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ACCESS VOICE EXPOSURE The Voices of Influence

John C. Bogle Mark Anson Cliff Asness The Vanguard Group Commonfund AQR Capital and Bogle Financial Management, LLC Markets Research Center

“ In the very first issue ofThe Journal “ I have found the II Journals to provide “The Journal of Portfolio Management of Portfolio Management, way back high-quality research for both the is literally required reading for anyone in 1974, Paul Samuelson demanded academic and the practitioner. In particular, in the field of quantitative finance. If it ‘brute evidence’ that particular money I findThe Journal of Portfolio Management, had horoscopes and sports, I wouldn’t managers could beat the stock market The Journal of Private Equity, The Journal need any other periodicals.” on ‘a repeatable, sustainable basis.’ He of Alternative Investments, and The Journal found none. That article—‘Challenge to of Investing to be highly informative.” Judgment’—played a major role in my James P. Garland decision, less than a year later, to start CFA, the world’s first index mutual fund. Today The Jeffrey Company index funds constitute the lion’s share of Mike Sebastian some $3.2 trillion of assets entrusted to Aon Center for Vanguard by our shareholders. So, thank Innovation and Analytics “ Ignorance isn’t bliss. The Journal of you, Paul Samuelson; thank you, founding (ACIAÒ) in Singapore Portfolio Management is an invaluable tool editor Peter Bernstein; and thank you, for those serious practitioners who want Journal of Portfolio Management, which to understand investments. With rigorous “ I began my career in investments reading I continue to read—and to learn from— research plus practical advice, the JPM. It¹s a must-read for anyone who to this day.” Journal should be a core holding in every practices the art and science of finance.” investor’s intellectual portfolio.”

Robert Engle Stern School of Business Marcos López de Prado John A. Haslem New York University Guggenheim Partners Nobel Prize in Economics Robert H. Smith School (2003) of Business, University of Maryland “The Journal of Derivatives is a highly “I view The Journal of Portfolio Management respected outlet for publication in a wide as the main synaptic connection between “ I began publishing with II Journals in 2001 range of topics relevant for derivative the industry and leading academics. It and have found them to be ideal for my pricing and risk management. The authors should be mandatory reading in every primarily mutual funds research designed are predominantly academics and the business school. Arguably, no other to engage both finance professionals and articles are all peer reviewed. I find it an journal has had a comparable influence on academics with similar interest” important outlet for my research and find both sides of the divide over the last four many useful articles published there.” decades.” Table of Contents

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• • • THE JOURNAL OF INVESTING OF JOURNAL THE THE JOURNAL OF INVESTING OF JOURNAL THE INVESTING OF JOURNAL THE THEORY & PRACTICE Fall 2017 N THEORY & PRACTICE FOR FUND MANAGERS Fall 2017 N THEORY & PRACTICE FOR FUND MANAGERS SUMMER 2017 N FOR FUND MANAGERS Risk-Based Approaches to Multi-Asset 7 GO BIG OR GO HOME: THE CASE FOR AN EVOLUTION IN RISK TAKING 7 GO BIG OR GO HOME: THE CASE FOR AN EVOLUTION IN RISK TAKING 6 MEASURING INVESTOR OVERREACTION Strategies MIKE SEBASTIAN MIKE SEBASTIAN RAY R. STURM Pg. 4 16 OPTIMIZING PORTFOLIOS WITH ALLOCATIONS TO INSURED DEATH 16 OPTIMIZING PORTFOLIOS WITH ALLOCATIONS TO INSURED DEATH 18 WHY NOT DIVERSIFY INTO EMERGING EQUITY MARKETS VIA ADRS? BENEFIT: A PROPOSED METHODOLOGY FOR EVALUATION BENEFIT: A PROPOSED METHODOLOGY FOR EVALUATION TIAN YUAN, RAKESH GUPTA, AND EDUARDO ROCA ROBERT G. DANIELSEN, SERGEY S. BARABANOV, JOHN SCHWEERS, ROBERT G. DANIELSEN, SERGEY S. BARABANOV, JOHN SCHWEERS, AND MICHAEL F. SULLIVAN AND MICHAEL F. SULLIVAN 28 THE RETIREMENT GLIDEPATH: AN INTERNATIONAL PERSPECTIVE 28 COMBINING QUANTITATIVE AND FUNDAMENTAL ANALYSIS: 28 COMBINING QUANTITATIVE AND FUNDAMENTAL ANALYSIS: JAVIER ESTRADA A QUANT-AMENTAL APPROACH A QUANT-AMENTAL APPROACH EDWARD N.W. AW, CHRISTOPHER R. DORNICK, AND JOHN Q. JIANG EDWARD N.W. AW, CHRISTOPHER R. DORNICK, AND JOHN Q. JIANG 55 DIVIDENDS, PROFITABILITY, AND LIFECYCLE INVESTING

