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.
The Journal of Index Investing is being relaunched as The Journal of Beta Investing Strategies which better matches its content, given most firms have beta strategies groups that encompass so much more than pure indexing. This first issue is a tribute to Jack Bogle and his influence on index investing.
This white paper is the third in a series. First, it introduces a new equity market valuation metric that outperforms the traditional ones. Second, it reveals 10 largely unknown but highly significant facts about the U.S. economy and financial markets, which improve investors’ ability to navigate market moves. Third, it re-…
Featured Papers and Interviews with Industry Thought Leaders
Over the past century, the global economy has transitioned from being dominated by agriculture and manufacturing to being powered primarily by services. Services now represent three-quarters of the workforce in developed markets and generate two-thirds of…
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…
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 path this rapidly-evolving strategy is likely to take.
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…
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 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.
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.
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…
Diversification is considered a core tenet of finance. However, if diversification is not done properly investors can find themselves surprised by ineffective portfolio positioning. Northern Trust AM believes a factor approach supports true diversification by helping better understand underlying risk exposures and sources of…
In this webinar, Nuveen discuss the results of their recent institutional survey and several additional issues that portfolio managers are currently having to contend with, including the search for yield, climate priorities, and how best to address diversity.
With the final phase of the Uncleared Margin Rules (UMR) roll-out now in sight, we invite you to join State Street and leading industry experts as they discuss the challenges Phase 6 firms face in 2022, the approach the market participants are taking to solutioning, and the urgency now required to ensure compliance; all…
In this session from Institutional Investor’s Redefining Fixed Income Forum, Anders S. Persson, CFA, CIO of Global Fixed Income, discusses the current market environment and how blending public and private credit can improve outcomes and help investors meet their investment goals over the long-term.
This white paper is the second in a series designed to bring understanding of the U.S. equity market to the next level. This paper is organised into two parts, the first and longer part focusing on CAPE-based valuations, and the second focusing on corporate profit margins. The paper addresses both the multiple and the…
Winner of Savvy Investor Awards - Best Asset Allocation Paper 2021
Oliver Wyman Forum asks why stock market valuations in the United States varied so much throughout history. Relative to historical benchmarks, are valuations in recent years as extreme as commonly believed? And why have margins also varied so much and…
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…
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…
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…
