilenskaia, and
Vlad Rashkovich, Bloomberg LP
44Comparing Transition Track Records: An Attempt to Create
Like-for-Like ComparisonsRamon Tol, Blue Sky Group
50Conditional Probabilistic Analysis of Trade Ticks in
Currency Derivatives MarketsGaurav Raizada and
S.V.D. Nageswara Rao,
Indian Institute of Technology
59Price Discovery and Liquidity Characteristics for
U.S. Electronic Futures and ETF MarketsA. Senol Oztekin, Hepa Investment
Co.; Suchismita Mishra,
Florida International University;
Pankaj K. Jain, University of
Memphis; Robert T. Daigler,
Florida International University;
Sascha Strobl, Dongbei University
of Finance and Economics; and
Richard D. Holowczak,
City University of New York
73Can Trading Volume Validate Extreme Price Movements
in the Age of Higher Algorithmic Trading Activities?Yu-Jung L. Avis, College of Saint
Rose; Chingfu Chang, National
Chengchi University; and
Dandan Wu, College of Saint Rose
EDITOR: Brian R. Bruce ISSN: 2154-7238
EDITOR: Brian R. Bruce ISSN: 1068-0896
EDITOR: F. John Mathis ISSN: 1096-5572
EDITOR: Mark Adelson ISSN: 1551-9783
EDITOR: Jean L.P. Brunel ISSN: 1534-7524
EDITOR: Brian R. Bruce ISSN: 1559-3967
The Journal of Alternative Investments provides cutting-edge research and expert analysis on managing investments in hedge funds, private equity, distressed debt, commodities, futures, energy, funds of funds, and other nontraditional assets. It is the official publication of the Chartered Alternative Investment Analyst Association (CAIA®).EDITOR: Hossein Kazemi, ISSN: 1520-3255
Every issue of The Journal of Fixed Income provides sophisticated research and revealing case studies on bonds, high-yield bonds, municipals, ABS, MBS, CDOs, and credit derivatives. Industry experts offer penetrating analysis on fixed income structuring, performance tracking, and risk management.EDITOR: Stanley J. Kon, ISSN:1059-8596
The Journal of Retirement is a scholarly, thought-leading practitioner journal presenting retirement research by and for financial advisors, retirement savings plan sponsors, consultants, policy experts, and those structuring retirement products.EDITOR: George A. (Sandy) Mackenzie ISSN: 2326-6899
The Journal of Derivatives is the leading analytical journal on derivative theories, providing detailed information on how they are used in practice. It gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques.EDITOR: Stephen Figlewski, ISSN: 1074-1240JOURNAL IMPACT FACTOR: 0.458 (2016 Journal Citation Reports® Clarivate Analytics, 2017)
Volume 20 No. 1 Summer 2017
“While it makes a great deal of sense to revisit one’s
commitment to so-called hedge funds in the light of
the experience of the last 10 years, one needs to keep
a cool head and avoid jumping to conclusions to make
sensible decisions.”
Jean Brunel - Editor’s Letter
The Voices of Influence | www.iijournals.com
www.iijwm.com
T
he Journal of Wealth M
anagement
Summ
er 20
17
, Volume 2
0, N
o. 1
10 Franklin J. ParkerKnowing What to Worry About: A Goals-Based Application of Fragility Detection Theory
17 Hsiu-I TingFactors Affecting Wealth Management Services: From Investors’ and Advisors’ Perspectives
30 Michael Faloon and Bernd SchererIndividualization of Robo-Advice
37 Stephen E. ChristopheTime to Stay Home? Global Diversification during the Past 25 Years
47 Bryan FolticeCan Individual Investors Use Option Strategies and the Tax Code to Their Advantage?
53 Raj S. Dhankar and Kunjana MalikEarnings Quality of Private Equity-Backed and Non-Private Equity-Backed Firms in India
62 Akash Dania and Ramin MaysamiDynamic Linkages and Volatility Transmission from Global Equity Markets to Frontier Equity Markets of the Middle East and Africa
83 Anthony L. LoviscekShould Preferred Stock Funds Be Included in Mutual Fund Portfolios?
97 John A. HaslemMutual Fund Economies of Scale: Nature and Sources
126 Jordan FrenchThe One: A Simulation of CAPM Market Returns
MARK ADELSONContent Director Institutional Investor JournalsEmail: [email protected]: 212-224-3215
DAVE BLIDEPublisher Institutional Investor JournalsEmail: [email protected]: 212-224-3187