CFA Institute Financial Analysts Journal

CFA Institute

Quick coverage of the leading practitioner journal in the investment management community. Get a 5 minute snapshot of each issue of the Financial Analysts Journal in the Editor's Snapshot with Managing Editor Heidi Raubenheimer. Also find summaries of the research articles and interviews with authors. All the original Journal articles can be found on https://www.tandfonline.com/toc/ufaj20/current

All Episodes

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"

Oct 15

7 min 20 sec

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.

Sep 23

5 min 34 sec

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.

Sep 22

5 min 45 sec

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.

Sep 21

5 min 44 sec

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.

Sep 10

5 min 50 sec

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.

Sep 6

5 min 1 sec

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.

Aug 30

4 min 38 sec

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"

Jul 15

6 min 48 sec

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

Jun 23

6 min 58 sec

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

Jun 11

4 min 54 sec

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

May 24

5 min 59 sec

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

May 21

3 min 34 sec

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

May 19

5 min 10 sec

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

May 10

4 min 18 sec

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

Apr 20

6 min 19 sec

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

Apr 20

5 min 8 sec

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

Apr 20

4 min 36 sec

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

Apr 20

4 min 59 sec

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

Apr 20

4 min 24 sec

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

Apr 20

3 min 49 sec

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”

Apr 15

7 min 45 sec

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

Apr 14

6 min 3 sec

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

Mar 30

5 min 7 sec

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

Mar 30

4 min 40 sec

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

Mar 30

5 min 40 sec

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

Mar 30

6 min 12 sec

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

Jan 19

6 min 5 sec

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”

Jan 18

5 min 5 sec

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

Oct 2020

4 min 41 sec

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

Oct 2020

3 min 12 sec

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

Oct 2020

4 min 33 sec

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

Oct 2020

4 min 18 sec

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  

Jul 2020

4 min 56 sec

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.

Jul 2020

5 min 17 sec

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.

Jul 2020

5 min 10 sec

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.

Jul 2020

5 min 5 sec

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.

Jul 2020

4 min 54 sec

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.

Jul 2020

4 min 22 sec

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.

Jul 2020

4 min 55 sec

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.

Apr 2020

4 min 10 sec

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.

Apr 2020

3 min 49 sec

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.

Apr 2020

6 min 26 sec

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.

Apr 2020

4 min 9 sec

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.”

Apr 2020

5 min 57 sec

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.

Jan 2020

6 min 18 sec

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.

Jan 2020

4 min

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.

Jan 2020

4 min 55 sec

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.

Jan 2020

3 min 24 sec

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.

Jan 2020

5 min 5 sec

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.

Nov 2019

13 min 32 sec