Thư viện tri thức trực tuyến
Kho tài liệu với 50,000+ tài liệu học thuật
© 2023 Siêu thị PDF - Kho tài liệu học thuật hàng đầu Việt Nam
JOURNAL OF INDEXES RETHINKING FIXED INCOME ppt
Nội dung xem thử
Mô tả chi tiết
Bonds: Why Bother?
Robert Arnott
Fixed Income Rises from the Ashes
Kenneth Volpert
The State of Fixed-Income Indexing
Brian Upbin, Nick Gendron, Bruce Phelps and Jose Mazoy
Single-Dealer vs. Multidealer Fixed-Income Indexes
Stephan Flagel and Neil Wardley
Plus an interview with Jack Malvey, Blitzer on What Went Wrong, and The Curmudgeon
POSTMASTER: Send all address changes to Charter Financial Publishing Network, Inc., P.O. Box 7550, Shrewsbury, N.J. 07702. Reproduction, photocopying or
incorporation into any information-retrieval system for external or internal use is prohibited unless permission is obtained in writing beforehand from the Journal Of
Indexes in each case for a specific article. The subscription fee entitles the subscriber to one copy only. Unauthorized copying is considered theft.
www.journalofindexes.com
features
www.journalofindexes.com May/June 2009 1
news
data
Selected Major Indexes ................... 50
Returns Of Largest U.S. Index Mutual Funds .. 51
U.S. Market Overview In Style ............... 52
U.S. Economic Sector Review .............. 53
Exchange-Traded Funds Corner ............ 54
iShares On The Block? ................... 42
Schwab To Enter ETF Arena ............... 42
Morningstar Launches ‘Target’ Index Families ... 42
Indexing Developments .................. 42
Around The World Of ETFs ................ 44
Back To The Futures ..................... 48
On The Move ........................... 49
Bonds: Why Bother?
By Robert Arnott . . . . . . . . . . . . . . . . . . . . . . . . . 10
Because they’ve beaten stocks for the past 40 years.
A Stacked Deck
By Kenneth Volpert ....................... 18
Why the market collapsed … and how it changed
fixed income.
Fixed-Income Index Trends And Portfolio Uses
By Brian Upbin, Nick Gendron, Bruce Phelps and
Jose Mazoy .............................. 22
The BarCap brain trust surveys the bond indexing
marketplace.
Ten Questions With Jack Malvey
Edited by Journal Of Indexes Editors ........... 32
An interview with Lehman’s former chief fixedincome strategist.
Single- Vs. Multidealer Fixed-Income Indexes
By Stephan Flagel and Neil Wardley .......... 36
There’s a better way to price bond indexes.
All That Debt
By David Blitzer .......................... 40
With debt, context matters.
Fix My Income … PLEASE!
By Brad Zigler ........................... 56
The Curmudgeon cheerfully conflates baseball
and fixed income.
32
22
18
Vol. 12 No. 3
Contributors
2 May/June 2009 Neil Wardley Kenneth Volpert Brian Upbin Jack Malvey Stephan Flagel David Blitzer Robert Arnott
Robert Arnott is chairman and founder of asset management firm Research
Affiliates, LLC. He is also the former chairman of First Quadrant, LP and has
served as a global equity strategist at Salomon Brothers (now part of Citigroup)
and as the president of TSA Capital Management (now part of Analytic). Arnott
was editor-in-chief at the Financial Analysts Journal from 2002 through 2006, and
has been widely published in financial journals and magazines. He graduated
summa cum laude from the University of California, Santa Barbara, in 1977.
David Blitzer is managing director and chairman of the Standard & Poor’s
Index Committee. He has overall responsibility for security selection for S&P’s
indices and index analysis and management. He previously served as chief
economist for S&P and corporate economist at The McGraw-Hill Companies,
S&P’s parent corporation. Blitzer is the author of “Outpacing the Pros: Using
Indexes to Beat Wall Street’s Savviest Money Managers,” McGraw-Hill, 2001.
He received his M.A. in Economics from Georgetown University and his Ph.D.
in Economics from Columbia University.
Stephan Flagel is a managing director with Markit and head of Markit Indices,
a division created as a result of Markit’s acquisition of International Index
Company and CDS IndexCo in November 2007. Flagel joined Markit in June
2007 from Barclays Capital, where he was chief operating officer for global
research. Prior to this, he worked at Cap Gemini as a financial services strategy
consultant. Flagel holds a B.A. in Economics from George Mason University
and an M.B.A. from the London Business School.
Jack Malvey is currently a consultant and was previously the chief global fixedincome strategist at Lehman Brothers. From 1996 to 2007, his Lehman responsibilities also included oversight of the firm’s global family of indexes. Malvey
is a member of the Fixed Income Analyst Society’s Hall of Fame and has been
a ranked strategist by Institutional Investor for the past 18 years, including 16
consecutive No. 1 rankings. He is a Chartered Financial Analyst.
Brian Upbin is a director in Barclays Capital’s Index Products group. In addition to various Barclays Capital research publications, his research has also
appeared in The Journal of Portfolio Management. Upbin joined Barclays Capital
in September 2008 from Lehman Brothers, where he was the head of the U.S.
Fixed Income Index Strategies team. He received his B.A. from the University
of Pennsylvania, and his M.B.A. from Yale University. A Chartered Financial
Analyst and Chartered Alternative Investment Analyst, Upbin is also a member
of the Fixed Income Analysts Society, Inc.
Kenneth Volpert is principal, senior portfolio manager and head of the Taxable
Bond group at Vanguard, where he oversees management of more than 30
bond funds with over $180 billion in global assets. Volpert is a member of
the Barclays Index Advisory Council, the CFA Institute and the CFA Society of
Philadelphia. He has more than 25 years’ experience in fixed-income management. He earned a B.S. in Finance from the University of Illinois-Urbana, and
an M.B.A. from the University of Chicago.
Neil Wardley joined Markit in August 2008, following more than 15 years in fixedincome research at Lehman Brothers, where he was a senior vice president in the
firm’s fixed-income business. During his tenure at Lehman, Wardley worked in
the London and New York offices marketing Lehman Brothers index and portfolio
management systems, supporting clients and designing and building indexes and
systems in support of the index business. He is a graduate of the University of
Portsmouth, U.K., and obtained a Ph.D from the University of Sheffield, U.K.
May/June 2009
The Journal of Indexes is the premier source for financial index
research, news and data. Written by and for industry experts and
financial practioners, it is the book of record for the index industry.
To order your FREE subscription, complete and fax this form
to (732) 450-8877 or subscribe online
at www.indexuniverse.com/subscriptions.
All questions must be answered to qualify for free subscription. Publisher reserves the right to reject unqualified applications.
q Yes! Send me a free
subscription to Journal
of Indexes magazine
q No, thank you
Name
Company
Address
City State Zip
Phone Fax
Signature Date
Title
The following best describes my primary business activity (check one):
(1) q Plan Sponsor (2) q Financial Advisor
(3) q Investment Management (4) q Mutual Fund Management
(5) q Pension Fund Consulting (6) q Pension Fund Management
(7) q Brokerage (8) q Academic
(9) q Ordinary Investor (10) q Other:__________________
Do you personally sell, recommend or manage investments, work in the index
industry or advise clients on investment and/or asset management?
q Yes q No
If you advise clients as to their investments, how do you charge them?
q Commission only q Fee only q Fee and commission
If you manage investments, what are your total assets under management?
(1) q Over $500 million (2) q $100 million - $500 million
(3) q $50 million - $99.9 million (4) q $25 million - $49.9 million
(5) q $10 million - $24.9 million (6) q Under $10 million
FREE subscRiption oFFER!
4
Copyright © 2009 by Index Publications LLC
and Charter Financial Publishing Network
Inc. All rights reserved.
Jim Wiandt
Editor
Dorothy Hinchcliff
Managing Editor
Matt Hougan
Senior Editor
Heather Bell
Contributing Editor
Lisa Barr
Copy Editor
Laura Zavetz
Creative Director
Jodie Battaglia
Art Director
Merri Chapin
Graphics Manager
Andres Fonseca
Online Art Director
Aimee Palumbo
Production Manager
Editorial Board
David Blitzer: Standard & Poor’s
Lisa Dallmer: NYSE Euronext
Deborah Fuhr: Barclays Global Investors
Gary Gastineau: ETF Consultants
Joanne Hill: ProShares ETFs and ProFunds
John Jacobs: The NASDAq Stock Market
Lee Kranefuss: Barclays Global Investors
Kathleen Moriarty: Katten Muchin Rosenman
Jerry Moskowitz: FTSE
Don Phillips: Morningstar
John Prestbo: Dow Jones Indexes
James Ross: State Street Global Advisors
Gus Sauter: The Vanguard Group
Steven Schoenfeld: Global Index Strategies
Cliff Weber: NYSE Euronext
Review Board
Jan Altmann, Sanjay Arya, Jay Baker, Heather
Bell, William Bernstein, Herb Blank, Srikant
Dash, Fred Delva, Gary Eisenreich, Richard
Evans, Jeffrey Feldman, Gus Fleites, Bill Fouse,
Christian Gast, Thomas Jardine, Paul Kaplan,
Joe Keenan, Steve Kim, David Krein, Ananth
Madhavan, Brian Mattes, Daniel McCabe, Kris
Monaco, Matthew Moran, Ranga Nathan,
Jim Novakoff, Rick Redding, Anthony
Scamardella, Larry Swedroe, Jason Toussaint,
Mike Traynor, Jeff Troutner, Peter Vann,
Wayne Wagner, Peter Wall, Brad Zigler
6 May/June 2009
For a free subscription to the Journal of Indexes,
IndexUniverse.com or Financial Advisor magazine,
or a paid subscription to ETFR, please visit
www.indexuniverse.com/subscriptions.
Charter Financial Publishing Network Inc. also
publishes: Financial Advisor magazine, Private
Wealth magazine, Nick Murray Interactive and
Exchange-Traded Funds Report.
David Smith
Publisher
732.450.8866 ext. 26
Jim Wiandt
Director of Operations
212.579.5833 • Fax: 212.208.4318
Fernando Rivera
Advertising Coordinator
646.201.4016 • Fax: 646.706.7051
Don Friedman
Director of Business Development
646.321.1785 • Fax: 646.706.7051
Caren Paradise Kohl
New England Advertising Director
610.692.3646 • Fax: 610.692.9793
Diane Rogala
East Region Advertising Director
732.450.8866 ext. 28
Dawn Zarcaro
Advertising Manager
732.450.8866 ext. 22
Steve Kimball
Reprint Sales Manager
732.450.8866 ext. 12
Susanna Marra
Circulation Manager
732.450.8866 ext. 24
Charter Financial
Publishing Network Inc.
499 Broad Street
Shrewsbury, NJ 07702
732.450.8866 • Fax 732.450.8877
Charlie Stroller, President/CEO/CFO
Index Publications LLC
545 N. McDonough St., Suite 214
Decatur, GA 30030
1.877.6INDEX6 • Fax 646.706.7051
Jim Wiandt, President