CFA Institute: Financial Analysts Journal: Table of Contents

Making Retirement Income Last a Lifetime

cfapubs@cfainstitute.org (Stephen C. Sexauer et al) — Wed, 11 Jan 2012 18:34:19 GMT

Financial Analysts Journal, Ahead of Print.
To enable investors to spend down the assets in their defined contribution accounts more easily, the authors propose a decumulation benchmark comprising a laddered portfolio of TIPS for the first 20 years (consuming 88 percent of available capital) and a deferred life annuity purchased with the remaining 12 percent. This portfolio can be used directly by the investor (akin to indexing) or as a benchmark for evaluating the performance of a more aggressive strategy.

Demographic Changes, Financial Markets, and the Economy

cfapubs@cfainstitute.org (Robert D. Arnott et al) — Fri, 23 Dec 2011 14:58:59 GMT

Financial Analysts Journal, Ahead of Print.
Using a large sample of countries and 60 years of data, the authors found a strong and intuitive link between demographic transitions and both GDP growth and capital market returns. Unlike previous researchers, who used ad hoc and restrictive demographic variables, the authors imposed a smooth and parsimonious polynomial curve across all age groups. They also performed robustness checks and produced forecasts for the coming decade, with all the necessary caveats.

Future Directions for Investment Management—Call for Papers

cfapubs@cfainstitute.org (Robert Litterman et al) — Fri, 23 Dec 2011 14:58:56 GMT

Financial Analysts Journal, Ahead of Print.
The executive editor discusses his views on an issue of interest to FAJ readers.

2011 Report to Readers

cfapubs@cfainstitute.org (Rodney N. Sullivan) — Fri, 23 Dec 2011 14:58:58 GMT

Financial Analysts Journal, Ahead of Print.

Leverage Aversion and Risk Parity

cfapubs@cfainstitute.org (Clifford S. Asness et al) — Fri, 16 Dec 2011 17:08:49 GMT

Financial Analysts Journal, Ahead of Print.
The authors show that leverage aversion changes the predictions of modern portfolio theory: Safer assets must offer higher risk-adjusted returns than riskier assets. Consuming the high risk-adjusted returns of safer assets requires leverage, creating an opportunity for investors with the ability to apply leverage. Risk parity portfolios exploit this opportunity by equalizing the risk allocation across asset classes, thus overweighting safer assets relative to their weight in the market portfolio.

Two Key Concepts for Wealth Management and Beyond

cfapubs@cfainstitute.org (William Reichenstein et al) — Fri, 16 Dec 2011 17:08:53 GMT

Financial Analysts Journal, Ahead of Print.
Asset allocation is profoundly influenced by at least two underappreciated concepts. First, tax-deferred accounts—for example, 401(k)s—are like partnerships in which the investor owns (1 – tn) of the partnership principal and the government owns the remainder, where tn is the marginal tax rate when the funds are withdrawn. Second, the government shares in both the return and the risk of assets held in taxable accounts. The authors discuss these concepts’ implications for wealth management.

Informed Traders: Linking Legal Insider Trading and Share Repurchases

cfapubs@cfainstitute.org (Konan Chan et al) — Fri, 16 Dec 2011 17:08:47 GMT

Financial Analysts Journal, Ahead of Print.
Logic suggests that a link might exist between insider trades and share repurchases because of their potential to signal mispricing when market prices deviate from fair value; both events emanate from essentially the same set of decision makers. Using the overall repurchase sample, adding insider-trading information is generally not helpful. For “value” buyback companies, however, where perceived mispricing may be a more important factor, insider trading provides a strong complement to the repurchase signal.

Deploying Financial Emotional Intelligence

cfapubs@cfainstitute.org (Rodney N. Sullivan) — Thu, 17 Nov 2011 18:36:11 GMT

Financial Analysts Journal Nov 2011, Vol. 67, No. 6: 4-10.
The editor discusses his views on an issue of interest to FAJ readers.

Erratum: Errata

Thu, 17 Nov 2011 18:36:12 GMT

Financial Analysts Journal Nov 2011, Vol. 67, No. 6: 11-11.

“A Survey of Alternative Equity Index Strategies”: A Comment

cfapubs@cfainstitute.org (Noël Amenc et al) — Thu, 17 Nov 2011 18:36:14 GMT

Financial Analysts Journal Nov 2011, Vol. 67, No. 6: 14-16.
This material comments on “A Survey of Alternative Equity Index Strategies”.

