The most popular white papers from the first quarter of 2017
Since the beginning of the year, the Savvy Investor research team has curated a great selection of the best investment research white papers. Here we present the most popular reads during Q1 2017. Themes covered include: factor investing, asset allocation, markets outlook, small cap investing and more.
Factor Investing and Asset Allocation (CFA Institute Research Foundation)
Factor investing is as old as the hills yet it has only recently become a widespread practice. What is behind this sudden change in the fund management industry?
Betting Against Correlation (Cliff Asness, Feb 2017)
This paper by Cliff Asness takes a deep look into what drives the low-risk effect. In it, he creates a new priced factor that helps distinguish between competing, and confounding, stories explaining the efficacy of low-risk investing.
Three ways to successfully implement factors and smart beta (Robeco)
Smart beta, which has its roots in factor investing, is enjoying growing popularity. But investors often struggle with how best to implement these strategies.
Financial Market History: Reflections for Investors Today (CFA Institute)
This 279-page book, published by CFA Institute Research Foundation, provides a detailed, varied and fascinating look at the history of financial markets.
Securitisation: Finding Security in Bond Markets (RLAM, Feb 2017)
This paper by RLAM explains how secured bonds reduce credit risk, why it is possible to buy the right kind of security affordably, and how fixed income investors can take advantage of an institutional reliance upon credit agencies.
Demystifying the Source of Large Alpha in Small Caps (QMA, Jan 2017)
In a world where alpha can seem scarce, active small-cap managers continue to outperform their benchmarks in an impressive way. But why? Investors have a general sense small caps are riskier and less efficient, but how these characteristics contribute to more alpha opportunities remains unclear.
Fundamentals of Efficient Factor Investing (FAJ, 2017)
This paper adapts traditional portfolio theory to more recently popularized factor-based investing. It simulates optimal combinations of factor and security portfolios using US stocks from 1968 to 2015.
Long-run asset class forecasts: 30yr returns (2017-46) Schroders
Schroders Economics Group produces 30-year return forecasts, on an annual basis, for a range of asset classes. Here they outline the methodology used, which is based on a series of building blocks and estimates of risk premia, and surmise the key conclusions
Credit Suisse Global Investment Returns Yearbook 2017 (Feb 2017)
This excellent 59-page document from Credit Suisse considers topical themes (particularly recent monetary policy) within the context of long-run global asset returns. The document contains data for several countries going back to 1900.
Global Infrastructure: The Listed Alternative (Cohen & Steers, Feb 2017)
With more institutions allocating to infrastructure, this paper argues that the listed market offers a compelling solution to the rising build-up of capital in the private market, helping investors achieve their investment goals.
Ten Temptations to Resist in 2017 (Cambridge Associates)
The start of the year is always a good time to focus on personal improvements with resolutions. In this edition of VantagePoint, we share in the spirit of a new year by providing investment resolutions.
Top Risks 2017: The Geopolitical Recession (Ian Bremmer, January 2017)
This 24-page paper explores the top geopolitical risks facing the world in 2017, and their effects on the global economy and investment.