Journal of Investment Strategies

Welcome to the March issue of The Journal of Investment Strategies.

In this issue we have three original research papers, looking at beta hedging, international stock index and tail risk.

In our first paper, “Beta hedging: performance measures, momentum weighting and rebalancing effects” by Daniel Nadler and Anatoly B. Schmidt, the authors discuss the various performance measures of beta hedging and offer a new synthetic criterion that accounts for both risk-adjusted returns and losses of trading strategy.

The second paper, “Does international stock index arbitrage exist?” by Gunter Meissner, Olivia Ng and Pedro Villarreal investigates international stock index arbitrage opportunities between seven blue-chip indexes in Asian, European and US time zones over a twenty-year time horizon.

Finally, “Tail-risk mitigation with managed volatility strategiesls” authored by Anna A. Dreyer and Stefan Hubrich examines strategy performance from an investment practitioner perspective. Using long-term data from the Standard & Poor’s 500, the authors show that these strategies offer an improvement in risk-adjusted return compared with a buy-and-hold benchmark, on average, but with some variation.

We hope that you enjoy reading.

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