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THEORY & PRACTICE PRACTICE THEORY & 44 ENHANCING THE INVESTMENT PERFORMANCE 44 ENHANCING THE INVESTMENT PERFORMANCE OF YIELD-BASED STRATEGIES OF YIELD-BASED STRATEGIES 64 IDIOSYNCRATIC MOMENTUM: U.S. AND INTERNATIONAL EVIDENCE WESLEY R. GRAY AND JACK VOGEL WESLEY R. GRAY AND JACK VOGEL DENIS B. CHAVES 51 AN EMPIRICAL EXAMINATION OF EX ANTE ESTIMATES 51 AN EMPIRICAL EXAMINATION OF EX ANTE ESTIMATES OF THE MARKET RISK PREMIUM OF THE MARKET RISK PREMIUM 77 SWING PRICING 101: A CLOSER LOOK AT THE DEALING COSTS OF INVESTMENT FUNDS ACROSS THE GLOBE AUSTIN MURPHY, LIANG FU, AND TERRY BENZSCHAWEL AUSTIN MURPHY, LIANG FU, AND TERRY BENZSCHAWEL FOR FUND MANAGERS Borrowing the best FOR FUND MANAGERS FOR FUND MANAGERS MILAN BORKOVEC, VITALY SERBIN, AND ZHECHAO ZHOU The LONG and short of long-term care. Pg. 34 59 DIM SUM BONDS: A RETURN AND RISK ANALYSIS 59 DIM SUM BONDS: A RETURN AND RISK ANALYSIS HUNG-GAY FUNG, GLENN KO, AND JOT YAU of DB Plans to help HUNG-GAY FUNG, GLENN KO, AND JOT YAU 90 IS THE ARITHMETIC OR HARMONIC MEAN THE BEST VALUATION ESTIMATE? DANIEL YANUSHEVSKY AND RAFAEL YANUSHEVSKY 69 WHY SHOULD YOU INVEST IN THE BEST COMPANIES TO WORK FOR? DC Plans Pg. 34 69 WHY SHOULD YOU INVEST IN THE BEST COMPANIES TO WORK FOR? VICHET SUM VICHET SUM 74 A LONG-TERM PERSPECTIVE FOR 74 A LONG-TERM PERSPECTIVE FOR PENSION FUND PORTFOLIOS SPECIAL SECTION: FINTECH PENSION FUND PORTFOLIOS IN CHILE, PERU, AND MEXICO IN CHILE, PERU, AND MEXICO DAVID TUESTA AND CARLOS HERRERA ENVIRONMENTAL, 96 THE IMPACT OF SUSTAINABLE INVESTMENT STRATEGIES DAVID TUESTA AND CARLOS HERRERA R. Evan Inglis and David R. Wilson Pg. 9 Brian J. Jacobsen Pg. 13 KEVIN D. MAHN 92 INITIAL PUBLIC OFFERINGS AND LONG- 92 INITIAL PUBLIC OFFERINGS AND LONG- TERM PERFORMANCE 103 BEST PRACTICES IN ESG INVESTING TERM PERFORMANCE Gueorgui Konstantinov Pg. 16 Antti Paatela, Elias Noschis, and Ari-Pekka Hameri Pg. 19 THEODOR TONCA SOCIAL, HERB BLANK, GREGG SGAMBATI, AND ZACK TRUELSON THEODOR TONCA

113 CAN ESG ADD ALPHA? AN ANALYSIS OF ESG TILT Edward N.W. Aw, Stephen J. LaPerla, and Gregory Y. Sivin Pg. 23 Wei Ge Pg. 27 SMART BETA: SPECIAL SECTION AND MOMENTUM STRATEGIES FinTech ESG: SPECIAL SECTION & GOVERNANCE 96 INVESTOR BEHAVIOR UNDER CHANGING SMART ZOLTÁN NAGY, ALTAF KASSAM, AND LINDA-ELING LEE 96 INVESTOR BEHAVIOR UNDER CHANGING Gerald Garvey, Ronald N. Kahn, and Raffaele Savi Pg. 30 MARKET VOLATILITY MARKET VOLATILITY 125 USEFULNESS OF ASSET4 ESG FOR SOCIALLY RESPONSIBLE special section AGUSTÍN DAVIOU AND FLORENTINA PARASCHIV AGUSTÍN DAVIOU AND FLORENTINA PARASCHIV INVESTING IN A SMALL ECONOMY Antti Ilmanen, David G. Kabiller, Laurence B. Siegel, and Rodney N. Sullivan Pg. 34 114 MOMENTUM’S HIDDEN SENSITIVITY TO THE STARTING DAY RASHID AMEER 114 MOMENTUM’S HIDDEN SENSITIVITY TO THE STARTING DAY PHILIP Z. MAYMIN, ZAKHAR G. MAYMIN, AND GREGG S. FISHER PHILIP Z. MAYMIN, ZAKHAR G. MAYMIN, AND GREGG S. FISHER (ESG) 136 SIN IS IN: AN ALTERNATIVE TO SOCIALLY RESPONSIBLE INVESTING?

