Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • PA Reports
  • Submit an article
  • More
    • About JAI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • CAIA Member Login
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • LinkedIn
  • Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Alternative Investments
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Alternative Investments

The Journal of Alternative Investments

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • PA Reports
  • Submit an article
  • More
    • About JAI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • CAIA Member Login
  • LinkedIn
  • Twitter
Article
Open Access

Editor’s Letter

Hossein Kazemi
The Journal of Alternative Investments Winter 2016, 18 (3) 1; DOI: https://doi.org/10.3905/jai.2016.18.3.001
Hossein Kazemi
Editor-in-Chief
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF
Loading

This issue of The Journal of Alternative Investments deals with two broad topics: Allocation to Alternative Investments and Commodity Markets. The first topic is particularly important and relevant as public pension systems have increasingly shifted away from equities and fixed income in favor of alternative investments. Paul Rose and Jason S. Seligman construct panel data of legislative changes affecting pensions, merging these with fund-level data from the Public Plans Database. Using these, they consider governance and financial performance motivations, as well as principal-agent and herding problems. They find evidence that while alternative relative performance has waned since 2007, allocations have continued to grow.

In recent years, investors have sought alternative asset allocation models that would provide better risk allocation and perhaps better protection against downside risk during periods of financial stress. Perchet et al. discuss one such strategy—volatility targeting. This strategy suggests a rebalancing approach between the risky portion of the portfolio and the cash to target a constant level of risk over time. When applied to equities and compared to a buy-and-hold strategy, it is known to improve the Sharpe ratio and reduce drawdowns. In this article, the authors find that volatility clustering and fat tails in return distributions are the two effects with the largest explanatory power. The results are even stronger when there is a negative relationship between return and volatility, which is known to be the case not only in equities but also to some extent in corporate bonds, government bonds, and commodities. They report that the benefits of the strategy are more significant for equities and high-yield corporate bonds, which show the strongest volatility clustering, fat tails, and negative relationship between returns and volatility.

The second part of this issue covers various topics in the commodity and futures markets. Hilary Till reminds us of hits and misses in the area of financial innovation. She explains why certain futures contracts have succeeded while others have failed. Nicolas Fulli-Lemaire and Ernesto Palidda examine the role of commodity prices as a source of information about future inflation rates. Christian Lundström and Jarkko Peltomäki argue that the value addition from investing in short-term futures trading strategies is their reconcilability with unanticipated risk shocks. They perform an empirical analysis of short-term and long-term CTA (trend-following) strategies and find that the exclusive characteristic of short-term CTAs is their significant and consistent long position in unanticipated risk shocks. Their findings imply that short-term futures trading strategies can offer considerable diversification opportunities for investors during equity market crisis situations. Finally, Matthias Georg Will, Sören Prehn, Ingo Pies, and Thomas Glauben survey the academic and industry research on financial speculation in agricultural commodities. They report that the available research does not provide support that the recent increase in financial speculation has caused either (a) a rise of the price level or (b) a rise of the price volatility in agricultural markets. Taking these findings into consideration, this article highlights an approach on how econometric research might enlighten public and political discourses even if the public opinion seems to be opposing academic findings.

Hossein Kazemi

Editor-in-Chief

  • © 2016 Pageant Media Ltd

PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Alternative Investments: 18 (3)
The Journal of Alternative Investments
Vol. 18, Issue 3
Winter 2016
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Alternative Investments.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Editor’s Letter
(Your Name) has sent you a message from The Journal of Alternative Investments
(Your Name) thought you would like to see the The Journal of Alternative Investments web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Editor’s Letter
Hossein Kazemi
The Journal of Alternative Investments Dec 2015, 18 (3) 1; DOI: 10.3905/jai.2016.18.3.001

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Editor’s Letter
Hossein Kazemi
The Journal of Alternative Investments Dec 2015, 18 (3) 1; DOI: 10.3905/jai.2016.18.3.001
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • Editor’s Letter
  • Practical Applications of A Performance Update—Hedge Funds versus Hedged Mutual Funds: An Examination of Equity Long—Short Funds
  • Practical Applications of Cryptocurrencies as an Asset Class? An Empirical Assessment
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 13 1600
 
NEW YORK
41 Madison Avenue, 20th Floor, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • LinkedIn
  • Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1520-3255 | E-ISSN: 2168-8435

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies