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2nd Quarter 2000
IN THIS ISSUE
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- Articles
Steven ValeFTSE International, one of the world’s major index providers, is reshaping
its indexes and itself as it prepares for what it expects to be a dramatically
different financial world in the future. Peter Jankovskis, Ph.D.By adding new stable vs. variable style classifications to
traditional value vs. growth style analysis, the author identifies distinct
styles of equity management not otherwise readily observed, and explores their
distribution among institutional investors and the possible style underweighting
it reveals. Sandi Weiskirch, Jay FlahertyMany investment managers follow a different list of stocks than those
included in well-known style indexes, leading to disparities in performance
between style indexes and manager universes. Neil Chelo, CFAThe author presents alternative ways to add alpha by exploiting observable
extremes of behavior of market participants. He describes several overlay
methodologies designed to do this using puts and calls that indexing-oriented
plan administrators can implement at limited risk. He reports improved overall
plan performance. Antoine Eustache, Ph.D.Managers of portfolios with commodity exposures may see the day when they are
investing in exchange-traded products covering more commodities than they
currently imagine. Adapted from J.P. Morgan report by Peter Rappaport and Alan CubbonJ.P. Morgan has introduced an index of credit exposure to Europe based on
credit swaps. It is intended to solve a difficult problem for traditional bond
investors: How to build a balanced investment in the European fixed-income
market. It achieves much broader diversification than existing credit indexes
that track outstanding bond issuance. The principle may be applicable to other
credit markets. Peter Leahy, Chris PopeWeighting by market capitalization is a common but by no means the only way
to allocate among developed-country markets. Depending on investor wants and
needs, it may not be the best way either. State Street Global Advisors explains
the major options considered by its clients. David PooleDavid A. Poole, now retired and consulting from Chappaqua,
NY, but formerly chief economist at mutual fund manager Van Eck Global, uses the
Dow Jones Industrial Average to follow the seesaw movements of the stock market
since the Dow’s inception in 1896, searching for repeating patterns both large
and small.
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 2000 
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