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VOLUMEwww.iijpm.com 36WINTER NUMBER 42010 QUANTITATIVE STRATEGIES: STRATEGIES: QUANTITATIVE N P PHaim Shalit IsINVITED Stochastic Dominance theby Robert Answer? C. Merton EDITORIAL INVITED MULTI-ASSET STRATEGIES Mohamed A. El-Erian; Ronald N. Kahn EDITORIAL SPRING 2010 Portfolio of Risk Premia: Robert F. EngleEDITORIAL and AndrewW. Lo on all major topics in investments, including COMMENTSINVITED www.iijpm.com A Smart, but Humble Approach Active Portfolio ManagementCOMMENTSCOMMENT and Positive Alphas: Fact or Fantasy? Frederick JenniferE. Dopfel Bender, Remy Briand, Frank Nielsen, and Dan Stefek EDITORIAL SPECIALQUANTITATIVE ISSUE DECEBER 2017 A STRATEGIES:Horizon A Diversification: A A A New ApproachCrisis to Diversification and Innovation : Frank J. Fabozzi and Sergio M. Focardi C Risk Management LessonsRobert J. Worth Shiller RememberingOMMENT SUMMER 2010 M G R WhatSimon Are Polbennikov,AlbertMarkets ReducingSaying about Desclée,Risk Risk? in a and Portfolio Jay Hyman of Active Strategies : EfficientSusan Gosling Replication of Factor Returns:from the Credit Crisis of 2007–2009 Don Ezra and Geoffrey J.Warren Robert A. Jarrow SPECIAL ISSUE Rodney N. Sullivan, Steven P. Peterson, and DavidAccentuated T. Waltenbaugh IntradayBennettW. StockThinking Golub Price and about Volatility: Conan Indices C. Crum and “Passive” versus Active Management Dimitris Melas, Raghu Suryanarayanan, and Stefano Cavaglia Signal Weighting O R M II The Case for Active TailDeniz Hedging Ozenbas, Michael S. Pagano, and Robert A. SchwartzRichard Grinold 2017 Finding Fair Value in GlobalTheory Equities: and Applications Know Your VMS Exposure Russell J. Fuller, Bing Han, andYiningTung

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UMR21 OUE3,NME 4 NUMBER 36, VOLUME 2010 SUMMER What Is the Cause? asset allocation, performance measurement, Robert A.Constraint Stubbs and DieterVandenbussche Attribution Maybe It Really Is Different This Time MULTI-ASSET STRATEGIES CONTRIBUTORS: IE AED ROB ARNO DAID CLEELL EB ABER CRIS AULNERACDONA Stocks o I P The UnsentimentalOptimizing Case for the CarryLong PickupView in inEvaluating Real Moneydmiredf A Returns Portfolios and SpurnedSébastien Companies Maillard,ThierryPart II—Forecasting Roncalli, andReturns JérômeTeïletche $8,437 Valeri Zakamouline A ValuationRobert Study C. Jones of Stock Market Seasonality and the Size Effect Insertion ILYA IELAN DAID IROU ELEN UO BO ILLIA ANSEN ED EILBRON RONEN ISRAEL A CautionaryDeniz Anginer Note and Meir Statman SARA IAN ENRI OLEAS LARSEN ERI LINDSRT EENRI ADSEN L David A LIONEL L. Donoho,M ARELLINI Robert A. Crenian, andPavanWadhwa Matthew H. and Scanlan Christian O’Donnell Rewarding Fundamentals CONTRIBUTORS: Finding Fair Value in Global Equities: Portfolios WeightedEric H. Sorensen by Repurchase and Sanjoy Ghoshand Total Payout 4 ANDREW W. ALFORD | NOËL AMENC | ANDREW ANG | CLIFFORDJessica ASNESS Binder,Anders | ROBERT Ersbak BASS Bang Nielsen,Reflections and PeterZhiwu Oppenheimer onChenJack Buy-Side Clark and Jan Francis, Jindra Risk Christopher Management Hessel, After JunWang, (or Between) and Ge Zhang the Storms × OAS CARREN INCEN ILAUJENNIFER PEER BENDER NYSRUP | STEPHEN SBASIEN W. BIANCHI PAE | SWATI CHANDRA SUAR PESIN| PAULA COCOMA OAS | MEGAN RAINO CZASONIS | ELROY DIMSON Do Seasonal Anomalies Still Work?

Regimes: ios | | ADRIENNE ROSS LAURA RYANFRÉDÉRIC ICAEL DUCOULOMBIER SENOSI |OID MIKHEIL SAERNIA ESAKIAT | FRANK CARLES J. FABOZZI SRIER E | SCOTT OSEP GLADSTONE SIONIAN Perspectives | LLISA R. GOLDBERG on the Declining | FELIX SkillGOLTZConstantine of U.S. Dzhabarov Fund Managers andWilliamT. Ziemba Edouard Sénéchal NonparametricVolatility Identification ExposureThe Problemsand for Forecasting StrategicPart and Challenges I Asset Allocation of High-Yield Bond Benchmarking SPECIAL ISSUE SPECIAL ANTTI ILMANEN | RONEN ISRAEL | JANG HO KIM | WOO CHANG KIM | MARK KRITZMAN | WAI LEE | DINGHakan LIU Kaya,Wai | PAUL Lee,MARSH and Bobby Pornrojnangkool BennettW. Golub and Conan C. Crum ARI SIARAARISNAN ONEN SOSA ROBER SAICAR ONAAN REUSSARD Marie Brière,Alexandre Burgues, and Ombretta Signori market trends, portfolio optimization, and risk Gregory P. Ho, Haim A.The Mozes, Ps of Pricing and Pavel and Greenfield Risk Management, Revisited EUGENE PODKAMINER | DMITRY A. RAKHLIN | ALLAN ROSENBERG | STEPHEN A. ROSS | RITIRUPAA Wake-up SAMANTA Call for University EndowmentsRobert Levine, Eve Drucker, and Steven Rosenthal SPECIAL ISSUE ISSUE SPECIAL Robert D.Arnott,Valuation-Indifferent Jason C. Hsu, FeifeiWeighting Li, and Shane D.for Shepherd Bonds Correla Vineer BhansaliWarren Buffett, Black–Scholes,Market-Based and Defau the Valuation of Long-Dated Options SIVAGAMINATHAN SIVASUBRAMANIAN | MIKE STAUNTON | DAVID TURKINGTONnd tion Volatility a A Dynamics Bond-Picking in REIT Model Returns: for

