Stock Selection and Analysis

How to Build a Better Equity Portfolio - 15 White Papers

15 Top Papers on Building Better Equity Portfolios

What can investors do to build better equity portfolios? Investment consultants Willis Towers Watson suggest considering three key issues: a) maximising returns, b) minimising the risk of underperformance, c) keeping costs low.

Most of the papers below focus primarily on the first of these; particularly by identifying the factors associated with superior performance. Other papers focus on a combination of the two. In order to cover the third, we've also included a paper on investment management fees.

Savvy Investor

Adding Alpha by Subtracting Beta: How Quant Tools can Improve Returns (Axioma)
In this paper, Axioma uses a “real world” example portfolio to demonstrate how certain quantitative tools and methods can improve realized returns for portfolios.

The Merits and Methods of Multi-Factor Investing (S&P Dow Jones Indices, 2017)
S&P Dow Jones Indices explore what multi-factor approaches can be considered and how effective are they, in building a better equity portfolio.

Better Equities: Redefining 'active' (Willis Towers Watson, 2017)
In a market environment of low expected returns from beta, investors are more in need than ever of active management. This paper by Willis Towers Watson examines how processes can be improved to build better portfolios.

STOXX TRU UK Indices - A More Precise Benchmark for UK Equity Investment
STOXX examine the relationship between company-level revenue exposures to the UK and stock price performance, and explain the thinking behind the STOXX TRU indices, which allow portfolio managers to more closely align their economic views with portfolio exposures.

Optimal Holdings of Active, Passive and Smart Beta Strategies (QMA, 2017)
In this paper, QMA explain how they find that for moderate excess return targets and long horizons, smart beta and enhanced index strategies play a vital role in reducing risk.

Investing in the Quality Factor (SSGA, 2017)
SSGA describe how they think about "quality" in equities and why they consider their tilting methodology to be a better way to capture the factor — especially for investors with limited risk budgets.

Preferreds: Expanding Income While Enhancing Risk/Reward (PineBridge, Aug 2017)
Investors are re-examining preferred securities for potential opportunities to expand income and enhance portfolios. Learn more about their unique, complementary investment profile.

Credit Momentum added to Quant Equity Strategies (Robeco, Aug 2017)
In this paper, the authors present evidence for a momentum spill-over from credits to equities.

Smart beta: 2017 global survey findings from asset owners (FTSE Russell, 2017)
FTSE Russell’s comprehensive survey of global asset owners focuses on key themes behind the adoption, evaluation and implementation of smart beta.

When paying a high multiple makes sense (Robeco, 2017)
Robeco explains that high valuation multiples are often a reflection of strong fundamentals.

Global Investment Management Fees (bfinance, 2017)
Asset managers have seized the opportunity to introduce fashionable products with a premium on their conventional equivalents, with certain unconstrained, multi-asset or advisory mandates at the top of that list.

Forecasting Factor and Smart Beta Returns (Research Affiliates, 2017)
This 16-page paper by Research Affiliates discusses how to forecast factor and smart beta returns. The authors argue that using past performance to forecast future performance is likely to disappoint.

An analysis of dividend-oriented equity strategies (Vanguard, 2017)
This Vanguard paper examines two popular dividend strategies; high-dividend-yielding and dividend growth equities. It considers implications for their use in the context of portfolio construction.

Supertrends - Investing for the Long Term (Credit Suisse, 2017)
Credit Suisse analyse the megatrends which will have a long-term impact on portfolio returns.

Harvesting Equity Returns with Bond-Like Volatility (STOXX, 2017)
The iSTOXX Europe Indices offer investors a unique and innovative way to identify and capture premia of six sources of risk: size, value, momentum, carry, low risk and quality.

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