“A Survey of Alternative Equity Index Strategies”: Author Response

cfapubs@cfainstitute.org (Tzee-man Chow et al) — Thu, 17 Nov 2011 18:36:05 GMT

Financial Analysts Journal Nov 2011, Vol. 67, No. 6: 16-20.
This material comments on “A Survey of Alternative Equity Index Strategies”.

Most Likely to Succeed: Leadership in the Fund Industry

cfapubs@cfainstitute.org (Robert Pozen et al) — Thu, 17 Nov 2011 18:36:02 GMT

Financial Analysts Journal Nov 2011, Vol. 67, No. 6: 21-28.
The authors’ review of mutual fund industry rankings over the past two decades suggests critical factors for success in the business. Surprisingly, the critical factors are not fund performance or marketing. Instead, the firms that are most likely to succeed are dedicated to the asset management business and are structured as partnership-like organizations controlled by their investment professionals. View a webinar based on this article. Self-test

Active Management in Mostly Efficient Markets

cfapubs@cfainstitute.org (Robert C. Jones et al) — Thu, 17 Nov 2011 18:36:09 GMT

Financial Analysts Journal Nov 2011, Vol. 67, No. 6: 29-45.
This survey of the literature on the value of active management shows that the average active manager does not outperform but that a significant minority of active managers do add value. Further, studies suggest that investors may be able to identify superior active managers (SAMs) in advance by using public information. Investors who can identify SAMs should be able to improve their overall Sharpe ratio by including a meaningful exposure to active strategies. Self-test

When Two Anomalies Meet: The Post–Earnings Announcement Drift and the Value–Glamour Anomaly

cfapubs@cfainstitute.org (Zhipeng Yan et al) — Thu, 17 Nov 2011 18:35:58 GMT

Financial Analysts Journal Nov 2011, Vol. 67, No. 6: 46-60.
This study of the post–earnings announcement drift and the value–glamour anomaly finds that value stocks have greater information uncertainty, exhibit more-muted initial market reactions to earnings surprises, and have better (more positive or less negative) post–earnings announcement drifts than do glamour stocks. A trading strategy based on these findings can generate an average annual abnormal return of 16.6–18.8 percent before transaction costs. Self-test

The Impact of International Institutional Investors on Local Equity Prices: Reversal of the Size Premium

cfapubs@cfainstitute.org (Hao Jiang et al) — Thu, 17 Nov 2011 18:36:00 GMT

Financial Analysts Journal Nov 2011, Vol. 67, No. 6: 61-76.
Using comprehensive company-level ownership data from Japan, the authors found that the equity size premium correlates strongly with the investment flows of international institutional investors. When investment flows intensified and shifted into larger stocks in the mid-1990s, the equity size premium was reversed. Their findings suggest that a large fraction of the time variation in the size premium is driven by price pressures, regardless of any shift in the fundamentals of small and large companies. Self-test

Trading Relative Performance with Alpha Indexes

cfapubs@cfainstitute.org (Jacob S. Sagi et al) — Thu, 17 Nov 2011 18:35:56 GMT

Financial Analysts Journal Nov 2011, Vol. 67, No. 6: 77-93.
Relative performance is central to investment management, and yet relative performance securities do not trade directly. Complex trading strategies must be devised to capture relative gains. The authors introduce a suite of relative performance indexes and index derivatives that offer new and attractive payoff structures. They demonstrate a variety of ways in which these products can provide a more efficient and cost-effective means of realizing investment objectives than can traditional futures and option markets.

Wealth Building Strategies in Energy, Metals, and Other Markets (a review)

cfapubs@cfainstitute.org (Bruce C. Greig et al) — Wed, 20 Apr 2011 14:57:01 GMT

Financial Analysts Journal Nov 2011, Vol. 67, No. 6: 1-1.
Chris Waltzek details easily accessible and timely methods for navigating future investment markets. He focuses on a few economically sensitive sectors—namely, energy, metals, and real estate. Waltzek succinctly describes many problems that investors will face in the years ahead and proposes solutions to a number of them.

In the Future

cfapubs@cfainstitute.org (Rodney N. Sullivan) — Thu, 17 Nov 2011 18:36:16 GMT

Financial Analysts Journal Nov 2011, Vol. 67, No. 6: 96-96.
The editor highlights upcoming FAJ articles.

Full Issue

Thu, 17 Nov 2011 18:36:03 GMT

Financial Analysts Journal Nov 2011, Vol. 67, No. 6: 1-96.
This PDF contains the complete November/December 2011 issue of Financial Analysts Journal.