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FALL FALL AND JIGME NORBU SUDIPTOConverting BANERJEE Traditional Defined BenefitTOMAS DVORAK Plans to Hybrid Plans: Converting Traditional Defined Benefit Plans to Hybrid Plans:

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2013 SUMMER Be Kind to Your Retirement Plan—Give It aA Benchmark Decade of Change AND ROBERT L. CLARK, ALAN GLICKSTEIN, JIGME NORBU DANIEL P. CASSIDY, MICHAEL W. PESKIN, LAURENCE B. SIEGEL, and STEPHEN SEXAUER longevity, social security, regulatory policy, and ROBERT L. CLARK,A DecadeALAN GLICKSTEIN, of Change Developing and Disseminating Financial GuidelinesAND ROBERTfor Retirement L. CLARK,A ALANDecade Planning GLICKSTEIN, of Change Developing and DisseminatingDeveloping Financial and TOMEKA Disseminating Guidelines HILL Financial for Retirement Guidelines Planning for Retirement Planning $8,437 Volume Volume Pitfalls in Retirement Insertion AND 2013 DAVID LASTER, ANIL SURI, and NEVENKAWILLIAM VRDOLJAK G. GALE TOMEKA HILL ANDWILLIAM G. GALE AND

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Thought Leadership Sponsor Thought LeadershipThought Sponsor Leadership Sponsor JOR’s mission is to foster research on retirement Thought Leadership Sponsor 4 × Total $33,748 security by academics, practitioners, and policy makers in all these areas that will lead to policies and practices that enhance the welfare of older publication calendar Americans. highlights The Journal of Retirement Edition Reservation Date Art Materials Due Cover Date significant research on retirement funding and provides a platform for discussion of the critical Winter 2018 December 15, 2017 January 1, 2018 January 31, 2018 issues that will shape behavior in the investment Spring 2018 March 15, 2018 April 1, 2018 April 30, 2018 community. The Journal of Retirement aims to be the go-to source for the retirement security research, Summer 2018 June 15, 2018 July 1, 2018 July 31, 2018 policy, and practitioner community in order to Fall 2018 September 15, 2018 October 1, 2018 October 31, 2018 improve the welfare of the world’s aging population.

geographic breakdown As of November 2017

North America South America Africa Europe Asia 86.50% & Caribbean & Middle East 4.50% & Asia Pacific 2.30% 1.10% 5.60%

6 JOR *Based on a 12 month circulation average from November 2017 or December 2017. Not indicative of every issue. Quantities may vary by issue. circulation highlights WEB FEATURES The Journal of Retirement has a targeted circulation that includes CFOs, Heads of HR, Average Monthly Page Views benefit consultants within plan sponsors, pension funds, and other relevant professionals. for jor.iijournals.com: 5,217*

The IIJournals website is an essential resource for practitioners and academics seeking the latest insight and seminal most-read articles from 2017 research in global investment and finance. Individuals get access to current Dynamic Choice and Optimal Annuitization and archival content with their print DAVID BLANCHETT, Morningstar Investment Management subscriptions. Site license subscribers, National Retirement Risk Index (NRRI) Update Shows Half such as large corporations and universities, of Working-Age Americans Still Falling Short provide online access to their many users. ALICIA H. MUNNELL, WENLIANG HOU, and ANTHONY WEBB, Rates are on page 32. Center for Retirement Research

Standard and Behavioral Life-Cycle Theories and Public Policy MEIR STATMAN, Santa Clara University

Autonomous Portfolio: A Decumulation Investment Strategy That Will Get You There IOULIA TRETIAKOVA and MARK S YAMADA, PU˚ R Investing Inc.

Social Security Claiming Strategies for Widows and Widowers WILLIAM REICHENSTEIN, Baylor University and Social Security Solution, Inc. and WILLIAM MEYER, Social Security Solution, Inc.

