Journal of Indexes • Latest Issue

[Bylo Selhi]

Journal of Indexes • 2nd Quarter 2005 [May05] Topics include tax efficiency of ETFs, bond indexes, increasing sustainable retirement withdrawal rates using international diversification and costs still matter.

[Bylo Selhi]

Journal of Indexes [Sep/Oct06] Topics include interviews with myriad "leading lights of the indexing industry to answer a few questions about the hottest topics du jour" and a summary of the continuing debate over fundamental indexing.

[Bylo Selhi]

The November/December 2007 issue is dedicated to Correlation and hence diversification.

International Small Cap: A Distinct Asset Class?
Frank Nielsen, CFA
Does international small cap justify a different investment process?

The Benefits of Low Correlation
Craig Israelsen
Why low correlations matter for retirement.

That Was Then, This Is Now
John Bogle, David Blitzer, Kathleen Moriarty, Floyd Norris and Richard Shiller
Five titans look back on 50 years of the S&P 500.

Mapping A Market For Correlation
David Krein
Spread options and diversification for a new era.

Tracking Error And The Efficient Frontier
Brian C. Blanchett and David M. Blanchett
A look at tracking error on the portfolio level.

The New 130/30
Andrew White,CFA
An alternate approach to implementing enhanced long strategies.

Talking Indexes - When The Data Change ...
David Blitzer
When a crisis hits,cash and Treasuries are king, and everything else is trouble.

The Curmudgeon - Marrying Vice And Virtue
Brad Zigler
Go,and correlate no more.

[Bylo Selhi]

March / April 2008 -- Active vs. Passive 2.0

There's nothing like a little market volatility to stoke the fires of the old active vs. passive debate. And it's been a wild ride lately. That, coupled with the fact that every year the lines between ''active'' and ''passive'' become ever more blurred, makes this a particularly poignant issue. Could it be the last hurrah of the old active vs. passive debate? This issue is pretty much ALL about active vs. passive, from this note all the way through funnyman Brad Zigler's Curmudgeon column. Kicking it off are Howard Present and Ron Santangelo with an interesting twist on active investing. They say that by quant—indexing baskets of active managers, you might actually be able to generate some positive alpha, something you can't do by buying and holding the group. Jane Li and Ruhan Inanoglu follow with a blow—by—blow analysis of active vs. passive. The key metric of their research is differentiating what they call ''real alpha'' from ''exotic beta.'' Next up is a very detailed comparison of Vanguard's active and passive funds. And you thought Vanguard was an index shop! Speaking of Vanguard, John Bogle returns to these pages with a look at why dividends are the key source of long—term returns … and why they are missing from most mutual fund returns today. (Hint: Think expenses.) Meanwhile, Professor Haslem et al. weigh in with an old—school look across all S&P 500 funds. Are there differences among managers or is it ALL about cost? Russell's Kelly Haughton questions how emerging markets stocks are currently categorized, while S&P's David Blitzer questions whether active actually outperforms indexed in the emerging markets asset category. Bringing us home, as always, is Brad Zigler with an irreverent—some might even say snide—look at the subject of active passivity. It was fun, this active vs. passive thing. We hope you enjoy this last salute to the great debates of yore.

[Bylo Selhi]

Lots more interesting stuff in the May/June issue, but here's one for starters...

Bogle's Corner

When we were an industry that sold what we made, the returns earned by shareholders closely paralleled the returns reported by the funds themselves. But when we became an industry that focused on making what would sell, those two returns sharply diverged...

In the recent era, while the conditions were different, the outcome was the same. In the late 1990s, fund investors again paid a high price for our focus on the promise of the technology-driven information age, and on the promised land of the great bull market. The price they paid can be measured by the errors that fund investors made in the timing of their fund purchases and the selection of the funds they chose...

I believe that the mandatory and prominent disclosure of shareholder returns alongside fund returns would alert fund investors to the true returns that managers have actually achieved for their shareholders. Such disclosure, I suspect, would also discourage fund managers—and brokers and financial advisors, too—from following 'the fund of the week' syndrome; remind them of the perils of aggressive marketing; and give them some self-discipline regarding the creation and promotion of high-risk funds.