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.
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…
PGIM's latest Megatrends paper, “The Future Means Business: Investment Implications of Transformative New Corporate Models,” draws on the insights of more than two dozen PGIM investment professionals across our private and public fixed income, equity, real estate and alternatives managers – as well as a new proprietary…
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.
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.
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…
Is the combination of real assets in investors’ portfolios meeting their investment objectives? Investors may arbitrarily group real assets into a single category when constructing their portfolios. However, real assets exhibit diverse features and macroeconomic sensitivities that should be carefully assessed during the…
As a part of its 9th annual US ETF Study, Greenwich Associates interviewed 181 institutional investors on the utility of ETFs for portfolio construction purposes, finding that ETFs are now considered as a primary means of obtaining fixed income exposures within institutional portfolios. Liquidity, ease of use, speed of…
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…
Active managers primarily use index data to benchmark investment performance, but a new study suggests there are significant opportunities for them to derive more value from data, analytical expertise and partnerships with index providers. This Greenwich Associates report, commissioned by FTSE Russell, discusses perceptions…
Insurance investors are grappling with a world bedevilled by complexity. This M&G Investments paper explores how they can adapt their investment strategies for today's world. Though premiums are still growing in aggregate and claims being paid, the business model is coming under strain and the investment management…
In Wall Street parlance a “tenbagger” is a stock in which you’ve made ten times your money. Investors who talk about tenbaggers tend to be looked at with suspicion. They’re either trying to sell a book or sign people up to a newsletter that promises untold riches. However, investors who talk about tenbaggers in Europe tend…
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…
What, Exactly, Is a Factor? According to BlackRock, as of June 2018 there was $1.9 trillion invested in factor-based strategies—a figure expected to grow by nearly 80% to $3.4 trillion by 2022. There is no question that these strategies have moved to the forefront of investing, but their growing popularity begs the basic…
The foundational lessons of Graham and Dodd provide a recipe for market participants to look at stocks based on a valuation framework and to understand the relative cheapness of stocks. This framework has been used throughout the years, and many have adapted or adjusted it to meet their investment styles or views. At the…
Winner of Financial Analysts Journal Graham and Dodd Awards of Excellence, Top Award 2018.
Warren Buffett’s Berkshire Hathaway has realized a Sharpe ratio of 0.79 with significant alpha to traditional risk factors. The alpha became insignificant, however, when we controlled for exposure to the factors “betting…
2019 was a remarkable year, with benchmarks around the world climbing to new records, while volatility plunged. 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 the quarter…
Holding safe haven assets has always involved a trade-off. Over the last 30 years, bonds have served well as diversifiers, providing both income and capital appreciation – hence, masking this trade-off. This paper discusses the role of traditional safe haven assets – namely, high quality sovereign bonds, reserve currencies…
Common wisdom among academics and investors has it that factors are best harvested using both long and short positions. But Robeco’s empirical analysis challenges this assertion.
Speed read:
Most added value comes from the long legs of equity factor strategies
The changes facing many investment management firms are significant. In 2020, many investment management firms are highly motivated to cross boundaries in search of profitable growth. Crossing boundaries often means leaving the comfort zone and performing new activities or doing standard activities in dramatically new ways.…
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