The Glidepath Illusion… and Potential Solutions ROBERT D. ARNOTT, KATRINA F. SHERRERD, and LILLIAN WU, Visitors Come to Our Site Via: Research Affiliates

The Trimmed Bootstrap: An Empirical Simulation Technique for Search engine optimization Pension Finance Researchers www using keywords in popular BRETT DORAN and GRAHAM BORNHOLT, Griffith University search engines

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* Based on page views from November 2016–October 2017 TITLE 7 using Google Analytics. Page view totals may vary by month. editor launch date circulation subscription price non-U.S. subscription price Brian R. Bruce 2010 1,000* $929 $979

The Journal of Index Investing (JII) provides advertising rates – Complete Rate Card on Page 28 coverage of the latest innovations in Exchange- THE JOURNAL THE JOURNAL OF OF THE JOURNAL THE OF 4-color page advertisements SPRING 2017 JOURNAL VOLUME 7 NUMBER THE JOURNAL OF INDEX INVESTING INDEX OF JOURNAL THE 4 | www.IIJII.com Traded Funds (ETFs), Exchange-Traded Products SUMMER 2017 ETFs, ETPs OF WINTER 2016 VOLUME 7 NUMBER 3 | www.IIJII.com ETFs, ETPs & VOLUMEIndexing

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geographic breakdown As of November 2017

North America South America Africa Europe Asia 93.30% & Caribbean & Middle East 4.50% & Asia Pacific 0.00% 1.10% 1.10%

8 JII *Based on a 12-month circulation average from October 2015 to September 2016. Not indicative of every issue. Quantities may vary by issue. Format breakdown is 60% print and 40% digital eBook. AUM

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geographic breakdown As of November 2017

North America South America Africa Europe Asia 70.52% & Caribbean & Middle East 20.51% & Asia Pacific 0.00% 1.28% 7.69%

10 JOT *Based on a 12 month circulation average from November 2017 or December 2017. Not indicative of every issue. Quantities may vary by issue. AUM

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RONALD MANO Volume Volume INCOME 110 2 LAURENCE B. SIEGEL THE LIFE EXPECTANCY OF 129 FALLEN ANGELS SEAN KURIAN — special section

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26 The Voices of Influence | iijournals.com

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The Voices of Influence | iijournals.com JOI focuses on easy-to-read analysis that is 1 Total $33,748 applicable across many markets, including 4 × practical information on emerging markets, asset allocation, retirement planning, and publication calendar rebalancing portfolios. JOI offers access to Edition Reservation Date Art Materials Due Cover Date the most promising investment opportunities worldwide—proven ideas and advice that can Spring 2018 January 15, 2018 February 1, 2018 February 28, 2018 help to maximize assets and manage portfolios Summer 2018 April 15, 2018 May 1, 2018 May 31, 2018 more effectively. Fall 2018 July 15, 2018 August 1, 2018 August 31, 2018

Winter 2018 October 15, 2018 November 1, 2018 November 31, 2018

geographic breakdown As of November 2017

North America South America Africa Europe Asia 88.14% & Caribbean & Middle East 7.80% & Asia Pacific 0.00% 0.06% 4.00%

12 JOI *Based on a 12 month circulation average from November 2017 or December 2017. Not indicative of every issue. Quantities may vary by issue. AUM

* AUM circulation demographics Under $50 million WEB FEATURES Assets under Management AUM 9% Average Monthly Page Views Over $100 billion for joi.iijournals.com: 10,814* $50 million–$500 million 27% The IIJournals website is an essential 14% resource for practitioners and academics seeking the latest insight and seminal research in global investment and finance. Individuals get access to current $11 billion–$100 billion and archival content with their print Firm $501 million–$10 billion 18% subscriptions. Site license subscribers, such as large corporations and universities, 32% provide online access to their many users. 92% of the respondents answered with the above AUM, 8% responded “other.” Rates are on page 32. Firm Type Investment Management Government Office/ Investment Bank 8% Financial Regulator 5% Firm 5% Hedge Fund Research Firm/University 3% 5% Mutual Fund 2% Firm Foundation or Endowment/ Private Bank/Family Office 8% Asset Allocator/ Pension Fund or Public Fund Asset Management Firm/ Visitors Come to Our Site Via: Asset Manager 10% Search engine optimization 54% www using keywords in popular 97% of the respondents answered with the above firm types, 3% responded “other.” search engines

Analyst JOB Job Function Consultant 12% Regular and bespoke email 4% promotion, including monthly TOC Researcher/Librarian Chief Investment Officer JOB or C-Suite Executive 12% Links from other sites and citations to article content

Trader 44% 12% Frequent references in mass media and Investment Strategy Portfolio Manager investment publications 4% 12% 83% of the respondents answered with the above job functionsJOB, 17% answered “other.”

