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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…

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 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…

Invesco US provide an update of their views on the current outlook for stocks during this volatile period.

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.

Cheap stocks have been underperforming for the last 18 months, while expensive stocks are overperforming. In fact, current value performance parallels the Tech Bubble and Global Financial Crisis (GFC). This comes as a surprise to many. We have been living through an extraordinary return environment that has, largely, fallen…

This is the second year that DWS has sponsored this report by CREATE-Research. Amongst other insights, this year’s survey confirms the on-going movement of passive investment into the mainstream with 66% of survey respondents considering passive index investing as a mature part of their portfolio.

Wellington's Adam Berger shares his reasoning as to why he thinks active management has a meaningful role to play in investors portfolios.

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…

An unusual shift in equity betas accompanied the market drawdown in March 2020, leaving equity investors few places to hide. In this paper, we share our observations of this dislocation and highlight the likely affect it had on defensive equity strategies.

This paper builds on a series of Axioma presentations entitled “Quantifying Macro Risks,” which detailed a framework for capturing macroeconomic risk effects in a fundamental equity risk model. Here we document how State Street researchers expanded this regional framework to a global context and applied it to Axioma’s AXWW4…

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.

In this paper, Qontigo strategists look back at 2019 which was a remarkable year for equity benchmarks around the world. Both emerging and developed markets shared in the overperformance, with all components of risk falling for both markets. However, style factors saw mixed results, with few reporting outsized returns for…

Behavioral finance presented in this book is the second-generation of behavioral finance. The first generation, starting in the early 1980s, largely accepted standard finance’s notion of people’s wants as “rational” wants—restricted to the utilitarian benefits of high returns and low risk. That first generation commonly…

The S&P Persistence Scorecard attempts to distinguish a manager’s luck from skill. One key measure of successful active management lies in the ability of a manager to outperform his peers consistently. This report’s results show that, irrespective of asset class or style focus, few fund managers consistently outperformed…

Invesco's 4th annual Global Factor Investing Study is based upon interviews with over 240 instutional investors and is the largest in-depth analysis of global factor investing.

This publication shows that recent underperformance is not the result of a deterioration in factor performance, since it has been possible to offset negative performance for some factors through the good performance of other factors, but relates more to the implementation choices of the factor exposures than to the factors…

Among other things, this 32-page issue of Risk & Reward examines how to take a factor-based approach to diversifying oil exposure. Oil investors, fixed income investors and sovereign wealth funds are the main focus of this issue.

In our last report, we showed that in 2017, insurance companies increased their use of exchange-traded funds (ETFs) by a significant amount (37% year-over-year). In 2018, insurance companies continued to increase their use of ETFs and, in spite of a market correction in the Q4 2018, held ETF assets in line with long-term…