Quant and Tools

Quant and Tools - Articles & White Papers

White papers and reports exploring quantitative investment and investment tools. Research for quant managers and analysts in this section covers academic papers on portfolio optimisation, articles on trading strategies for model-driven alpha creation, managing index funds, papers on derivatives pricing, and articles on performance attribution analysis. The "tools" component of this section refers to investment tools which help portfolio managers to do their job. For instance, ETFs may be considered a "tool" to make a short term allocation to specific asset class or strategy. Investment technology is a "tool" used throughout the investment process. This heading includes research on alpha creation, including: quantitative approaches to asset allocation and investment technology, Big Data, and the role of technology within asset management. For lists of white papers on specific quant topics - such as index investing, derivatives pricing, attribution analysis or trading models for alpha generation - please use the search menu at the top or click on the appropriate selection in the topic menu.
  • BlackRock

    BlackRock’s 2018 Guide to ETFs and Derivatives

    52% of institutions have replaced a derivative product with an ETF (see 1 below). Efficiency, precise exposures, improved flexibility and low cost are all features that have contributed to ETFs assuming a more prominent role alongside traditional derivatives. 

    The 2018 Guide to ETFs and Derivatives:

    • Addresses how breakthroughs in technology, ...

    • Professional
    • Views: 903
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  • Robeco

    Factor Investing: An Academic Source of Excess Returns (Savvy Investor, 2018)

    Authored by Savvy Investor and sponsored by Robeco, this 24-page special report is designed as a go-to resource for anyone interested in factor investing, covering a host of different factor investing issues in a short timespan.

    The report explains the academic underpinning to factor investing, and describes how a consensus has built around the belief that 4-6 key equity risk ...

    • Professional
    • Views: 2330
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  • Robeco

    Exploring the world of factors - Nine academics on smart beta and factor investing (Robeco, 2018)

    Collected interviews with high-profile factor investing experts, who bring an original contribution to the discussion. The concept of factor investing dates back to the 1970s, but it has only been gaining traction over the past few years. Factor-based allocation has its roots in the vast amount of empirical findings, accumulated over many decades, that document the existence of ...

    • Professional
    • Views: 1100
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  • AQR Capital Management

    Fact, Fiction and Momentum Investing (Cliff Asness et al, 2015)

    Authored by Cliff Asness and others from AQR Capital, this paper examines the "myths" surrounding momentum investing, using results from a variety of academic studies. The paper aims to clarify the facts with regard to the efficacy of trend-following strategies and to document the practical value of momentum within the investment process.

  • Robeco

    How will Blockchain impact the Financial Industry? (Robeco, 2016)

    There is growing agreement that Blockchain technology, though overhyped, is here to stay. This excellent report from Robeco explains the distributed ledger technology, transaction flows and the eco-system. It then examines the ways in which it might transform the asset management industry in the future. 

    • Professional
    • Views: 2030
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  • Equity Risk Premiums: Determinants, Estimation and Implications (Damodaran, 2016)

    In this paper, Professor Aswath Damodaran examines ways of estimating equity risk premiums (ERP). He begins by considering the economic determinants of ERP, including information uncertainty, perceptions of macroeconomic risk and risk aversion by investors. This is the 9th edition of this paper. It has been produced annually since the global financial crisis of 2008.

  • Cambria Investments

    A Quantitative Approach to TAA (Mebane Faber)

    This influential paper is Mebane Faber's update to his 2006 version. It incorporates new data from the period 2008-2012. The paper investigates how well the original work has held up since publication. Faber finds that overall, the models achieve equity-like returns with bond-like volatility and drawdowns, which was his original thesis in the 2006 paper. He also examines the ...

    • Quantitative
    • Views: 1306
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  • MSCI

    How ESG Affects Equity Valuation, Risk, and Performance (MSCI, 2017)

    • 21 Dec 2017
    • Company: MSCI

    Many researchers have studied the relationship between companies with strong environmental, social and governance (ESG) characteristics and corporate financial performance. A major challenge has been to show that positive correlations — when produced — provide explanations for the behavior. As the classic phrase used by statisticians says, “correlation does not ...

    • Professional
    • Views: 1227
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  • BlackRock

    Enhance your skill: how active managers are using factor strategies (BlackRock, 2017)

    How are asset managers using factors to optimize active strategies?

    Factor investing continues to grow at a rapid pace, with almost $34 billion globally flowing into smart beta ETFs since the beginning of 2017.  Asset managers are taking notice, and many are already using factors to enhance their investment process. 

    Through the lens of three compelling case ...

    • Professional
    • Views: 1818
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  • BlackRock

    Active Strategies, Indexing and the Rise of ETFs (Greenwich Associates / BlackRock, Oct 2017)

    Institutional flows into ETFs are expected to grow to $300B annually by 2020. Institutional Investors around the world are stepping up their use of ETFs as part of a broad transformation in portfolio management. Driving this growth is a wholesale reconsideration of the long-held distinction between active and indexed investment approaches.

    This paper presents the ...

    • Professional
    • Views: 2129
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  • Invesco (Europe)

    Invesco Global Factor Investing Study 2017

    Our factor investing study offers unique insights into the growth of factor investing via over 100 in-depth face-to-face interviews with consultants, pension funds, insurers, sovereign investors and private banks globally. We spoke with investors that were leading the way when it came to factor investing as well as non-users who were yet to adopt this investment approach.

    For ...

    • Professional
    • Views: 1013
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  • Robeco

    Ten things you should know about factor investing (Robeco, 2017)

    Factor-based investing has gained considerable traction over the past decade. Concepts such as ‘factor premiums’ or ‘smart beta’ have become popular buzzwords, and now appear frequently in mainstream financial media. Prominent institutional investors have also publicly embraced allocation to well-known factors, like value, momentum or low volatility.

    But ...

    • Short article
    • Views: 1477
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  • Eaton Vance Management International

    Managing equity portfolio volatility by harnessing the volatility risk premium (Eaton Vance, May 2017)

    After eight years of stock market gains, many investors have tempered their return expectations and are focusing attention on how best to best achieve equity-like returns with less risk. One relatively new solution investors are exploring is the use of option-based strategies that seek to harness the Volatility Risk Premium.

    • Professional
    • Views: 1158
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  • MSCI

    Bridging the Gap: Adding Factors to Passive and Active Allocations (MSCI)

    • 04 May 2017
    • Company: MSCI

    Asset owners face a challenge in determining how the factor allocation fits into the overall equity program: How does the factor allocation relate to the existing roster of active managers? This paper uses a risk budgeting framework to investigate how active mandates and factor allocations can be combined. Risk budgeting connects the manager selection process with the factor ...

    • Professional
    • Views: 1082
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  • CFA Institute

    Inefficiencies in the Pricing of Exchange-Traded Funds (Financial Analysts Journal, 2017)

    This 31-page paper appears in CFA Institute's Financial Analysts Journal. It examines the topic of ETF pricing inefficiencies. Despite the arbitrage mechanism that allows authorized participants to create and redeem shares for the underlying portfolios, ETF prices can deviate significantly from the net asset values. Typically, the deviations are larger in funds holding ...

  • QMA

    Start of Something Big: Demystifying the Source of Large Alpha in Small Caps (QMA)

    • 24 Jan 2017
    • Company: QMA

    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. At QMA, we think it’s critical to understand the sources of returns so that you ...

    • Professional
    • Views: 2032
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