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.
Investors have a bond problem. Every crisis brings new lows in government bond yields and predictions of the end of bonds as an asset class. Investors are now questioning the logic of hedging expensive equities with expensive bonds, but is there really a viable alternative?
The progress that sustainable investment has made in recent years has been stunning. It has gone from a niche investment style to a mainstream multi-trillion dollar industry. The rise of sustainability has produced some stunning statistics of its own – from wind turbines the size of skyscrapers to plans to create a Great…
As ESG investing continues to grow, so do the challenges that are associated with it. For most investors, the lack of standardisation in ESG data is the most significant challenge they have to overcome, with the issue being that ESG investment strategies require reliable and accurate data to both construct ESG portfolios and…
2020 was the year of the pandemic, instant recession, and US election drama, while UBS AM think 2021 is poised to be the year of vaccines and a more durable, comprehensive economic reopening. Dive inside their Panorama report to see what their attention is focused on for 2021.
Cryptocurrencies have attracted widespread interest among private investors and even some hedge funds as a vehicle for speculation. But what’s their role in a portfolio — growth engine or diversifier? State Street explores the potential role of bitcoin in multi-asset portfolios based on their track record for diversifying…
This paper reviews the significant progress in academic and policy research on climate change and its impact on expected returns and strategic portfolio allocation across major public assets. To date, there have been efforts to measure the environmental impact to firms within a broader ESG framework. Various sources may help…
Growth opportunities are plentiful in emerging markets thanks to strong secular tailwinds — but they are company-specific. Identifying strong growers within a changing opportunity set is key to unlocking the potential of this asset class, suggests Jennison Associates.
Balancing protection and upside potential is a difficult exercise, but WisdomTree hope investors will find some ideas and some inspiration on how to tackle it in this paper, whether it is through a dynamic asset allocation that rebalances between cyclical and defensive assets or through the selection of asymmetric defensive…
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…
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…
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.
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…
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…
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…
Welcome to EQuilibrium — this new, annual global research from Nuveen explores the drivers of investor behavior and their impact on people, portfolios and problem-solving, with a particular focus on alternatives, responsible investing and the human side of asset management. Nuveen also looks at the beliefs, mindsets and…
Nuveen examines ways corporate pension plans at all funding levels can optimize their approach to portfolio construction and identifies how factor exposures and asset allocations shift when applying a factors-first approach.
In the volatile first quarter of 2020, U.S. insurance companies invested heavily in Fixed Income ETFs as liquidity dried up in the cash market. In the second quarter, insurers sold off Equity ETFs, but in the third quarter, they returned to buying ETFs, adding over USD 1 billion to their portfolios. While holdings data are…
Commercial and geopolitical forces are threatening to fracture the internet into competing regimes, making it harder for companies to operate across borders and potentially limiting their growth. We explore the implications for investors.
No one was ready for 2020, but investors can be prepared for 2021 and, ultimately, look to a future envisaged before the pandemic hit. PGIM’s Annual Best Ideas: The Future in Focus, sheds light on the opportunities that they believe are worth watching in 2021.