*Results based on a survey conducted by Optimum Source Inc. in December 2016. * Based on page views from November 2016–October 2017 TITLE 13 using Google Analytics. Page view totals may vary by month. editor launch date circulation subscription price non-U.S. subscription price Hossein Kazemi 1998 9,000* $877 $927

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Fall 2018 August 15, 2018 September 1, 2018 September 30, 2018

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geographic breakdown* As of November 2017

North America South America Africa Europe Asia 99.91% & Caribbean & Middle East 0.05% & Asia Pacific 0.01% 0.01% 0.02%

14 JAI *Based on the digital distribution as of October 2017. Not indicative of every issue. Quantities may vary by issue. The majority of the circulation is achieved via an eReader format. Paid subscribers receive a quarterly print issue. AUM AUM

circulation demographics* WEB FEATURES Firm Type (Asset Classes WhereFirm CAIA Members Work) Average Monthly Page Views

for jai.iijournals.com: 7,683* Hedge Funds 54.8% The IIJournals website is an essential 46.1% Private Equity resource for practitioners and academics Firm seeking the latest insight and seminal 45.9% Fixed Income Alternatives research in global investment and finance. Individuals get access to current 42.4% Real Estate and archival content with their print subscriptions. Site license subscribers, 35.2% Commodities such as large corporations and universities, provide online access to their many users. 32.6% Real Assets, Infrastructure, Farmland, Timberland Rates are on page 32. 29.6% Managed Futures 26.3% Structured Products

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Consultant Business Development

Frequent references 11% 13% in mass media and investment publications

100% of the respondents answered with the above titles.

* Based on page views from November 2016–October 2017 TITLE 15 *Statistics based on 2015 CAIA Association Annual Member Survey. using Google Analytics. Page view totals may vary by month. editor launch date circulation U.S. subscription price non-U.S. subscription price Jean L.P. Brunel 1998 390* $1,058 $1,108

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2 No. 16, Volume 2013, Fall Behavioral Factors on87 Tactical George Crawford, StrategyFinancially Jim Kyung-Soo Diversified Liew, Portfolios with Alternative Trading Moving Average Crossovers: Further and Andrew Marks Allocation (TSA) for Funds of HedgeInvestments: Funds The Impact of Life Settlements Testing of Risk-Adjusted and After-Tax Returns Spot Commodities as Inflation Protection Winter 2017, Volume 20, No. 3 88 Manu Sharma, Rajnish Aggarwal, And Esha Prashar 77 Tom Arnold and John H.112 Earl, Jr. practitioners abreast of the latest investment Haim A. Mozes andBiotechnology Serge Cooks ETFs: Performance Analysis Insertion $4,536 101 Greg N. GregoriouTransparency, and Jason Moschella Level 3 Assets,The and Disconnect the Investor Between Physical Gold Demand and Gold Prices and Demystifying the Correlation Matrix The Efficiency 80and Productivity of Hedge × Daniele Lamponi 94 Nils S. Tuchschmid and Erik Wallerstein Fund Families 4 122 Are Small CTA Funds Better than Olivier Large Mesly Ones? UCITS: Can They Bring Funds of Hedge Funds Twenty Recommendations to Reduce Financial An Empirical On-Shore? 113 Anwar Hasan Abdullah Othman, Analysis Predation and Blind Trust in Small Family-Owned Hasanuddeen Abdul Aziz, and Salina Kassim 88 Joachim Klement, James Greenrod,Financial and BusinessesJay O’Neil 110 Olivier Mesly What Does the Relationship among Unit Trust Funds Indicate Satisfaction and Financial Predation: A Large Optimal Domestic Equity Allocations141 for Australian about Optimal Portfolio Investment Diversification Strategy? Greg N. Gregoriou Group Study Revealing Their Mathematical Link strategies in private asset management. Themes The Case of the MalaysianInvestors Islamic and Unit the RoleTrust of Funds FrankingBook Industry Review: Credits The Complete Guide to Hedge Funds & Hedge Fund Strategies 99 Stephen Horan, George Szundi, C. Edward Van Deman, 129 Kevin A. Diehl and Kevin P. Whalen How to Choose betweenTechnology Donor-Advised and the Funds Family Office and Family Foundations The Voices of Influence The Voices of Influence | www.iijournals.com The Voices of Influence | www.iijournals.com of JWM include generating high after-tax returns The Voices of Influence | www.iijournals.com| www.iijournals.com 4 × Total $18,144 while mitigating volatility, balancing tax and risk concerns, optimizing asset allocation and money management selection, determining hedge fund publication calendar allocation and employing effective performance Edition Reservation Date Art Materials Due Cover Date measurement techniques, and using estate planning to enhance cross-generational wealth Spring 2018 December 15, 2017 January 1, 2018 January 31, 2018 concerns. JWM offers a unique and in-depth Summer 2018 March 15, 2018 April 1, 2018 April 30, 2018 view into the world of wealth management. Fall 2018 June 15, 2018 July 1, 2018 July 31, 2018

Winter 2018 September 15, 2018 October 1, 2018 October 31, 2018

geographic breakdown As of November 2017

North America South America Africa Europe Asia 94.99% & Caribbean & Middle East 4.90% & Asia Pacific 0.01% 0.03% 0.07%

16 JWM *Based on a 12 month circulation average from November 2017 or December 2017. Not indicative of every issue. Quantities may vary by issue. AUM

AUM

* circulation demographics Under $50 million WEB FEATURES Assets under Management AUM 11% Average Monthly Page Views for jwm.iijournals.com: 5,899*

$50 million–$500 million The IIJournals website is an essential resource for practitioners and academics Over $100 billion 17% seeking the latest insight and seminal research in global investment and 39% finance. Individuals get access to current and archival content with their print $11 billion–$100 billion Firm $501 million–$10 billion subscriptions. Site license subscribers, 5% such as large corporations and universities, 28% provide online access to their many users. 95% of the respondents answered with the above AUM, 5% responded “other.” Rates are on page 32. Firm Type Firm Research Firm/University 10% Investment Management

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Job Function Analyst JOBRisk Management 3% Regular and bespoke email Consultant 10% promotion, including monthly 3% TOC Researcher/Librarian Chief Investment Officer or C-Suite Executive 7% JOB Links from other sites and Trader citations to article content 43% 10% Frequent references in mass media and Investment Strategy Portfolio Manager investment publications 17% JOB 7% 94% of the respondents answered with the above job functions, 6% responded “other.”

