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Equity analysis, portfolio management and ETFs

  • ,  Chief Executive |
  • 08 Oct 2018
  • Updated 15 Oct 2018

Recent white papers on equity portfolio management

Were you thrown off by the recent GICS reclassification and the advent of the new communications services sector? Are you perhaps looking to replicate exposures to certain asset classes (or derivatives) through the use of ETFs?  Are you thinking about backtesting a new trading strategy?  The papers below cover these topics and many more.

State Street examines how to quantify the value of intangibles, FTSE Russell explores the micro cap sector, while Winton analyses how alternative methods for company classification can reduce reliance on index providers. Browse through the list - you're sure to find something of interest!

equity analysis

US Equity Spotlight (Lyxor ETF, Sep 2018)
(For compliance reasons, this paper is only accessible in the UK & Europe)
Despite the length of the US equity rally and the late-stage growth cycle, recent stimulus measures may mean that US equities remain attractive. Lyxor looks at the outlook for this asset class in greater detail. 

Transforming Intangible Assets into Tangible Value (State Street, Sep 2018)
Chief amongst the research articles in State Street's recent compilation, 'Transforming Intangible Assets into Tangible Value,' describes how a value is established for intangibles such as technological patents and drug research.

iShares Guide to ETFs: Institutional ETF trends, services and tools (2018)
(For compliance reasons, this paper is only accessible in the USA)
Whether using ETFs to implement factor strategies, to replicate certain fixed income exposures, or as an alternative to derivatives, the iShares Guide to ETFs is a resource for institutional investors evaluating the utility of ETFs.

BlackRock’s Perspective on Factor Investing
(For compliance reasons, this paper is only accessible in the USA)
Ron Ratcliff and Russ Koesterich describe the concept of 'factor awareness' within BlackRock, and how it has led to the reshaping of internal processes such as portfolio rebalancing. 

Intech Equity Market Stress Monitor: 3Q18
(For compliance reasons, this paper is only accessible in certain geographies)
In this quarterly report, Intech assesses the stability of global equity markets, shedding light on risk regimes and beta risk management, while complementing other equity risk metrics. 

FTSE Global Micro Cap Index Series: Indexing the World (2018)
FTSE Russell's recently launched Global Micro Cap Index Series extends its overall GEIS coverage to over 99% of the global investable equity market. Here they provide a brief history of FTSE GEIS and FTSE's country classification process.

Artificial Intelligence: It's Not the Future, It's Now (Capital Group, 2018)
(For compliance reasons, this paper is only accessible in certain geographies)
Capital Group explores advancements in artificial intelligence, including the Internet of Things, autonomous vehicles, and process automation across multiple industries. 

Systematic Methods for Classifying Equities (Winton, 2018)
With the reclassification of GICS equity sectors this September and the rise of the new Communication Services sector, Winton Capital Management looks at two alternative methods of classifying and grouping equities. 

151 Trading Strategies (2018)
This report provides a comprehensive description of 151 different trading strategies that are applicable across a host of trading styles and asset classes, also including formulas and references for further research.

10 Years After: A Changed World for Financials? (Axioma, Sep 2018)
Axioma looks at U.S. financial stocks before and after the GFC. The 10th anniversary of Lehman’s collapse marks a good time to reflect on lessons learned and perspective gained in the time since.

Is the Performance of Active Equity Managers Still Cyclical? (Meketa Investment Group, 2018)
Meketa Investment Group explores the cyclicality of active equity manager outperformance, reviewing performance trends for active vs passive managers in different market environments. 

Managing equity portfolio volatility by harnessing the volatility risk premium (Eaton Vance, 2018) 
(For compliance reasons, this paper is NOT accessible in the United States & Canada)
Eaton Vance explains how option-based strategies seeking to harness the volatility risk premium can potentially achieve equity-like returns with less risk. 

Optimizing Asset Allocation: Hedged Equity (Swan Global Investments, 2018)
Swan's Defined Risk Strategy manages market risk by using options to hedge an underlying position and shorter term market neutral options strategies to generate income to help pay for the cost of hedging.

Factor-based challenges (LGIM, Sep 2018)
(For compliance reasons, this paper is NOT accessible in the United States & Canada)
There are so many elements to consider when building factor-based solutions it can be overwhelming. We’ve highlighted two case studies of investors tackling these challenges.

Macro-Financial Scenario Analysis for ETF Manager Selection (Morningstar, 2018)
Morningstar's macro-financial scenario analysis tool is employed to evaluate the impact of the scenarios on index and sector ETFs.

Total Cost of Ownership: A Framework for ETFs (Kempen, 2018)
Kempen's total cost of ownership framework shows the potential role of large liquid ETFs in the portfolios of institutional clients, particularly for asset classes with high transaction costs.