White papers and research exploring quantitative investment management and quant strategies. Quantitative investing research in this section includes academic papers on portfolio optimisation, articles on quant equity strategies for model-driven alpha creation, managing index funds, papers on derivatives pricing, articles on performance attribution analysis and other forms of qiantiative investment analysis. Quantitiative investing styles continue to gain ground as computing power increases and big data and AI approaches become more viable. 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.
Climate change has become undeniable, and no industry has greater exposure to its risks than the insurance sector. It poses a unique threat to both sides of their balance sheets – to insurers’ assets as well as their liabilities.
PGIM’s IAS team has joined with GIC EIS to integrate liquidity measurement and cash flow management into a multi-asset, multi-period portfolio construction process. In today's climate, investors are increasingly faced with the difficult choice between potentially higher returns and greater liquidity. Given market uncertainty…
The coronavirus pandemic has highlighted the difficulties of managing risk in an increasingly globalised and interconnected world. We explore how organisations can stay resilient through an era of radical change.
Investors have long recognized the importance of liquidity but have struggled to determine how to account for it when forming portfolios. State Street proposes that investors treat liquidity as a shadow allocation to a portfolio. If investors deploy liquidity to raise a portfolio’s expected utility beyond its original…
In their first report in 2015, S&P DJI used historical trends to project that insurance companies would double their use of exchange-traded funds (ETFs) in five years. Now five years later, usage of ETFs in insurance general accounts has indeed doubled since 2015. In the one-year period ending Dec. 31, 2019, insurance…
Pension regulations in the Nordic countries and the Netherlands are similar to insurance regulation in the European Union. Solvency capital (SC) required for credit risk in corporate bond portfolios is close to its economic risk, while solvency capital for equity risk does not distinguish at all between low-risk and high-…
In this report, CFA Institute seek to identify high-impact applications of artificial intelligence (AI) and big data in investments and best practice in their implementation by examining specific use cases. For this purpose, CFA Institute conducted interviews with investment industry practitioners around the world and from…
In a world of low return expectations and even lower interest rates, pension plans are re-evaluating their portfolios, looking for alternative ways to achieve return targets and improve funded status. Diversifying portfolios with real assets helps address these challenges. Real assets may reduce portfolio volatility, enhance…
In the face of market volatility, lower-for-longer interest rates, and return expectations for equities and bonds that are well below historic averages, institutional investors are considering real assets to help meet investment objectives.Portfolio optimization using 28 years of returns demonstrated private real assets’…
Artificial intelligence (AI) has grown in presence in asset management and has revolutionized the sector in many ways. It has improved portfolio management, trading, and risk management practices by increasing efficiency, accuracy, and compliance. In particular, AI techniques help construct portfolios based on more accurate…
This collection of papers focuses on the vital role of digital in today’s businesses. Many organizations were already in the throes of digital transformations pre-pandemic, before COVID-19 accelerated the pace of business across the globe. Some sped up efforts already under way; others implemented digital capabilities for…
Adam Berger, Wellington's Multi-Asset Strategist, offers his views on where he thinks markets are headed, offers a game plan and answers a few pressing investor questions.
The Total Portfolio Approach (TPA), implemented by a growing crop of leading asset owners globally, offers an increasingly viable option to address the unpredictability of markets—including the governance, benchmark and inertia drags inherent in more traditional Strategic Asset Allocation (SAA)-based methodologies, revealed…
This paper illustrates the processes that STOXX followed in constructing the STOXX Paris-Aligned Benchmark Indices, with a specific focus on the STOXX® Europe 600 Paris-Aligned Benchmark Index, and the additional steps taken to reinforce the objectives of the EU PABs.
The income-generating potential of alternatives seems to be largely underappreciated, despite the trend toward larger allocations to alternative asset classes and the need for yield. Investors can enhance their ability to capitalize on the yield and diversification benefits of alternatives by focusing on the risks that drive…
Based on QMA’s 2020 2Q Capital Market Assumptions, expected returns on traditional public market investments are likely to be considerably lower over the next 10 years than in the last decade, significantly undershooting the return requirements of asset owners who need to meet liabilities. This has not been altered by the…
This compendium publication summarizes the offerings from the CFA Institute Research Foundation over the past year—books, literature reviews, workshop presentations, and other relevant material.
In this paper we consider how manager research and asset allocation can better connect. Most investment firms have distinct teams, systems and analytical approaches for conducting manager research and asset allocation. This separation can add risk and lead to sub-optimal portfolio decisions.
Among other things, this 50-page issue of Invesco's Risk & Reward report examines a variety of themes, for example: (i) a factor-based buy-and-hold strategy for bonds (ii) integrating low volatility style exposure into core equity factor investments (iii) equity factor timing, and more.