*Results based on a survey conducted by Optimum Source Inc. in December 2016. * Based on page views from November 2016–October 2017 TITLE 17 using Google Analytics. Page view totals may vary by month. editor launch date circulation subscription price non-U.S. subscription price F. John Mathis 1997 200* $740 $790

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3 NUMBER 19, VOLUME VOLUME 19, NUMBER 2 NUMBER 19, VOLUME | Thomas Plenborgand Neeraj and SundarRene Coppe Pradhan Pimentelof Public and Private Firms p. 60 p. 55 and | Neeraj Suresh Sundar Chandra Pradhan Bihari The Investment Behavior | p. 53 | Suresh Chandra Bihari Flow of Private Equity and Growth of Corporate India: | $4,536 probing analyses, and real-life case studies. p. 53 Insertion The IPO Exit: A PracticalA LegalHolistic Guide Look for into Financial LifeA Review Sciences of Literature Venture FundingFlow of Private Equity and Growth of Corporate India: Sponsors | James H. Ball,Jon Jr., Carrick and Alex Gefter |p. p. 60 69 A Review of Literature × | | p. 65 Rajp. 60 S. Dhankar and Kunjana Malik 4 VOLUME 19, NUMBER 4 | | Raj S. Dhankar and Kunjana Malik

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and Jau-Rong Chen SUMMER 2016 SUMMER | p. 76 | p. 66 | Tzu-Yi Yang, Yu-Tai Yang, Themes covered in the JPE include applying | p. 66 | Tzu-Yi Yang, Yu-Tai Yang, Market Snapshot Market Snapshot | p. 77 Market SnapshotMarket Snapshot | p. 89 | p. 81 | p. 81 FALL 2016

The Voices of InfluenceThe | Voices of Influence The| Voices of Influence | The Voices of Influence | www.iijournals.com www.iijournals.com www.iijournals.com new techniques to enhance deal profitability, www.iijournals.com 4 × Total $18,144 managing and monitoring private equity portfolios, locating opportunities and managing risk, and assessing business plans and publication calendar management teams. Edition Reservation Date Art Materials Due Cover Date The Journal of Private Equity seeks to offer practical analysis and advice on the strategies Spring 2018 January 15, 2018 February 1, 2018 February 28, 2018 and techniques of today’s most successful Summer 2018 April 15, 2018 May 1, 2018 May 31, 2018 venture investors. JPE encompasses research Fall 2018 July 15, 2018 August 1, 2018 August 31, 2018 on creative innovation, productivity, job creation, and economic growth. Winter 2018 October 15, 2018 November 1, 2018 November 31, 2018

geographic breakdown As of November 2017

North America South America Africa Europe Asia 80.11% & Caribbean & Middle East 9.90% & Asia Pacific 0.09% 5.40% 5.50%

18 JPE *Based on a 12 month circulation average from November 2017 or December 2017. Not indicative of every issue. Quantities may vary by issue. most-read articles from 2017 WEB FEATURES

Private Equity in Emerging Markets: Average Monthly Page Views Yesterday, Today, and Tomorrow for jpe.iijournals.com: 6,250* JOSH LERNER, Harvard Business School; JAKE LEDBETTER, Bella Research Group; ANDREW SPEEN, Bella Research Group; ANN LEAMON, Bella Research Group;, The IIJournals website is an essential and CHRIS ALLEN, Bella Research Group resource for practitioners and academics seeking the latest insight and seminal An Empirical Analysis of Investment Return Dispersion research in global investment and in Emerging Market Private Equity finance. Individuals get access to current JOSH LERNER Harvard Business School and MARK BAKER, Bella Research Group and archival content with their print subscriptions. Site license subscribers, Analyzing European SPACs such as large corporations and universities, ELENA IGNATYEVA, CHRISTIAN RAUCH, and MARK WAHRENBURG, provide online access to their many users. Goethe University Rates are on page 32. SPECIAL FEATURE REPORT: European Healthcare: A Golden Opportunity for Private Equity YAIR EREZ, JUSTAS GRIGALAUSKAS, DMITRY PODPOLNY, and THOMAS RUDOLPH, McKinsey & Company Private Equity and Principal Investors Practice

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* Based on page views from November 2016–October 2017 TITLE 19 using Google Analytics. Page view totals may vary by month. editor launch date circulation subscription price non-U.S. subscription price Stanley J. Kon 1991 452* $826 $876

