Institutional Asset Managers

The Top 20 White Papers of August 2017

The Most Popular and Trending Papers from August 2017

Themes in our "Top 20" this month include secular economic trends, global macro management, pensions risk, multi-factor investing, credit momentum and the asset allocation of university endowments.

All of these papers are free to access for our 20,000 Savvy Investor members.

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Demographics will reverse three multi-decade global trends (BIS, 2017)
In recent decades, the largest ever positive labour supply shock occurred, due to the inclusion of China and eastern Europe into the WTO. This shock is now reversing.

The Case for Macro (William Blair, 2017)
In this paper, William Blair discusses the potential benefits of a top-down global macro strategy, in which broad trends are analysed.

Multi-factor indexes: the power of tilting (FTSE Russell, 2017)
In this paper, FTSE Russell illustrates the sequential tilting or “tilt-tilt” methodology, which can be described as bottom-up approach, and also give a brief overview of alternative methodologies.

A Half Century of Macro Momentum (AQR Capital Management, 2017)
In this 23-page paper, AQR's MD Jordan Brooks outlines a methodical and diversified approach to global macro investing and details its performance over the last fifty years.

Decomposing Funding-Ratio Risk: Key Insights for Pension Funds (BNP Paribas AM)
This report, authored by BNP Paribas researchers, focuses on funding-ratio risk and proposes a framework to yield insights into the main components of funding-ratio risk.

Credit Quarterly Outlook: Perplexing complacency (Robeco, July 2017)
Robeco examines the implications of an aging credit cycle and puts a spotlight on increasing global imbalances, China risk and the implications of weak commodity prices.

The Evolution of Asset Classes: Lessons from University Endowments (IMCA, 2016)
This paper looks at Asset Allocation practices of large U.S university endowments, focusing on asset category definitions. The wider diversity today reflects the shift to alternatives and the blurring of boundaries.

How a recent shift in market focus affected major factor correlations and portfolio risk (Axioma, 2017)
The authors examine how changes in the correlations of major risk factor types (in particular the relationship between exchange rates and stock markets) have affected a global, US $-denominated multi-asset class model portfolio.

Broken Promises: The Coming Global Pension Crisis (RWC, July 2017)
In this paper, Ian Lance looks at: the extent to which different pensions types are underfunded. After identifying the factors that led to this, he examines the implications of trying to deal with the shortfall.

Risk Tolerance: A Psychometric Review (CFA Institute Research Foundation, 2017)
This content provides a review of how financial risk-tolerance tests can be evaluated. It clarifies terms related to risk taking, gives an overview of two important terms: validity and reliability and concludes with examples for practice.

Why should investors consider credit factors in fixed income? (Invesco, 2017)
(This paper is not accessible in certain geographies)
 
This paper explains how factor investing differs between fixed income and equity markets, and the unique challenges to implementing fixed income factors in portfolios.

2017 AFP Liquidity Survey: Report of Survey Results (SSGA)
This report by SSGA and AFP provides the findings of a recent survey on liquidity. With critical insights into the challenges of navigating shifts in the regulatory, geopolitical and interest rate landscapes of cash management.

Preferreds: Expanding Income While Enhancing Risk/Reward (PineBridge, Aug 2017)
In this paper, PineBridge explore how investors are renewing their use of preferred securities to expand income opportunities and enhance portfolios.

Credit Momentum added to Quant Equity Strategies (Robeco, Aug 2017)
The authors present evidence for a momentum spillover from credits to equities. Robeco has now added this credit momentum factor to the momentum factor already used in their equity models, moving towards a comprehensive ‘company momentum’ signal.

Vanguard's guide to Core-Satellite investing, 2017
This Vanguard paper explains the core-satellite investment approach of combining the benefits of index funds with actively managed funds or other direct investments offering potential for outperformance.

Revisiting the Traditional EM Equities Allocation Framework (GMO, 2017)
This paper by GMO compliments a traditional valuation-based framework with a risk-based approach that is designed to assess the attractiveness of the EM asset class.

CIO View: Quarterly Investment Outlook (Deutsche Asset Management, July 2017)
(This paper is accessible in the UK only)
 
DeAM's Stefan Kreuzkamp examines the prospect of a "Goldilocks" economy and the impact on fixed income and equity markets. This paper also considers the downside risks and provides 12 month forecasts across equity indices and bonds.

Coping with Chaos: Adding Value with Options Strategies (Invesco, Aug 2017)
Invesco shares their insights on: how coping with chaos can potentially add value to your portfolio; the impact of behavioural biases on financial markets; and if there is value embedded in option strategies that may help to deliver returns.

Natural Interest rate: uncertainties and policy implications (BBVA, Aug 2017)
Structural factors explain the secular decline in the natural interest rate. The natural interest rate will remain below its historical average, despite increases. Monetary policy may return to the norm with a low federal funds rate.

STOXX TRU UK Indices - A More Precise Benchmark for UK Equity Investment
The STOXX TRU UK Indices allow investors to construct an equity portfolio which controls for exposure to the UK economy.

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