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.
US stock-bond correlation, which plays an important role in institutional portfolio construction, has been persistently negative for the last 20y. This negative correlation allows stocks and bonds to serve as a hedge for each other, enabling CIOs to increase stock allocations while still satisfying a portfolio risk budget.…
Asset allocation and portfolio construction are considered to be the main determinants of investment risk and returns for investors. The challenge for asset managers has always been finding an optimal asset allocation that meets both investors’ risk and reward requirements. Asset allocation methods have developed and…
In 1952, the American economist Harry Markowitz published a paper titled 'Portfolio Selection’. In it, he introduced the concept of "the efficient frontier" which he described as a collection of portfolios that contain the highest returns for a given amount of risk. The paper later gave rise to Modern…
The investment world continues to focus on sustainability, its increasing importance leading to Environmental, Social and Corporate Governance (ESG) metrics being woven into investors’ decision-making processes. Investors themselves have been the driving force behind this change, as they continue to demand more transparency…
The key theme of this year’s report, the ‘S’ pillar of ESG (environmental, social and governance) investing, is highly pertinent. As politicians and policy makers across the world aim to ‘build back better’, Create-Research and DWS believe they need to take the time to fully understand the social part of ESG.
The financial system as investors have known it for many decades is dealing with a new reality of negative interest rates and yields. Behind this phenomenon lie many factors and their consequences that are important for every financial professional to understand. In a levered financial system, central banks globally have had…
The credit markets are finally embracing quantitative investing and this paper provides an in-depth primer to quant credit. Readers will learn about the dynamics of systematic trading, the factors employed in quant models, and the future paths this rapidly-evolving strategy is likely to take.
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?
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.
Many factors can explain return attribution differences in credit portfolio returns – curve, interest rate positioning, sector allocation, and security selection. Solid bottom-up fundamental credit research is certainly a cornerstone of any successful corporate bond management strategy, as most managers generally achieve a…
Dimensional Fund Advisors study the performance of different investment and spending strategies for retirement. Investment strategies include wealth-focused glide paths that combine equities with short-term, high-quality fixed income. They also consider an income-focused glide path that combines a moderate equity allocation…
Targeting portfolio-level ESG outcomes may not require the extensive individual-security research that has become the norm for most socially responsible investments. In this paper, Intech illustrates how to capture ESG characteristics using statistical analysis of ESG ratings to identify persistent and dominant systematic…
Targeting portfolio-level ESG outcomes may not require the extensive individual-security research that has become the norm for most socially responsible investments. In this paper, Intech illustrates how to capture ESG characteristics using statistical analysis of ESG ratings to identify persistent and dominant systematic…
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…
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…
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…