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The Voices of InfluenceThe | Voices iijournals.com of InfluenceThe Voices | iijournals.com of Influence | iijournals.com risk management. JFI helps readers to manage JFI-COVER.indd 1 The Voices of Influence | iijournals.com Total $18,144 13/03/13 9:55 AM 4 × bond portfolios more efficiently, evaluate interest rate strategies and manage interest rate risk, gain insights on structured products, and to stay publication calendar on the cutting edge of fixed income markets. Edition Reservation Date Art Materials Due Cover Date The Journal of Fixed Income aims to be the forum for academics and fixed income portfolio Spring 2018 February 15, 2018 March 1, 2018 March 31, 2018 managers to exchange information that advances Summer 2018 May 15, 2018 June 1, 2018 June 30, 2018 the practice of investment management. Fall 2018 August 15, 2018 September 1, 2018 September 30, 2018

Winter 2018 November 15, 2018 December 1, 2018 December 31, 2018

geographic breakdown As of November 2017

North America South America Africa Europe Asia 78.43% & Caribbean & Middle East 16.10% & Asia Pacific 0.01% 0.06% 5.40%

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integrated content promotion

II Journals offers a unique marketing package to disseminate research. The approach includes an eReader and a brief video (5 to 7 minutes) with the article author(s) discussing the nature of their paper and their findings. This marketing package includes:

eReader – All research articles are delivered in an e-reader FACTOR INVESTING Special Edition FACTOR INVESTING format that is branded with the sponsor logo and can include Special Edition The Expanding Role of Factor Based Investing RUBEN FALK a print-style advert within the content. An option to embed the S&P Global Market Intelligence Introduction Pg. 2 Factor-Based Investing: The Long-Term Evidence ELROY DIMSON, PAUL MARSH, and MIKE STAUNTON video component within the eReader is also available. The Journal of Portfolio Management March 2017 Special Issue Pg. 4 Smart Beta is the Gateway Drug to Risk Factor Investing EUGENE PODKAMINER The Journal of Portfolio Management March 2017 Special Issue Pg. 27

Contrarian Factor Timing is Deceptively Difficult Custom Email Alert & Video Platform – II Journals will CLIFFORD ASNESS, SWATI CHANDRA, ANTTI ILMANEN, and RONEN ISRAEL The Journal of Portfolio Management March 2017 Special Issue Pg. 32

Smart Beta Efficiency versus Investability: Introducing the Cost-Adjusted Factor Efficiency Ratio communicate with the target audience of the sponsoring firm’s DANIEL UNG As factor based investing continues to grow in importance, traditional The Journal of Index Investing Summer 2017 Pg. 48 managers are increasingly expected to be able to communicate their strategies and performance in the context of factor exposures. In this video, Ruben Falk—Global Head, Investment Management Solutions— Factor Investing and Risk Allocation: discusses this trend and how S&P Global Market Intelligence is choice to promote the video content. From Traditional to Alternative Risk Premiums Harvesting increasingly focused on helping our clients to implement factor based JEAN-MICHEL MAESO and LIONEL MARTELLINI strategies and performance attribution. The Journal of Alternative Investments Summer 2017 Pg. 61 Registration and Confirmation Pages – The target audience Sponsored by: Sponsored by: will be encourage to download the associated research paper. All registration information will be sent to the sponsor II Journals can assist with video production provided the video personalities are located in the New York City area. The term of the package is 3 months.

Cost: $17,500 NET

32 ADVERTISING OPPORTUNITIES CUSTOM WEBCASTING PROGRAMS

webcast and audiocast presentations

II Journals (II Journals), in conjunction with the participating firm[s], will develop an interactive and educational platform to discuss research relevant to the II Journals’ publishing agenda and audience. II Journals aims to deliver a turnkey process that involves insights from the participating firm on all stages of content curation, audience development, production, and distribution. To help ensure editorial integrity, II Journals delivers content-driven web events with more than one participating firm. Sponsorship arrangements can be with a single sponsor or multiple sponsors, and may also include invited panelists. II Journals is happy to facilitate with procurement of the participating panel from II Journal’s extensive editorial relationships to provide expertise and color on particular topics and research. II Journals’ Content Director, Mark Adelson is available to moderate the event.

Factor Perspectives: Separating Factors from Fiction Original Air Date: Wednesday, April 26, 2017 Sponsoring Firm: BlackRock Participating Firms: Man Group, Research Affiliates, and AQR Total Registrations Procured: 1200+ Replay Link: http://bit.ly/2o9w3ii

Risk-Based Approaches to Multi-Asset Strategies Original Air Date: Thursday, September 28, 2017 Sponsoring Firm: Columbia Threadneedle Participating Firms: Fidelity Investments, SSGA, and Cambridge Associates LLC Total Registrations Procured: 560+ Replay Link: http://bit.ly/2l3iwvK:

Brinson Meets Smart Beta Original Air Date: Wednesday, September 27, 2017 Sponsoring Firm: S&P Global Participating Firms: State Street Global Advisors Total Registrations Procured:280+ :

Cost: $37,000 NET (II Journals’ moderated web event) $32,000 NET (Moderator furnished by sponsor[s] with II Journals approval)

ADVERTISING OPPORTUNITIES 33 2018 MEDIA KIT

MARK LEE | Advertising Director | Tel: (212) 224-3140 | [email protected]