Investment Process

The Top 20 White Papers of November 2017

The Most Popular and Trending Papers from November 2017

Themes in our "Top 20" this month include short selling, ESG integration, cashflow management, demographics, risk parity, stress testing and reflexivity. There's something for everyone!

All of these papers are free to access for our 23,000 Savvy Investor members.

Savvy Investor

The Long and the Short of It: The Quant Shorting Advantage (QMA)
QMA’s paper describes how short selling can allow investors to find alpha in often overlooked places, explains the three main categories of shorting-enabled equity products, and highlights the benefits of a systematic quantitative process.

Outlook 2018: Playing in extra time (Robeco)
Robeco likens the macro-economic backdrop to 'playing in extra time'. This late-stage is evidenced by declining credit quality and concerns over levels of debt issuance, increasingly tight labor markets despite low inflation and wage growth, and ballooning asset prices.

How We Integrate ESG (William Blair, 2017)
In this paper, adapted from a June 2017 webinar, William Blair explains how they have worked to integrate ESG factors into their investment process over the past few years, bringing it to life with specific examples from different sectors.

Pensions: Why being cashflow negative is irrelevant to risk (KPMG, 2017)
This seven-page paper by KPMG explores the misguided focal point which is cashflow negative and what, in the authors' view, are the true factors that pension funds should be clear on.

Demographic dividends, corporate challenges (LGIM, Nov 2017)
(For compliance reasons, this paper is NOT accessible in the USA and Canada)
Increasing life expectancy is one of the most profound success stories of the post-war era. The pace and scale of this human success story has been remarkable, but it is creating its own challenges for corporates.

Sustainability disclosure is driving investment decisions (Eaton Vance, 2017)
(For compliance reasons, this paper is only accessible in US and Canada)
A Havard Business School study, by George Sarafeim - the author, finds that sustainability disclosure may be a key influence in investment decisions, as investors use that information to sharpen company valuations relative to industry peers.

Asset Management: The Science Of Competing at Scale (State Street, Oct 2017)
This report sets out three keys to growth for asset managers, arguing that managers should concentrate their resources into "smart growth" strategies that can differentiate their value proposition.

Cash-flow generating real assets for pensions (Willis Towers Watson, 2017)
Income provided by traditional assets is inadequate. As a result, alternative sources of inflation-linked income are needed. This article makes the case for pension fund investment in real assets to improve the health of cash flows.

Disruptive Innovations V: Ten More Things to Think About (Citi GPS, 2017)
The fifth in a series from Citi GPS, this edition explores ten more innovative technologies and new products which are disrupting their sectors.

Asset Allocation: Connecting Markowitz, Kelly and Risk Parity (PIMCO, Oct 2017)
This article describes and contrasts the mechanics of standard asset allocation models, including the risk parity, utility based, Kelly, Markowitz, and fixed allocation approaches.

Start of Something Big: Demystifying the Source of Large Alpha in Small Caps (QMA)
QMA explains their results of a study into capturing alpha in small caps. The study revealed that it is largely the result of pervasive inefficiencies that create more pronounced mispricings that managers can regularly exploit.

Making a better benchmark: A practical guide to effective market representation (FTSE Russell, 2017)
FTSE Russell discusses the core principles of benchmark design and the inevitable trade-offs required to make the most practical index tools.

Toward Dynamic Stress Tests (Axioma, Nov 2017)
Axioma discusses a technique used to enhance traditional transitive stress tests, namely, by using statistical techniques to identify different regimes, and when appropriate, dynamically adjusting each regime's impact upon the stress test.

EMEA investors balancing long-term liabilities with market opportunities (Franklin Templeton)
(For compliance reasons, this paper is only accessible in the EMEA region)
In this Franklin Templeton report, questions about how EMEA institutional investors are managing economic and political risk factors as well as tactical actions vs long-term focus are answered via survey.

FTSE Russell China Bond Research Report
This latest report from FTSE Russell will help you analyze and understand how liberalisation measures, anti-leverage policies and the consideration on index inclusion are evolving in the world’s third largest domestic currency bond market.

A Shifting Cash Landscape: EU Reform Investor Survey (SSGA, 2017)
State Street Global Advisors presents the findings of a recent survey of nearly 100 investors preparing themselves for upcoming regulatory changes in money markets.

Challenges and Opportunities Facing UK Pensions and Asset Managers (PineBridge)
PineBridge Investments surveyed consultants, asset management and pension professionals to understand current sentiment on topics such as investing preferences, asset level views and macroeconomic risks.

Impact of Strategy Size on Performance: Global Report (eVestment, 2017)
This report looks at small, medium, and large strategy sizes in order to provide a summary of the actual returns, risk, and exposures that investors have assumed across rolling timeframes.

Preparing for China's inclusion in global benchmarks (FTSE Russell, Nov 2017)
It is increasingly likely that within a few years China A-shares will become eligible for inclusion in FTSE Russell’s global indexes. The FTSE Global China A Inclusion Indexes were launched to give market participants a range of index choices to prepare for the addition of China A-shares in global benchmarks.

Is short-term thinking on the rise? (Franklin Templeton, 2017)
(For compliance reasons, this paper is only accessible in the EMEA region)
A global survey of over 500 institutional investors shows how portfolio allocation strategies and investment horizons have adapted to the shifting factors underlying them such as political instability, technological, climate and regulatory changes.

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